ETFs represent a cheap alternative to Mutual Funds and they are growing in fast in the last decade. Is the 2017 hype around ETFs confirmed by good returns in 2018?
The file contains 25,265 Mutual Funds and 2,353 ETFs with general aspects (as Total Net Assets, management company and size), portfolio indicators (as cash, stocks, bonds, and sectors), returns (as yeartodate, 2018-10) and financial ratios (as price/earning, Treynor and Sharpe ratios, alpha, and beta).
This dataset was scrapped by Stefano Leone from the publicly available website https://finance.yahoo.com.
Datasets allow for multiple comparisons regarding portfolio decisions from investment managers in Mutual Funds and portfolio restrictions to the indexes in ETFs. The inspiration comes from the 2017 hype regarding ETFs, that convinced many investors to buy shares of Exchange Traded Funds rather than Mutual Funds. Datasets will be updated every one or two semesters, hopefully with additional information scraped from Morningstar.com.
- Basic Info
- Expenses and Earnings
- Investment allocation per industry
- Ratings
- Returns
- Returns by year
- Portfolio
- Alpha Returns
- Beta Returns
- Mean Annual Returns
- R-Squared Annual Returns
- Standard Deviation Annual
- Annual Sharpe Ratio
- Annual Treynor Ratio
- legal_type - Legal type of a fund
- years_up - Years up
- years_down - Years down
- inception_date - The date on which the fund began its operations.
- bond_maturity - A bond's term to maturity is the length of time during which the owner will receive interest payments on the investment.
- bond_duration - Duration is a measure of the sensitivity of the price of a bond or other debt instrument to a change in interest rates.
- median_market_cap - The midpoint of market capitalization (market price multiplied by the number of shares outstanding) of the stocks in a portfolio. Half the stocks in the portfolio will have higher market capitalization; half will have lower.
- morningstar_rating - Measure of a fund's general return, relative to similar funds.
- morningstar_risk_rating - Measure of a fund's risk-adjusted return, relative to similar funds.
- morningstar_return_rating - Measure of a fund's return rating, relative to similar funds.
- category_return_2018 - Returns 2018
- category_return_2017 - Returns 2017
- category_return_2016 - Returns 2016
- category_return_2015 - Returns 2015
- category_return_2014 - Returns 2014
- category_return_2013 - Returns 2013
- category_return_2012 - Returns 2012
- category_return_2011 - Returns 2011
- category_return_2010 - Returns 2010
- portfolio_cash - Portfolio Cash
- portfolio_preferred - Portfolio Preferred
- portfolio_convertable - Portfolio Convertible
- portfolio_others - Portfolio Others
- fund_name - Name of the investment fund
- fund_extended_name - Full name of the investment fund
- category - Fund category
- fund_family - Fund family
- net_assets - Total net assets possessed by fund
- ytd_return - Year to date (YTD) returns on portfolio
- fund_yield - Fund Yield (measure of the income return of a fund)
- investment - Investment type/strategy
- size - Size of fund
- currency - Default fund currency
- net_annual_expense_ratio_fund - Total expense ration (TER) for fund
- net_annual_expense_ratio_category - Total expense ration (TER) for category
- portfolio_stocks - Portfolio stock/equity (ownership stakes) percentage
- portfolio_bonds - Portfolio bonds (debt) percentage
- price_earnings - Earning ratio
- price_book - Book ratio
- price_sales - Sales ratio
- price_cashflow - Cash Flow ratio
- basic_materials - Materials
- consumer_cyclical - Cyclical
- financial_services - Finance
- real_estate - Real Estates
- consumer_defensive - Defensive
- healthcare - Health Care
- utilities - Utilities
- communication_services - Communications
- energy - Energy
- industrials - Industrial
- technology - Technology
- rating_us_government - US government
- rating_aaa - AAA
- rating_aa - AA
- rating_a - A
- rating_bbb - BBB
- rating_bb - BB
- rating_b - B
- rating_below_b - Below B
- rating_others - Others
- fund_return_ytd - Return Year to Date (YTD)
- category_return_ytd - Return Year to Date (YTD)
- fund_return_1month - Return 1 month
- category_return_1month - Return 1 month
- fund_return_3months - Return 3 months
- category_return_3months - Return 3 months
- fund_return_1year - Return 1 year
- category_return_1year - Return 1 year
- fund_return_3years - Return 3 years
- category_return_3years - Return 3 years
- fund_return_5years - Return 5 years
- category_return_5years - Return 5 years
- fund_return_10years - Return 10 years
- category_return_10years - Return 10 years
- fund_return_2018 - Return 2018
- fund_return_2017 - Return 2017
- fund_return_2016 - Return 2016
- fund_return_2015 - Return 2015
- fund_return_2014 - Return 2014
- fund_return_2013 - Return 2013
- fund_return_2012 - Return 2012
- fund_return_2011 - Return 2011
- fund_return_2010 - Return 2010
Alpha Returns
- fund_alpha_3years - Ratio 3 years
- category_alpha_3years - Ratio 3 years
- fund_alpha_5years - Ratio 5 years
- category_alpha_5years - Ratio 5 years
- fund_alpha_10years - Ratio 10 years
- category_alpha_10years - Ratio 10 years
Beta Returns
- fund_beta_3years - Ratio 3 years
- category_beta_3years - Ratio 3 years
- fund_beta_5years - Ratio 5 years
- category_beta_5years - Ratio 5 years
- fund_beta_10years - Ratio 10 years
- category_beta_10years - Ratio 10 years
- fund_mean_annual_return_3years - Returns 3 years
- category_mean_annual_return_3years - Returns 3 years
- fund_mean_annual_return_5years - Returns 5 years
- category_mean_annual_return_5years - Returns 5 years
- fund_mean_annual_return_10years - Returns 10 years
- category_mean_annual_return_10years - Returns 10 years
- fund_r_squared_3years - R-Squared 3 years
- category_r_squared_3years - R-Squared 3 years
- fund_r_squared_5years - R-Squared 5 years
- category_r_squared_5years - R-Squared 5 years
- fund_r_squared_10years - R-Squared 10 years
- category_r_squared_10years - R-Squared 10 years
Standard Deviation Annual
- fund_standard_deviation_3years - Standard Deviation 3 years
- category_standard_deviation_3years - Standard Deviation 3 years
- fund_standard_deviation_5years - Standard Deviation 5 years
- category_standard_deviation_5years - Standard Deviation 5 years
- fund_standard_deviation_10years - Standard Deviation 10 years
- category_standard_deviation_10years - Standard Deviation 10 years
Annual Sharpe Ratio
- fund_sharpe_ratio_3years - Sharpe Ratio 3 years
- category_sharpe_ratio_3years - Sharpe Ratio 3 years
- fund_sharpe_ratio_5years - Sharpe Ratio 5 years
- category_sharpe_ratio_5years - Sharpe Ratio 5 years
- fund_sharpe_ratio_10years - Sharpe Ratio 10 years
- category_sharpe_ratio_10years - Sharpe Ratio 10 years
Annual Treynor Ratio
- fund_treynor_ratio_3years - Treynor Ratio 3 years
- category_treynor_ratio_3years - Treynor Ratio 3 years
- fund_treynor_ratio_5years - Treynor Ratio 5 years
- category_treynor_ratio_5years - Treynor Ratio 5 years
- fund_treynor_ratio_10years - Treynor Ratio 10 years
- category_treynor_ratio_10years - Treynor Ratio 10 years