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:
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(Handy trick - you can use any symbol as your benchmark -including VBINX if you want a 60/40 index) I spent a littletime 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.
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
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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
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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 writes:
Thanks for posting these, Elle.
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.
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?
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