Backtest periodic returns

We added a column chart for the backtest results. This chart shows the periodic returns. The frequency is user selectable (weekly to yearly).

You may export the chart data to Excel using the icon on the top right of the chart.

Column returns chart

To change to other chart types, use the labels on the top left:

  • Cumul: portfolio cumulative returns
  • Value: portfolio value
  • Weight: relative portfolio positions weights

Backtest custom date ranges

Feature added: you can backtest by calendar year or use custom date ranges. The selected time range also applies to the Excel export.

International indices added

Added in Portfolio Lab “risk/return” and “ETF correlations” views:

  • FTSE/Xinhua China 25 Index (FXI)
  • MSCI Australia (EWA)
  • MSCI Brazil (EWZ)
  • MSCI Canada (EWC)
  • MSCI France (EWQ)
  • MSCI Germany (EWG)
  • MSCI South Africa (EZA)
  • MSCI South Korea (EWY)
  • MSCI United Kingdom (EWU)

Comparing portfolios

A new command ‘Compare’ is situated under the performance metrics table. You may select any of your portfolios to compare with the current portfolio, making it easier to compare the portfolios returns, alpha, beta and other statistics.

compare Portfolios

In the example above, the current portfolio my portfolio is compared to another portfolio US sectors. In addition, the S&P500 Index benchmark is also displayed.

Excel export for backtest results

Export to Excel the monthly, quarterly, yearly periodic returns for the backtest by following these steps:

  1. Select the “Period’ view of the backtest chart
  2. Select the desired frequency for the report
  3. Click on the Export icon