:

Portfolio backtesting tools

Hi folks. Just curious what, if anything, folks are using to analyze historical performance of portfolios.
I've played a little bit with ETFReplay.com today. It's actually kind of nice for a quick look, but I don't know that the full access is worth $30/mo.
Their free tool isn't bad:
formatting link
(Handy trick - you can use any symbol as your benchmark - including VBINX if you want a 60/40 index) I spent a little time with it today with a few 2,3, and 5 fund portfolios.
Fidelity's got some tools for backtesting active strategies, but I didn't see a simple asset-allocation/periodic-rebalance version, nor did the multi-symbol backtest allow anything other than a few equity indices as the sets of symbols. (ie. the Dow 30 stocks).
FolioFN will let you do backtesting, but you have to have an account. Their system would probably work pretty well for a lot of people, actually, and I've been thinking about opening an account just to try them out anyway. (As if I need any more accounts anywhere right now.)
But I'm really looking for something to do target-allocation with periodic rebalances (with or even without bands for trade triggers - since this is theoretical anyway, I don't mind if it's a hard rebalance to fixed percentages), and to include mutual funds, ETFs and equities, to run the allocations over various historical time periods, show returns, volatilities, etc.
I've done a lot of this by hand on spreadsheets in the past and maintain a pretty decent sized database of historical prices for a batch of symbols (thanks, Yahoo), but I just can't justify the time it would take to roll my own tools.
I've noted a couple of other tools, none of them cheap - such as Kwanti and MultiCharts.
And I'm certainly hoping to avoid the expense of something like MStar Principia, though that appears to be the standard (ie. I see financial journalists refer to screens and other research they've done through it all the time).
Anyway, I'd love to hear what folks use, if they use anything at all.
--
David S. Meyers, CFP(R)
http://www.MeyersMoney.com
Reply to
David S. Meyers CFP
On Jun 29, 6:34 pm, "David S. Meyers CFP" wrote:
A few ideas, maybe not fitting your bill above exactly but perhaps helpful to some readers:
joetaxpayer.com linked
formatting link
recently. It goes back to 1972, which may not satisfy all readers.
The seminal discussion of "target allocation" to me is the Trinity Study. For example see
formatting link

Were you hoping for a tool that would look at individual stock positions? For example, how the stock GE did over the last 100 years? I have often hoped for such a tool but realize that the larger companies have so many spinoffs and mergers that it can get complicated. I rely on what Jeremy Siegel says on this, in general terms but with some specific companies cited, in _The Future for Investors_ (2005).
Reply to
Elle
Elle writes:
Thanks for posting these, Elle.
It's actually a pretty nice tool with a good, broad array of asset-class choices to play with.
There was an update by the original Trinity authors, published in the April Journal of Financial Planning which extended the original study out through 2009. Conclusions were quite similar, and it's worth the read. There seems to be an article roughly every other month in the JFP (published by the FPA) about these issues.
Actually, most of the asset classes I want to work with have decent ETFs, though the period of coverage is sometimes quite short. Some of the studies extend backwards using indices or switching when you get to before a given asset class was available easily. And there are a few things I want to play with which just aren't represented well in any funds or ETFs. I've been building out a historical database of prices and distributions for a wide variety of things (big thanks to the ease with which I am able to script downloads from Yahoo), but before I spend a huge amount of time writing code, I was hoping to find something out there that's already done the work. It's obviously out there, but apparently the main way to access this stuff is through quite pricey services like Morningstar's professional platforms.
I think I'm going to have to write the code anyway, as there are some analyses that would be less likely to be able to be done unless, for example, I could get the third-party tool to implement rebalancing/distribution management in very specific custom ways.
Thankfully, the Yahoo data is free. I haven't asked, but I'm sure even subscriptions to "serious" databases (ie. UChicago has a service) are out of my price range. (The Federal Reserve also makes some great time-series data available for free, too).
Very true and, thankfully, most of those companies are easy enough to ignore specifically, inasmuch as they are covered pretty well in either indices or ETFs.
I'll take a look at that next time I get a chance.
Thanks again.
--
David S. Meyers, CFP(R)
http://www.MeyersMoney.com
Reply to
David S. Meyers CFP
Good post. I've been subscribed to etfreplay for a few weeks and it looks fantastic to me. My only concern is that the big kehuna on this subject, Mebane Faber, author of the Ivy Portfolio, a great little book, started an etf, I think called GTAA, which hasn't done very well. Any knowlege on this?
Jerry
Reply to
grehert

BeanSmart website is not affiliated with any of the manufacturers or service providers discussed here. All logos and trade names are the property of their respective owners.