빈티지 데이터란?
: 빈티지 데이터는 통계가 “처음 공표된 시점 그대로”의 값, 즉 개정 전 값을 시점별로 보존한 실시간 데이터 묶음을 뜻한다. 사이트에서 일반적으로 조회 가능한 데이터는 수정된 수치로 실제 과거 시점에서 사용 가능한 데이터가 아니다. 전략 백테스트와 예측 평가에서 미래 개정 정보를 몰랐던 당시 상황을 재현해 개정 전 값으로 의사결정을 검증하는 데 사용된다.
Vintage 데이터와 Revised 데이터를 활용한 의사결정의 차이 예시: 자산군 수익률 분포
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📊 CLI REGIME별 자산 수익률 통계 분석,
기준: USA CLI, Vintage
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🔹 2-regime (Level)
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📈 Above 100:
Asset Count Mean (%) Median (%) Std Skew Kurtosis
S&P 500 152 0.65 1.21 0.0350 -0.419 0.423
Comm. Services 152 0.24 0.78 0.0456 -0.646 0.731
Consumer Disc. 152 0.62 0.72 0.0447 -0.183 0.626
Consumer Staples 152 0.89 1.08 0.0308 0.297 0.554
Energy 152 1.22 1.42 0.0589 -0.069 1.088
Financials 152 0.70 1.27 0.0458 -0.241 0.392
Health Care 152 0.89 1.12 0.0345 -0.159 -0.226
Industrials 152 0.74 0.96 0.0415 -0.023 0.524
Info Tech 152 0.45 1.21 0.0569 -0.699 1.160
Materials 152 0.60 0.70 0.0506 -0.108 1.384
Real Estate 143 0.98 1.33 0.0490 -0.279 0.291
Utilities 152 0.98 1.27 0.0384 -0.205 0.473
KOSPI200 152 0.33 0.26 0.0546 -0.256 0.680
📈 Below 100:
Asset Count Mean (%) Median (%) Std Skew Kurtosis
S&P 500 153 0.54 1.07 0.0510 -0.533 0.440
Comm. Services 153 0.32 0.66 0.0675 0.358 2.281
Consumer Disc. 153 0.95 0.85 0.0654 0.042 0.792
Consumer Staples 153 0.29 0.73 0.0366 -0.563 0.425
Energy 153 0.03 -0.14 0.0785 0.113 4.167
Financials 153 0.36 0.12 0.0724 -0.658 2.261
Health Care 153 0.27 0.67 0.0437 -0.288 0.125
Industrials 153 0.56 0.81 0.0626 -0.463 1.178
Info Tech 153 1.25 1.84 0.0779 -0.464 1.201
Materials 153 0.71 0.77 0.0653 -0.263 0.590
Real Estate 141 0.15 0.83 0.0724 -0.502 6.956
Utilities 153 -0.13 0.80 0.0515 -0.516 0.138
KOSPI200 153 1.11 1.09 0.0665 0.061 1.002
🔹 2-regime (Direction)
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📈 Increasing:
Asset Count Mean (%) Median (%) Std Skew Kurtosis
S&P 500 141 0.60 1.11 0.0405 -0.354 0.827
Comm. Services 141 0.10 -0.08 0.0545 -0.374 0.214
Consumer Disc. 141 0.67 0.75 0.0536 -0.023 1.198
Consumer Staples 141 0.42 0.70 0.0309 -0.143 -0.239
Energy 141 0.60 0.48 0.0768 -0.047 4.731
Financials 141 0.63 0.47 0.0546 -0.279 1.444
Health Care 141 0.53 0.86 0.0368 0.019 0.216
Industrials 141 0.45 0.85 0.0486 -0.484 1.850
Info Tech 141 0.97 1.37 0.0553 -0.406 0.196
Materials 141 0.43 0.56 0.0555 -0.278 0.723
Real Estate 137 0.69 0.83 0.0474 -0.165 0.324
Utilities 141 0.26 0.82 0.0437 -0.516 0.580
KOSPI200 141 0.91 1.38 0.0558 -0.080 0.190
📈 Decreasing:
Asset Count Mean (%) Median (%) Std Skew Kurtosis
S&P 500 164 0.59 1.14 0.0464 -0.645 0.838
Comm. Services 164 0.44 1.14 0.0602 0.446 4.014
Consumer Disc. 164 0.88 0.93 0.0581 0.041 1.266
Consumer Staples 164 0.74 1.08 0.0364 -0.396 1.074
Energy 164 0.63 0.87 0.0630 0.047 1.451
Financials 164 0.44 1.49 0.0654 -0.810 3.325
Health Care 164 0.61 1.04 0.0417 -0.496 0.190
Industrials 164 0.82 1.05 0.0567 -0.384 1.523
Info Tech 164 0.75 1.59 0.0778 -0.473 1.286
Materials 164 0.85 0.87 0.0608 -0.185 1.163
Real Estate 147 0.45 1.12 0.0728 -0.575 6.512
Utilities 164 0.57 1.14 0.0475 -0.558 0.633
KOSPI200 164 0.55 0.31 0.0651 0.043 1.359
🔹 4-regime
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📈 Expansion:
Asset Count Mean (%) Median (%) Std Skew Kurtosis
S&P 500 69 0.33 0.94 0.0342 -0.663 0.436
Comm. Services 69 -0.19 -0.39 0.0459 -0.471 0.910
Consumer Disc. 69 0.33 0.61 0.0493 -0.280 0.660
Consumer Staples 69 -0.01 -0.35 0.0287 0.088 -0.620
Energy 69 1.12 ...
