Backtesting portfolio asset allocation
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civs
le 28 Juil 2014
Commenté : Roger Wohlwend
le 30 Juil 2014
Hello,
I have 4 portfolio strategies I want to backtest. The portfolio strategies come from other 2 codes I created (mean-variance and mean-ES portfolio optimization frontier). Each of these strategies are basically just the weights of five different asset classes in the portfolio(s).
I want to compare the profitability of these four strategies for the period Jan 1st 2000 to May 1st 2014 evaluating the market value of the portfolios at every 10-day interval starting from Jan 1st 2000. All this assuming that I invest 1 million USD in every portfolio and hold the portfolio for the whole period mentioned.
My question is: How can I do this?
Thanks.
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Roger Wohlwend
le 29 Juil 2014
Modifié(e) : Roger Wohlwend
le 29 Juil 2014
Assume that each column in the matrix Prices contains the time series of one your asset classes. Then calculate first the returns of the asset classes.
Returns = diff(log(Prices))
Now calculate the historical portfolio returns.
PortfolioReturns = Returns * PortfolioWeights;
Now let's see what happens to your million dollars:
Portfolio = 1e6 * [1; exp(cumsum(PortfolioReturns))]
Repeat this calculation for every portfolio.
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