Step 1: Enter the tickers you would like to be in your portfolio. Step 2: Enter the start and end dates for the simulation. Step 3: Select how often you would like to update the asset allocations (Frequency of Updates). Step 4: Enter the 'Settings for Calculating Asset Allocation' for each weighting scheme. These settings determines how each metric is calculated, and what value is minimized or maximized in your portfolio.

Results show the equity curve and statistics for the Asset Allocation methods: Minimizing the Volatility, Minimizing the Variance, Maximizing the Sharpe Ratio, Maximizing the Information Ratio.

US Equities

Index this data is based on: Russell 1000 [Data Since 1924]
Index this data is based on: Russell 1000 Value [Data Since 1931]
Index this data is based on: Russell 1000 Growth [Data Since 1925]
Index this data is based on: Russell Midcap [Data Since 1938]
Index this data is based on: Russell Midcap Value [Data Since 1949]
Index this data is based on: Russell Mid Cap Growth [Data Since 1935]
Index this data is based on: Russell 2000 [Data Since 1956]
Index this data is based on: Russell 2000 Value [Data Since 1968]
Index this data is based on: Russell 2000 Growth [Data Since 1946]
Index this data is based on: Wilshire US Micro-Cap Total Market Index [Data Since 1978]
Index this data is based on: London Bullion Market Association (LBMA) Gold Price [Data Since 1968]
Index this data is based on: BofA Merrill Lynch - Convertible Bonds All Qualities [Data Since 1956]
Index this data is based on: S&P 1500 Telecom Services [Data Since 1984]
Index this data is based on: Index: S&P 1500 Energy TR [Data Since 1981]
Index this data is based on: S&P 1500 Cons Staples TR [Data Since 1989]
Index this data is based on: S&P 1500 Financials [Data Since 1963]
Index this data is based on: S&P 1500 Health Care [Data Since 1981]
Index this data is based on: S&P North American Natural Resources [Data Since 1969]
Index this data is based on: MSCI World - Metals & Mining [Data Since 1956]
Index this data is based on: Wilshire US Real Estate Investment Trust Total Market Index [Data Since 1977]
Data Since 1948
Index this data is based on: S&P 1500 Utilities [Data Since 1948]

World Equities

Data Since 1954
Index this data is based on: MSCI ACWI Ex USA [Data Since 1961]
Index this data is based on: MSCI ACWI Ex USA Value [Data Since 1981]
Index this data is based on: MSCI ACWI Ex USA Growth [Data Since 1981]
Index this data is based on: MSCI World Ex USA SMALL-MID Value [Data Since 1991]
Index this data is based on: MSCI World Ex USA SMALL-MID Growth [Data Since 1988]
Index this data is based on: MSCI EM [Data Since 1989]
Index this data is based on: MSCI Europe [Data Since 1986]
Index this data is based on: MSCI China [Data Since 1992]
Index this data is based on: MSCI AC Far East Ex Japan [Data Since 1989]
Index this data is based on: MSCI Japan [Data Since 1962]
Index this data is based on: MSCI EM Latin America [Data Since 1991]
Index this data is based on: S&P Global REIT [Data Since 1989]

US/World Bonds

Index this data is based on: Barclays US Government Long [Data Since 1983]
Index this data is based on: Barclays US Government [Data Since 1969]
Index this data is based on: Barclays Government 1-5 Yr [Data Since 1975]
Index this data is based on: Barclays US Treasury US TIPS [Data Since 1988]
Index this data is based on: Barclays US Govt/Credit Long [Data Since 1973]
Index this data is based on: Barclays US Agg Bond [Data Since 1954]
Index this data is based on: Barclays US Govt/Credit 1-5 Yr [Data Since 1971]
Index this data is based on: Barclays Govt/Corp 1 Yr Duration [Data Since 1983]
Index this data is based on: BofA Merrill Lynch US High Yield Master II [Data Since 1935]
Index this data is based on: JPM EMBI Global [Data Since 1994]
Index this data is based on: Barclays Municipal 10 Yr 8-12 [Data Since 1976]
Index this data is based on: Barclays Municipal 20 Yr 17-22 [Data Since 1976]
Index this data is based on: Barclays Municipal 10 Yr 8-12 [Data Since 1976]
Index this data is based on: Barclays Municipal 3 Yr 2-4 [Data Since 1977]

Tickers

The fund tickers that make up your portfolio are entered here. Tickers should be separated by a comma Example: SPY,MDY,TLT


Select exchange here, then enter tickers normally. Ex. VCN should be entered for Vangaurd FTSE Canada All Cap fund.




How often the backtester re-weights the portfolio.

If a symbol didn't trade for entire length of backtest you may want to select this option

Allocation for Next Period (tentative)

[The weightings for next period's update for each weighting scheme as of the end date of the simulation.]

Settings for Calculating Asset Allocation

Enter the settings below for each weighting scheme used for calculating how each fund is weighted in the portfolio.
Length of lookback for Sharpe/Information Ratio/Volatility/Variance to determine weightings.
F Factors: Large Numbers mean volatility is more important, 1 is standard method of calculation.
Dampen Allocations: 100% is non-dampened (unadjusted) & 0% is fully dampened.










1/2 months and non-monthly update periods only possible when average months used.
Enter the Ticker You Would Like to Benchmark the Results Against:

Benchmark Fund: US LARGE CAP BLENDED



Note: Please save all settings before exiting or reloading this page. You may use the download settings button at the bottom of the page, settings are also recorded in the downloadable report.
If you would like to save your settings copy the below URL, and bookmark it. When you would like to resume, visit this bookmark and settings will be filled in automatically.









Monte Carlo Simulation

Runs a Monte Carlo Simulation based on backtest results. Backtest Results give a value for expected return % (CAGR), and volatility %. Using these two numbers the Monte Carlo calculates future expected returns. Since the values used to calculate are based on backtest results the model is only accurate if the backtest is an accurate representation of the future.

These values are used in the simulation to determine expected future performance, thus the Monte Carlo is only as accurate as these numbers are accurate.

Correlation Coefficients

Correlation Coefficients taken during entire backtest length


Performance Summary




Annual Performance For Each Asset Allocation Method




Downloads



The spreadsheets below can be downloaded and imported into the Combined Portfolio App or Portfolio Rotation or Portfolio Moving Average Tools or edited in Excel Download Daily Equity Report - Sharpe Ratio Weighted
Download Daily Equity Report - Information Ratio Weighted
Download Daily Equity Report - Variance Weighted
Download Daily Equity Report - Volatility Weighted


All settings and symbols can be downloaded below for later reference. Download Settings
A HTML Report can be downloaded below with settings and equity curve information, please save file to drive before opening. This file may be shared with others or saved to your computer for future reference. Download HTML Report

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