About Backtester

» Wizard Interface

» Analytics

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Summary

The summary screen recaps the test's parameters and displays performance information about the specific portfolios generated by the test. It also includes several useful tools:

• Performance grid tab: uses color to display the overall returns of each portfolio relative to other portfolios in the test.


• Sort breakpoints tab: this table displays the actual metric values used to create the boundaries of each portfolio. These values change over the life of the test.


• Correlations tab: renders a correlation matrix that measures the portfolios' movements in relation to one another.


• Export results button: generates an Excel spreadsheet of detailed monthly returns and portfolio values that can be used for further analysis.


• Export securities button: generates an Excel spreadsheet that shows the individual securities held in each portfolio for each month of the test.


• Optimize button: links to a webpage that formats the Backtest results for use with Professor Stambaugh's Portfolio optimization utility.

Values and Returns over Time

This graph shows monthly values and returns for each portfolio over the life of the test.

Rate of Return over Time

This graph shows each portfolio's cumulative returns over the life of the test.

Security Count over Time

This graph displays the number of securities held by each portfolio for each month of the test. This rendering is useful when trying to determine which portfolios maintained the requested security count over the life of the test and which did not.

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