Test Optimization Strategies Over Time

Produce model portfolios and simulate how strategies will perform given real-world constraints.

Portfolio simulation uses your chosen risk model, optimizer, and predicted Alpha inputs, along with the constraints you enter, to produce simulated portfolios. Leverage Barra, Northfield, or Axioma’s optimization engine along with integrated accounting, benchmark, and third-party information in FactSet.

• Control the start date, end date, and frequency of the backtest
• Change constraints and compare multiple runs with different constraints side-by-side to quantify a strategy’s sensitivity to each condition
• Analyze the output reports to reveal differences in the risk characteristics and reasons for under- or over-performance
• Run multiple models and save the results without interrupting your FactSet session
• Adjust for stock splits and adding cash earned from dividends to the next period’s initial portfolio
• Employ stop-loss and lock-gain strategies