Portfolio Lab october 2011 release

Changes for Portfolio Lab v2.5, released Oct 20, 2011

  • Portfolio optimization: options to control the optimization process are added: (1) expected returns are adjustable (2) min/max constraints are adjustable (3) capital market expectations (equity risk premium and risk free rate used to calculate expected returns) are adjustable (more)
  • Volatility charts: portfolio volatility chart (rolling 50 days standard deviation of daily returns) is available as an option in the Backtest view. In the new Asset profile view (see below), a volatility chart is available for each portfolio position (more)
  • Asset profile view: for each portfolio position, quickly look up the total return and risk statistics, price chart, periodic return chart and volatility chart. This view is activated through selection in the main portfolio view.
  • Enhanced index/benchmarking: in addition to the current portfolio, two other portfolios, stocks, indexes, ETFs or mutual funds may be compared in the backtest view (previously only portfolios could be compared). The selection of indexes is increased.
  • Backtest statistics: the statistics table previously displayed on the left of the Backtest chart is moved inside the Backtest tab for a more spacious display. A Show best option highlights for each metric, the portfolio with the best performance.
  • Max drawdown: metrics for the recovery are added in both the chart display and the statistics table. The recovery day is the first day after the trough when the initial portfolio value (the peak of the drawdown) is recovered. The drawdown and recovery display in the chart are enhanced to better highlight the duration of the drawdown and recovery.
  • Backtest log: a table is added in the Backtest view to present the list of transactions, as well as dividends distributions and rebalancing events.
  • Rebalancing: options are added to rebalance on trigger 5% or 10%, rather than at fixed calendar dates. For example, a trigger 5% means that rebalancing will be triggered if any position is more than, or less than, 5% of its target. In addition, rebalancing is enhanced to transact only on whole number of shares, and subject to a minimum transaction.
  • Weight Editor: Fractional weights are supported. A Round weights function is added.
  • Max history available: in case some assets have insufficient history and are excluded from Backtest, an option is added to automatically select the length of the maximum history available.
  • ETF correlations: for the correlation of returns between the portfolio and ETFs, it is possible to select between monthly and daily returns correlations (previously only monthly correlations were available).
  • Snapshot: all snapshot windows have a Full dark background option, in addition to the previously available light and partial dark backgrounds.
  • Excel export: Exported file has a .csv format to resolve Microsoft Excel compatibility issued which were encountered with the previous format.
  • Other: rebalancing dates are more visible in the backtest chart; the backtest custom date chooser colors match the other backtest window components; all popup windows are redesigned for better usability; context-sensitive help is available where applicable.

Total return charts

According to this study, most popular financial websites provide return data and charts that does not include dividends or capital gains. As a result, investors and advisors using these sites for their research may be biased against income-generating assets.

(note: Kwanti Portfolio Lab always reports total returns, inclusive of income).

 


Commodities as a diversifier

In the past few years, the correlation between commodities and other asset classes has increased, calling into question the diversification benefits of commodity indexes.

An academic study suggest that the increased correlation is caused by the slew of ETFs and funds that now track commodities. With  access these products, passive investors buy and sell commodities as a homogenous block, as opposed to individual future contracts. As a result, fundamental supply and demand characteristics of individual commodities no longer matters. Consistent with this theory, the correlation of non-indexed commodities has remained close to its long term average.

Read more in this research summary.


Symbol discovery for stocks, funds and ETFs

With an improved data feed in place, Kwanti expanded its coverage of the US market to more than:

  • 22000 mutual funds
  • 13000 stocks
  • 1000 ETFs

To help you retrieve symbols, we added an auto-completion box:

We plan on further expanding our coverage later this year. Please note that money market funds are not supported at this time; we suggest rolling all money market fund positions into the $CASH position, which earns the US 3 month T-bill rate, a fair approximation for money market fund rates.


Snapshots: custom charts on demand

To obtain a chart image suitable for printing or including in your web page or blog, use the snapshot function.

To take a snapshot, click the camera icon on top of the chart.

Take a snapshot

A snapshot window opens where you may customize the image, as shown below. For example, you may:

  • switch to a white background
  • scale the image to fit a specific size

edit snapshot

Finally, click Save Image to select the destination folder for the image file.

The snapshot function is available for most charts in Portfolio Lab, including the backtest, correlations and efficient frontier charts.