Once the backtest is done, you will see a summary page with the following metrics and result.
The summary page presents the backtest results for the strategy named Super Value within the Inovestor platform, measured against the benchmark S&P/TSX Composite TR. Below is a breakdown of the key metrics and data shown:
1. Key Performance Metrics (Highlighted in Red)
- Return: The strategy generated a return of 10.2%, which represents its annualized performance since the inception of the backtest.
- Relative to Benchmark: The strategy outperformed the benchmark by 1.7%.
- Turnover: The portfolio turnover rate is 97%, indicating frequent rebalancing or changes in portfolio holdings.
- Sharpe Ratio: The Sharpe ratio, which measures risk-adjusted return, is 0.4 for the strategy.
- Information Ratio (IR): The Information Ratio is 0.1, which shows the strategy’s risk-adjusted return relative to the benchmark’s risk.
2. Periodic Returns (Highlighted in Yellow)
- 1-Year Return: The strategy returned 19.1%, underperforming the benchmark, which returned 26.5%, leading to a relative underperformance of -7.2% over the past year.
- 3-Year Return: The strategy posted a 19.5% return, outperforming the benchmark’s 9.4%, with a relative outperformance of 10.1%.
- 5-Year Return: The strategy returned 18.5%, compared to the benchmark’s 10.7%, resulting in an outperformance of 7.8% over five years.
- 10-Year Return: The strategy slightly outperformed the benchmark with a return of 9.9% versus the benchmark’s 8.8%.
- 15-Year Return: The strategy’s return over 15 years was 10.1%, outperforming the benchmark’s 8.4% by 1.6%.
3. Risk and Volatility Measures
- Standard Deviation: The strategy's standard deviation (a measure of volatility) is 22.8% compared to the benchmark’s 13.3%.
- Downside Deviation: The downside risk (focused on negative deviations) for the strategy is 13.2%, higher than the benchmark’s 8.6%.
- Tracking Error: The strategy's tracking error, which indicates how closely the portfolio follows the benchmark, is 14.5% over the full period. This is relatively high, implying significant deviation from the benchmark's returns.
4. Sharpe Ratio and Relative Metrics
- The Sharpe Ratio for the strategy is 0.4, compared to the benchmark’s 0.5, indicating slightly lower risk-adjusted returns for the strategy.
- The Relative Standard Deviation metrics show the Tracking Error and the IR Ratio across various time periods:
- 5-Year Tracking Error is 13.8%, with an IR ratio of 0.6.
- 10-Year Tracking Error is 13.4%, with an IR ratio of 0.1.
5. Growth of $1,000,000
The chart at the bottom shows the growth of $1,000,000 invested in the strategy versus the benchmark from August 2004 to September 2024. The strategy consistently outperformed the benchmark, with a steeper upward trajectory, particularly in the later years of the backtest.
In summary, the strategy has shown strong returns over the long term, especially over the 3-year and 5-year periods, while slightly underperforming the benchmark in the most recent year. The high turnover rate and tracking error suggest active management with significant deviations from the benchmark, and the lower Sharpe ratio indicates that the strategy’s risk-adjusted returns may not be as favorable compared to the benchmark.
For more details about the results of the backtest the user can click on the following tab :
1. Summary (already explain above).
2. Performance Breakdown
3. Holdings
4. Transactions
5. Sector Weights
6. Description
Performance Breakdown Page
The user can view the results on a Monthly, Quarterly, or Annual basis (1). In this example, we have selected the Annual period. Additionally, the user can export the results as a CSV file by clicking the Export to CSV button (2), which allows for further analysis or record-keeping outside the platform.
The template is made of 7 columns.
1. Strategy Unit Value
This column shows the value of one unit of the strategy at the end of each year, providing a snapshot of how the strategy's unit value has grown or declined over time.
2. Index Unit Value
This column displays the value of one unit of the benchmark index at the end of each year, allowing for a direct comparison with the strategy's unit value.
3. Strategy Return
This column shows the annual return generated by the Super Value strategy, representing the percentage gain or loss of the strategy for each year.
4. Index Return
This column displays the annual return of the benchmark index over the same period, providing a reference for how the index performed.
5. Net Return
This column calculates the difference between the strategy's return and the benchmark index's return, showing the strategy's relative performance for each year.
6. Turnover
The turnover rate for each year, indicating the percentage of the portfolio's holdings that were replaced over the course of the year. A higher number signifies more frequent trading.
7. % Invested
This column shows the percentage of the portfolio that was invested in stocks each year. It reflects how much of the portfolio was allocated to stocks, with any remaining portion likely held in cash.
The user has the flexibility to select specific dates for each month throughout the entire backtest period (1), allowing for a detailed analysis of performance over various time frames. This feature provides granular control over the backtest, enabling the user to focus on specific months of interest or view the strategy’s progress on a more frequent basis.
Additionally, the user has the option to export the data into a CSV file (2). This export function provides further versatility by allowing the user to choose between exporting data for the currently selected date or exporting all historical data accumulated during the backtest. The CSV format makes it easy to analyze the data in external tools, such as spreadsheets or data analytics platforms, and allows for more in-depth reporting or historical comparisons outside of the Inovestor platform. This functionality is particularly useful for users who want to conduct detailed reviews or share backtest results with others.
The Portfolio Holdings table displays detailed information about the stocks included in the strategy. Each column provides specific data about the stock’s symbol, sector, ranking, and market value. Here’s a breakdown of each column:
- Symbol:
This column lists the ticker symbols of the stocks currently held in the portfolio. These symbols serve as unique identifiers for each stock, allowing users to quickly recognize the companies included. - Name:
The Name column shows the full company names associated with each stock symbol. This column helps users identify the underlying companies more easily without relying solely on ticker symbols. - Symbol ID:
This column displays a unique internal identification number for each stock. The Symbol ID is typically used for system purposes to track each stock within the database. - Rank:
The Rank column indicates the position of each stock according to the strategy’s ranking system. Stocks with higher ranks are typically considered more favorable within the context of the strategy. This ranking can help users understand which stocks are prioritized in the strategy. - Sector (GICS):
This column shows the Global Industry Classification Standard (GICS) sector code for each stock. It categorizes stocks into sectors like Energy, Healthcare, Technology, etc., which provides an understanding of the portfolio’s sector diversification. - Sector Name (GICS):
This column expands on the sector code by providing the full name of the sector for each stock. It helps users quickly see how stocks are distributed across different sectors in the portfolio. - Shares:
The Shares column indicates the number of shares held in each stock. This figure helps users understand the size of the portfolio’s position in each company. - Cost:
The Cost column displays the purchase price per share of each stock. It reflects the price at which the stock was originally acquired, providing a baseline for calculating gains or losses. - Market:
This column shows the current total market value of each stock holding, calculated by multiplying the number of shares by the current stock price. It provides a real-time view of the market value of each position. - % Weight:
The % Weight column indicates the percentage of the total portfolio value that each stock represents. This helps users understand the relative importance of each stock within the overall portfolio, with higher percentages indicating larger positions.
The user must select the Start and End dates (1) to view the transactions within the application. Additionally, the user can export the data to a CSV file by clicking the Export to CSV button (2). There are two export options: the user can either export the data for the current view or choose to export all historical data for a more comprehensive dataset.
In the Transactions section, users can view all the historical trades made within the strategy. Each column in the table provides specific details about each transaction, including the type of trade, stock details, and financial information. These columns provide users with a detailed overview of their portfolio's trading activity, allowing them to analyze their strategy’s performance and the financial impact of each transaction.
Below is a description of each column:
1. Date:
This column displays the date on which each transaction was executed, offering a clear timeline of all buy, sell, or trim actions within the portfolio.
2. Transaction:
The Transaction column identifies the type of action performed, such as Buy, Sell, or TrimUp, providing insight into how the portfolio’s positions were adjusted over time.
3. Symbol:
This column lists the ticker symbols of the stocks involved in the transactions. Each symbol serves as the unique identifier for the stock in the market.
4. Name:
The Name column provides the full company name associated with each stock symbol, offering more context about the entities being traded.
5. Price:
The Price column shows the per-share price at which the transaction occurred, allowing users to see the cost or sale price of the stock at the time of the trade.
6. Div/Interest:
This column shows any dividends or interest payments related to the stock during the transaction, reflecting any income earned from the asset, if applicable.
7. Shares:
The Shares column indicates the number of shares traded, helping users understand the size of each transaction, whether it’s a purchase, sale, or adjustment.
8. Rank:
This column displays the ranking of each stock within the strategy at the time of the transaction. The rank is determined by the strategy’s algorithm, indicating the stock’s importance or favorability in the portfolio.
9. Market:
The Market column shows the total market value of the transaction, calculated by multiplying the number of shares by the price per share. This gives users an understanding of the overall size and financial impact of the trade.
Accessing the Strategy Module
Creating a New Strategy
Defining Ranking, Buy and Sell Rules
Advanced Configuration
Back-Testing the Strategy
Sector Weights and Strategy Description
