Performance Analysis
Assess the performance using Cumulative returns, CAGR, Sharpe ratio, and more.
Risk Analysis
Measure the risk using Volatility, Drawdowns, Value at Risk (Var) and more.
Monte Carlo Simulation
Simulate possible portfolio returns using the Monte Carlo method.
Markowitz Efficient Frontier
Optimize asset allocation using the Markovitz Mean-Variance model.
Simply input or upload your portfolio
Input your portfolio within seconds by selecting assets and their allocation. Our platform supports a wide range of assets, including stocks, ETFs, and mutual funds.
Get started with popular "lazy" portfolios. See more.
Find funds that align with your investment goals. See more.
Simply input or upload your portfolio
Input your portfolio within seconds by selecting assets and their allocation. Our platform supports a wide range of assets, including stocks, ETFs, and mutual funds.
Get started with popular "lazy" portfolios. See more.
Find funds that align with your investment goals. See more.
Compare return and risk metrics
Compute the returns of your investment strategy by backtesting it and comparing it to a benchmark of your choice. We help you to analyze the risk of your portfolio and determine price fluctuations.
Compare return and risk metrics
Compute the returns of your investment strategy by backtesting it and comparing it to a benchmark of your choice. We help you to analyze the risk of your portfolio and determine price fluctuations.
Understand numbers behind your portfolio
Gain a deeper insight into metric definitions and formulas used in our tool. Hover over the "" icon to see the definition.
Find all definitions in a single page. See more.
Understand numbers behind your portfolio
Gain a deeper insight into metric definitions and formulas used in our tool. Hover over the "" icon to see the definition.
Find all definitions in a single page. See more.
Run advanced Monte Carlo and Efficient Frontier computations
Use the Monte Carlo method to forecast the price developments of your investment strategy. Identify asset allocation with the highest returns for your risk tolerance using the Markowitz Mean-Variance model.
Run advanced Monte Carlo and Efficient Frontier computations
Use the Monte Carlo method to forecast the price developments of your investment strategy. Identify asset allocation with the highest returns for your risk tolerance using the Markowitz Mean-Variance model.
Save and share your backtesting reports
Easily save your portfolio analysis and share it with collaborators or investors. Showcase your strategic approach and outcomes with detailed, shareable reports.
See a shared report as an example.
Save and share your backtesting reports
Easily save your portfolio analysis and share it with collaborators or investors. Showcase your strategic approach and outcomes with detailed, shareable reports.
See a shared report as an example.
Get actionable insights on how to improve
your portfolio through AI ANALYSIS
Look for the button in the report.
See a shared report as an example, or go to the dashboard.
Explain Key Metrics
IMPORTANT: This functionality is developed on GPT-3.5, a large language model (LLM), powered by OpenAI. LLMs can make mistakes. Consider checking important information.
TLDR: The user's portfolio has shown superior performance compared to the benchmark (SPY) across various metrics. The cumulative return, CAGR, annual return, monthly return, and daily return of the user's portfolio have significantly outperformed the benchmark. Additionally, the user's portfolio exhibits higher Sharpe ratio, Sortino ratio, Omega ratio, and Calmar ratio compared to the benchmark, indicating better risk-adjusted returns. In terms of risk metrics, the user's portfolio has slightly higher annualized volatility but a lower max drawdown compared to the benchmark. The user's portfolio also shows better recovery factor, ulcer index, and serenity ratio, which suggest that the user's portfolio handles risk more effectively than the benchmark. In a detailed comparison, the user's portfolio has consistently outperformed the benchmark across different time frames, outpacing in terms of best day, worst day, best month, worst month, best year, and worst year. Additionally, the user's portfolio exhibits a higher alpha, indicating the ability to generate excess returns above the benchmark. Overall, the user's strategy seems to have been successful in delivering strong returns while managing risk effectively when compared to the benchmark.
Elevate Your Investment Strategy
Data-Driven Insights
Reveal comprehensive financial insights with statistical analysis algorithms.
Proven Financial Methods
Leverage established and conventional financial methods.
Rational Decision Making
Take a quantitative investing approach rather than relying on your intuition.
User-Friendly Interface
Experience an intuitive interface designed for ease of use for all users.
Ready to get started?
Premium
Features
Backtest Portfolio
Performance and Risk Analysis
Monte Carlo Simulation
Efficient Frontier Optimization
AI Summary
40+ Years of Historical Data
Share Reports
Save Reports
Create Reports with Multiple Portfolios
Download PDF Reports
Frequently Asked Questions
What is portfolio backtesting?
Backtesting is the process of testing a trading or investment strategy using historical data to evaluate its performance. It helps users assess the viability and potential risks of their strategies before applying them in real-time.
Moreover, backtesting can help you to find out what investment strategies work well in which market conditions. For example, you might find out that your strategy only works in a bull market while it is unsuitable for a bear market. Backtesting is also an important step in becoming more rational and data-driven in your investment decisions. This means avoiding strategies that are overly-optimistic or ‘too good to be true’.
What is the benefit of portfolio backtesting?
Portfolio backtesting provides several benefits, including the ability to evaluate the historical performance of your investment strategy, identify potential strengths and weaknesses, and make informed decisions about future investment choices. It allows users to assess risk, optimize asset allocation, and gain insights into how their portfolio would have fared under different market conditions.
What is the Portfolio Metrics?
Portfolio Metrics is a comprehensive web application designed for investors to assess the performance and risk of their investment strategies. It allows users to backtest portfolios, compare them to benchmark indices, simulate returns, and optimize asset allocation. The platform provides valuable insights to help users make informed decisions and enhance their investment strategies.
Is the Portfolio Metrics free?
Yes, the main functionality of the Portfolio Metrics is available for free. Users can access core features, including investment strategy backtesting, portfolio analysis and visualization without any cost. However, we do plan to introduce premium features in the future for users seeking advanced capabilities.
How does the backtesting process work in the Portfolio Metrics?
Portfolio Metrics allows users to input their investment strategies and portfolios, and then tests these against historical market data. The application simulates how the strategy would have performed in the past, providing insights into potential returns and risks.
You have a lot of freedom in choosing your own input factors, such as the timeframe you want to backtest and even the risk-free rate that you want to apply.
What metrics and charts are available on the dashboard?
The dashboard provides a comprehensive set of financial metrics and charts, including but not limited to portfolio returns, drawdowns, Sharpe ratio, and more. Visual representations help users better understand the strategy's performance over time.
Is the platform suitable for both novice and experienced investors?
Yes, the Portfolio Metrics is designed to cater to users with varying levels of experience. Whether you are a seasoned investor or a beginner, the user-friendly interface makes it easy to navigate and utilize the platform effectively.
However, it is important to emphasise that while the tool is accessible to anyone, beginners who want to understand the intricacies of financial methods should explore these methods further beyond our tool and learn more e.g. via Investopedia.
Is the application actively being developed, and can we expect more features in the future?
Yes, the Portfolio Metrics is actively in development. We are committed to enhancing the user experience and plan to roll out additional features in future updates. Stay tuned for exciting developments that will further empower you in analyzing and optimizing your investment strategies.