Sample Cases

New Frontier provides some sample cases for your use in the samples directory. The default location for the samples directory is Program Files/NewFrontier/8.0/samples. The Optimizer can open Estimator cases (*.nfei) and Optimizer (*.nfoi) cases. Estimator cases consist of inputs only when opened in the Optimizer, while the Optimizer cases contain optimization choices and results as well.

Michaud 1998 book

This is the original dataset used to study resampling in Efficient Asset Management by Richard Michaud. The data consists of six country equity indices and two bond indices: Canada, France, Germany, Japan, United Kingdom, United States, a U.S. bond index, and a Eurobond index. The non-U.S. equity indices are all MSCI data and the U.S. equity index is the S&P 500.  The dataset is meant to illustrate a reasonable global asset allocation but is not for investment purposes.

Michaud 2008 paper

The Michaud 2008 case offers the data used by Richard Michaud and Robert Michaud in "Estimation Error and Portfolio Optimization" (Journal Of Investment Management, Q1 2008).  Following Jobson and Korkie (1981), the optimizations are illustrated based on the risk and returns of twenty U.S. stocks randomly chosen from 100 largest capitalization stocks in the S&P 500 index with continuous monthly returns from January 1997 through December 2006. The list of stocks, their annualized average returns, standard deviations and correlations over the period and further details are given in the appendix to the paper.  

Vanguard Data

New Frontier includes data for several index funds provided by Vanguard with the Asset Allocation System. Because Vanguard uses a passive, full-replication approach to managing their index funds, the funds may be expected to serve as good proxies for the underlying indices. The equity funds track their MSCI, CRSP, and FTSE index counterparts. The fixed income index funds track the appropriate Bloomberg Barclays Capital indices. New Frontier provides four Estimator cases using Vanguard data and two Optimizer cases. The Optimizer case started with the monthly Estimator case.  One includes tax lots and one does not. The included funds are:

1. CPI (seasonally adjusted, as reported by the Bureau of Labor Statistics)

2. Vanguard Short-Term Bond Index

3. Vanguard Intermediate-Term Bond Index

4. Vanguard Long-Term Bond Index

5. Vanguard Inflation-Protected Securities Index

6. Vanguard High-Yield Corporate Index

7. Vanguard REIT Index

8. Vanguard European Stock Index

9. Vanguard Pacific Stock Index

10. Vanguard Emerging Markets Index

11. Vanguard Growth Index

12. Vanguard Value Index

13. Vanguard Small-Cap Growth Index

14. Vanguard Small-Cap Value Index