Gallery of Examples

This gallery of examples highlights typical use cases of the different tools provided by Portfolio Visualizer.

  1. Portfolio Modeling
    1. Backtest Asset Allocation
    2. Backtest Portfolio Performance
  2. Monte Carlo Simulations
    1. Monte Carlo Simulation
    2. Monte Carlo Simulation Using Forward Looking Capital Market Expections
    3. Financial Goals Planning
  3. Portfolio Optimization
    1. Efficient Frontier
    2. Resampled Efficient Frontier
    3. Mean Variance Optimization
    4. Risk Parity Optimization
    5. Constrained Optimization
    6. Portfolio Optimization Using Forward Looking Capital Market Expections
  4. Asset Analytics
    1. Factor Regression Analysis
    2. Asset Correlations
  5. Timing Models
    1. Moving Averages
    2. Relative Strength
    3. Dual Momentum
    4. Adaptive Allocation
    5. Target Volatility

Asset Allocation

Compare historical performance and risk vs. return profile of different asset allocations:

Portfolio #1
  • 60% Total US Stock Market
  • 40% Total US Bond Market
Portfolio #2
  • 40% Total US Stock Market
  • 20% International ex-US Stock Market
  • 10% Real Estate
  • 30% Total US Bond Market

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Portfolio Performance

Analyze the performance, exposures and dividend income of a portfolio consisting of equities, ETFs and mutual funds:

  • 40% Vanguard Total Stock Market Index Fund (VTSMX)
  • 20% Vanguard Total International Stock Index Fund (VGTSX)
  • 10% Vanguard Real Estate Index Fund (VGSIX)
  • 30% Vanguard Total Bond Market Index Fund (VBMFX)

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Monte Carlo Simulation

Use the Monte Carlo simulation tool to model the probability of different outcomes based on the given portfolio asset allocation and cashflows.


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Monte Carlo Simulation Using Forward Looking Capital Market Expections

Simulate portfolio performance with forward looking return and volatility assumptions rather than relying on historical estimates for asset returns.


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Sample Capital Market Expections
Asset Class Expected Return
US Equities 5.5%
International Equities 5.7%
US Bonds 1.8%
REITs 5.0%
Sample assumptions for expected annual returns

Financial Goals Planning

Use Monte Carlo simulation to test portfolio growth and survival against specified financial goals both during career and retirement.

  • Save $1,500 per month during career
  • Support college education for one child with $40,000 per year for 4 years
  • Withdraw $3,500 per month during retirement

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Efficient Frontier

Visualize the efficient frontier for any asset classes or funds.

What asset mix has provided the best risk adjusted return historically?

How has the efficient frontier changed from decade to decade?


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Resampled Efficient Frontier

Use resampling to mitigate the impact of input estimate errors in the mean variance optimization and to improve diversification in the efficient frontier portfolios


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Mean Variance Optimization

Use the portfolio optimization tool to optimize portfolios based on risk adjusted performance or other target criteria.

  • Vanguard Total Stock Market ETF (VTI)
  • iShares S&P SmallCap 600 Value Index Fund ETF (IJS)
  • iShares MSCI EAFE Index Fund ETF (EFA)
  • Vanguard Emerging Markets ETF (VWO)
  • Vanguard Real Estate ETF (VNQ)
  • iShares Barclays 20 Year Treasury Bond Fund ETF (TLT)
  • iShares Corporate Bond Fund ETF (LQD)
  • SPDR Gold Shares ETF (GLD)

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Risk Parity Optimization

Use optimization to find the risk parity portfolio that equalizes the risk contributions of portfolio assets.


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Allocation constraints
Asset Risk Contribution Target
Vanguard Total Stock Market ETF (VTI) 25%
Vanguard Total International Stock ETF (VXUS) 25%
Vanguard Real Estate ETF (VNQ) 25%
Vanguard Total Bond Market ETF (BND) 25%

Constrained Optimization

Use allocation weight constraints at both asset and asset group level to enforce specific minimum and maximum allocation weights.


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Allocation constraints
Asset Group Min Weight Max Weight
SPDR S&P 500 ETF Equity 5% 40%
iShares S&P Small-Cap 600 Value ETF Equity 5% 20%
iShares MSCI EAFE ETF Equity 5% 30%
iShares MSCI Emerging Markets ETF Equity 5% 15%
iShares 20+ Year Treasury Bond ETF Fixed Income 5% 30%
iShares 7-10 Year Treasury Bond ETF Fixed Income 5% 30%
iShares iBoxx $ Invmt Grade Corp Bd ETF Fixed Income 5% 20%

Portfolio Optimization Using Forward Looking Capital Market Expections

Optimize portfolio weights using forward looking capital market expectations.


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Sample Capital Market Expections
Asset Class Expected Return
US Equities 5.5%
International Equities 5.7%
US Bonds 1.8%
REITs 5.0%
Sample assumptions for expected annual returns

Asset Correlations

View asset correlations for selected assets. How has the correlation changed over time?

  • Vanguard Total Stock Market ETF (VTI)
  • Vanguard Real Estate ETF (VNQ)
  • SPDR Gold Shares ETF (GLD)
  • Vanguard Total Bond Market ETF (BND)

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Correlations for the specific portfolio assets
Ticker VTI VNQ GLD BND
VTI - 0.76 -0.02 -0.32
VNQ 0.76 - 0.06 -0.02
GLD -0.02 0.06 - 0.27
BND -0.32 -0.02 0.27 -
Daily correlations from 01/01/2011 to 12/31/2016

Factor Regression Analysis

Run factor regression (Mkt, HmL, SmB, Mom) to see the factor loadings for the specified assets:

  • iShares S&P Small-Cap 600 Value (IJS)
  • iShares Russell 2000 Value (IWN)
  • Guggenheim S&P Smallcap 600 Pure Value (RZV)
  • Vanguard Small Cap Value ETF (VBR)

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Factor regression analysis of the selected ETF tickers
Ticker Rm-Rf SMB HML MOM Annual Alpha R^2
IJS 0.98 0.77 0.32 -0.04 1.84% 97.2%
IWN 0.97 0.81 0.43 0.04 -0.38% 98.1%
RZV 1.08 1.03 0.35 -0.40 1.09% 93.2%
VBR 1.04 0.51 0.26 0.02 0.12% 97.9%
Monthly returns regression from 01/01/2011 to 12/31/2016

Market Timing - Moving Averages

Backtest moving average timing models for a single asset or for a portfolio of assets. For example, test market timing with the S&P 500 index using VFINX with 10-month simple moving average (SMA) from 1990 onwards.


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Market Timing - Relative Strength

How well did momentum based asset class rotation work in the past? Backtest asset class ETF momentum strategy rotating across asset classes based on past 5-month performance:

  • iShares Russell 1000 Index (IWB)
  • iShares Russell 2000 Index (IWM)
  • iShares MSCI EAFE Index Fund (EFA)
  • iShares MSCI Emerging Markets Index (EEM)
  • SPDR Dow Jones REIT ETF (RWR)
  • PowerShares DB Commodity Index Fund (DBC)
  • SPDR Gold Shares (GLD)
  • iShares 20+ Year Treasury Bond ETF (TLT)
  • T-Bills/Cash

Compare the results against buy-and-hold portfolios. How would the results change based on different time periods?

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Market Timing - Dual Momentum

Explore dual momentum timing model combining relative momentum with an absolute momentum based trend-following filter:

Momentum Assets:
  • Vanguard 500 Index Fund (VFINX)
  • Vanguard Total International Stock Index Fund (VGTSX)
Fixed Income Asset:
  • Vanguard Total Bond Market Index Fund (VBMFX)

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Market Timing - Adaptive Allocation

Adaptive asset allocation model combining relative strength momentum model with inverse volatility or minimum variance based asset weights.

Hold top two best performing assets with risk parity weighting:

  • Vanguard Total Stock Market Index Fund (VTSMX)
  • Vanguard Total International Stock Index Fund (VGTSX)
  • Vanguard Real Estate Index Fund (VGSIX)
  • Vanguard Total Bond Market Index Fund (VBMFX)

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Market Timing - Target Volatility

Use target volatility model to keep portfolio within preferred risk tolerance. Compare drawdowns and risk adjusted performance against annually rebalanced buy-and-hold portfolio.

Portfolio assets for 8% annualized volatility target:

  • 40% Vanguard Total Stock Market Index Fund (VTSMX)
  • 20% Vanguard Total International Stock Index Fund (VGTSX)
  • 10% Vanguard Real Estate Index Fund (VGSIX)
  • 30% Vanguard Total Bond Market Index Fund (VBMFX)

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