Portfolio Analytics
Backtest
Definition
What is Backtest?
A simulation of how an investmentAn asset or commitment of money made with the expectation of future income, growth, or both. strategy would have performed using historical data.
Example in practice
How This Looks in Practice
A momentumThe tendency of assets with strong recent performance to continue outperforming for a period. rule is tested on ten years of past prices.
Keep learning
Related Terms
Portfolio Analytics
Correlation
A statistic ranging from minus one to plus one that describes how two return series move together.
Portfolio AnalyticsPositive Correlation
A relationship in which two assets tend to move in the same direction.
Portfolio AnalyticsNegative Correlation
A relationship in which two assets tend to move in opposite directions.
Risk ManagementStress Test
An analysis of portfolio performance under severe but plausible scenarios.