Backtest Dynamic Allocation

This portfolio backtesting tool allows you to backtest a historical sequence of dynamic portfolio allocations where the portfolio model assets and their weights have changed over time. The results include portfolio risk and return metrics, drawdowns, rolling returns, and returns based style analysis. A periodic contribution or withdrawal can also be specified along with an optional static allocaiton portfolio or a benchmark for comparisons.

The historical assets and allocation weights can be imported in a standard Excel or CSV file format. The file layout captures the start date for each allocation along with assets and their weights. Calendar specific rebalancing can be optionally enabled, otherwise the allocation will drift freely between the specified trade dates. Please refer to the sample files below for the supported data import formats.

Supported Data Import Formats

Type Description Example
Column Based Format The column based format uses a separate column for each asset. The value in the column specifies the weight for the asset on the given day, and blank values are treated as 0%. Download
Compact Format The compact format uses a single cell to specify the list of assets for the given date, and the second cell specifies the weight for each asset. Download
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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