Backtest Portfolio
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Key Metrics
Performance Metrics
Risk Metrics
Detailed Returns
Benchmark Comparison
Key Metrics
Performance Metrics
Risk Metrics
Detailed Returns
Benchmark Comparison
Asset Comparison
Asset analysis provides insights on individual assets within the investment portfolio, including, performance and risk metrics, correlations between assets and the overall asset allocation strategy.
Diversification plays a critical role in portfolio construction, because the risk of the portfolio is not defined by the average riskiness of its underlying assets but by the extent to which they move together - their correlations.
Asset Allocation Pie Chart
Asset Comparison Table
Performance Analysis
The performance analysis examines historical data to assess the returns of the investment strategy, including key metrics such as Cumulative returns, End of Year (EoY) returns, and risk-adjusted returns like the Sharpe ratio or the Sortino ratio.
Cumulative Returns
End of Year Returns Table
End of Year Returns
Risk Analysis
The risk analysis refers to an assessment of potential negative events that could lead to a loss of capital. Conducting a risk analysis can help in deciding whether an investment should be made. This is done using risk metrics such as drawdowns, volatility and beta which reflect stakeholders' confidence in the consistency of an investment strategy.
Drawdowns
Drawdowns Table
Monte Carlo Simulation
The Monte Carlo simulation is used to project the future performance of a portfolio by randomly generating returns of the individual assets in the portfolio. The estimated probability distribution of the portfolio is then used to evaluate metrics like average or median growth, Value at Risk (VaR), and Conditional Value at Risk (CVaR).
IMPORTANT: The forecast generated through Monte Carlo simulations is purely hypothetical and does not guarantee future returns. Investment decisions should be made with consideration of various factors, and past performance is not indicative of future results.
Monte Carlo Metrics
Simulated portfolio prices for 252 trading days
Markowitz Efficient Frontier
In modern portfolio theory, the Markowitz Mean-Variance model estimates optimal portfolio allocations relative to performance and risk. The model allows investors to increase their expected returns without increasing their risk or decrease their risk without reducing their expected returns.
The visualization shows a set of portfolios, called Efficient Frontier, that have the greatest expected return for a given risk.