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 search 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 and Backtesting only)
Optionally enter:
- Initial portfolio value
- Cash contributions or withdrawals (e.g. monthly deposits)
These allow simulation of real-life saving/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
Did this answer your question?
😞
😐
🤩