Portfolio Backtest
Overview
The backtesting tool allows you to analyze the performance and risk characteristics of one or more portfolios
over several years.
Analyzing past portfolio performance is critical to understanding the characteristics of your portfolio and whether or not these are within acceptable limits.
While past performance is not indicative of future results, backtesting is still a valuable technique in understanding how a portfolio has behaved relative to the market.
Using the backtester involves simply creating a portfolio of stocks using the web based Portfolio Analyzer and then running a backtest against that portfolio by selecting a benchmark and time span.
Analyzing past portfolio performance is critical to understanding the characteristics of your portfolio and whether or not these are within acceptable limits.
While past performance is not indicative of future results, backtesting is still a valuable technique in understanding how a portfolio has behaved relative to the market.
Using the backtester involves simply creating a portfolio of stocks using the web based Portfolio Analyzer and then running a backtest against that portfolio by selecting a benchmark and time span.
The default benchmark used for backtesting is the $SPY ETF however this can be changed to any instrument you
feel is appropriate for the given portfolio.
By analyzing portfolio performance relative to a benchmark, you gain insight into the validity of your portfolio construction and asset allocation approach.
Several key performance and risk metrics are calculated such as:
By analyzing portfolio performance relative to a benchmark, you gain insight into the validity of your portfolio construction and asset allocation approach.
Several key performance and risk metrics are calculated such as:
- Sharpe, Calmar and Sortino Ratios
- Alpha & Beta
- Maximum Drawdown & Annual Volatility
- etc...
Features
Specify any stock or ETF to use as a benchmark.
Compare portfolio performance relative to the market.
Analyze key metrics such as the Sharpe, Calmar and Sortino ratios.
Calculate performance characteristics such as Compound Annual Growth Rate, Annual Volatility and Maximum Drawdown.
Generate rolling historical charts of Sharpe and Beta.
Analyze how these ratios have changed over time.
Determine whether or not a portfolio's risk characteristics have been within acceptable limits.