Don’t know exactly how to use our tools? Read our Quantpedia Answers series, which will give you a manual and responses to the most frequently asked questions through brief and clear instructions.
Can you stress test my portfolio?
1. The first step to answering this question is to create a portfolio in the Portfolio Manager. We use an equally-weighted portfolio consisting of IEF, EFA, GLD, and SPY.
2. Secondly, we go to Portfolio Analysis -> Crisis Analysis tool. This tool performs a crisis scenario analysis of your model portfolio, so you can review your portfolio’s performance during 15 significant crisis periods over the last 20+ years. If there is no data history of the underlying asset/ strategy for a certain crisis period, only be the SPY benchmark will be illustrated.
3. The report is split into long-term crises and short-term shocks:
– the first section contains six longer time periods with significant stock market’s drawdowns
– the second section includes nine short-term shocks (like the 9/11 attacks, the 2010 flash crash, etc.).