POW! Backtest

POW! Backtest enables portfolio managers to analyse their investment strategy in term of ex ante or ex post active performance or run exploratory simulations.

POW! Backtest module incorporates the following features

  • Time-varying constraints (allowing testing of factor tilting strategies or model switching approaches)
  • Portfolios selectable by (time-varying) return, tracking error, lambda, psi
  • Parametric or Bootstrap optimisation both available
  • Compatibility with Industry standard risk model
  • Reporting, for each period and cumulatively, both ex ante and ex post:
    • portfolio trades and weights, absolute and benchmark-relative
    • forecast and actual returns, risks, turnover, transaction costs
    • Sharpe ratio, information ratio etc
  • Results are output to Excel or client code for further user analysis
  • Automatic user-definable graphing of results

The backtest engine can also be turned in a simulation tool enabling the study of particular aspects of the investment strategy on set of realisations of a fictive market. In such case, the return times series (TS) are not the historical data but generated using POW! Normal or AutoRegressive (VAR(1)) multivariates TS generators. Finally, backtest can compute regime switching models.

If you would like to know more about backtest application, then take a look at these downloadable files:

POW! Frontier needs to be installed to run the backtest example. If you do not already have POW! please fill in this form and request a demo version.

You may also wish to look at the page on POW! Automation.