Backtesting portfolio asset allocation

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civs
civs 2014-7-28
评论： Roger Wohlwend 2014-7-30
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
Roger Wohlwend 2014-7-29
编辑：Roger Wohlwend 2014-7-29
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.
  2 个评论
civs
civs 2014-7-29
Hi Roger,
Thank you for your answer. I actually have the matrix of returns already. It is a 3740 x 5 matrix with every column (from 2 to 6) representing the returns of an asset class. The first column (1) has the dates.
But how do I make sure that I get the market value of every portfolio strategy every 10 days? I am assuming the investor bought these portfolios and held them until the end of the period, and there were no withdrawals during the period.
Roger Wohlwend
Roger Wohlwend 2014-7-30
Assuming you have daily data, just take every tenth data point.

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