1.3 What data do I need?

To run a portfolio backtest or optimization in PortfolioMetrics, you only need a few core inputs:

1. Assets (Tickers)

Enter the symbols for each asset in your portfolio.

Supported: ETFs, stocks, indices, crypto assets and some mutual funds

Example: SPY, AGG, GLD, EFA

2. Asset Allocations or Shares

Define how much each asset should contribute to the portfolio.

You can enter:

• Percentages (e.g. 60% stocks, 40% bonds)
• Number of shares (Backtest only, via "Use Shares")
• Constraints (Optimization only – including group-level constraints)

3. Date Range

Select the historical period to analyze.

Backtesting will simulate real performance over time; optimization searches for better allocations over time.

4. Benchmark

Set a benchmark index to compare against (e.g. SPY, VT).

This helps evaluate performance relative to the market.

5. Rebalancing (optional)

Choose how often the portfolio should be rebalanced:

• Annually
• Quarterly
• Monthly
• Or never

6. Initial Value & Cash Flow (optional, Backtesting only)

Optionally enter:

• Initial portfolio value
• Cash contributions or withdrawals (e.g. monthly deposits)

These allow simulation of real-life saving and investing behavior.

7. Advanced Settings (optional)

You can fine-tune your analysis by adding:

• Expected Returns & Volatility (for custom forecasts or optimization)
• Currency
• Risk-Free Rate
• Monte Carlo settings (years to forecast, estimation method)
• Missing data handling
• Dividend reinvestment