Portfolio Visualizer provides online portfolio analysis tools for backtesting, Monte Carlo simulation, tactical asset allocation and optimization, and investment analysis tools for exploring factor regressions, correlations and efficient frontiers.
Backtest a portfolio asset allocation and compare historical and realized returns and risk characteristics against various lazy portfolios.
Run regression analysis using Fama-French and Carhart factor models for individual assets or a portfolio to analyze returns against market, size, value and momentum factors.
Factor Regression » Market Model Regression » Match Factor Exposure » Fund Factor Regressions » Performance Attribution »
View correlations for asset classes and selected tickers for a given time period including rolling correlations over time.
Asset Correlations » Asset Class Correlations » Asset Autocorrelation » Asset Cointegration »
Run Monte Carlo simulations for the specified asset allocation based on historical or forecasted returns to test long term expected portfolio growth and survival.
Chart the efficient frontier to explore risk vs. return trade-offs based on historical or forecasted returns. Optimize portfolios based on mean-variance, conditional value-at-risk (CVaR), ratios, or drawdowns. Apply the Black-Litterman model to find the optimal portfolio based on market views.
Historical Efficient Frontier » Forecasted Efficient Frontier » Portfolio Optimization » Black-Litterman Model » Rolling Optimization »
Compare and test market timing models based on moving averages, momentum, the Shiller PE ratio valuation, and target volatility.
Market Valuation » Moving Averages » Momentum Rotation » Dual Momentum » Adaptive Allocation » Target Volatility » Core-Satellite »
