past performance is no guarantee of future results

February 11, 2016 8:23 AM

Portfolio Visualizer is a website that lets you backtest asset allocations, conduct Fama-French Factor Regression Analysis, look at Asset Correlations, run Monte Carlo simulations, find the efficient frontier, or test market timing models against historical data.

So what do these things mean? John Norstad has an introduction to modern portfolio theory

posted by the man of twists and turns (6 comments total)

That F-F regression tool is really cool! I was kind of dreading having to write my own and figure out economists' bizarro data sources before I could start exploring it.
posted by indubitable at 8:31 AM on February 11, 2016 [1 favorite]

Coincidentally I was reading Stock Market Prices Do Not Follow Random Walks earlier which led me to another nice resource: Quandl that has a ton of historical data for download and analysis. You have to pay for a lot of it but there are tons of free databases too. You can pull stuff directly into R, Python and Excel. Will come in handy when I finally get around to my shady get rich scheme.
posted by kersplunk at 8:41 AM on February 11, 2016 [1 favorite]

The list in the FPP is not exhaustive!
posted by the man of twists and turns at 8:48 AM on February 11, 2016

So! This is what I do every day for a living! I discovered this site a few years ago and while I've run into a few limitations with what it can do based on my admittedly very nitpicky data requirements, overall I think it's a super solid site.
posted by triggerfinger at 9:05 AM on February 11, 2016 [2 favorites]

This is great, was looking for something similar.
posted by miyabo at 9:15 AM on February 11, 2016

Thank you for this. Much appreciated.
posted by AugustWest at 9:22 AM on February 11, 2016