This gallery of examples highlights some examples of the tools provided on this site.
Compare historical performance and risk vs. return profile of different asset class allocations and lazy portfolios:
View and analyze the historical returns of a given portfolio:
Use the portfolio optimizer tool to run optimize portfolios based on mean-variance, conditional value-at-risk (CVaR), or drawdowns, and explore the efficient frontier of the portfolio assets for a given time period.
View asset correlations for selected assets. How has the correlation changed over time?
|Daily correlations from 01/01/2011 to 12/31/2016|
Run four-factor analysis (Mkt, HmL, SmB, Mom) to see the factor loadings for the specified assets, for example:
|Monthly returns regression from 01/01/2011 to 12/31/2016|
Use the Monte Carlo simulation tool to see how long a $1,000,000 portfolio with 60% stock and 40% treasury note allocation would survive in retirement with $45,000 inflation adjusted annual withdrawals.
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?
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.
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:
Compare the results against buy-and-hold portfolios. How would the results change based on different time periods?
Explore dual momentum timing model combining relative momentum with an absolute momentum based trend-following filter:
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:
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: