Research system

ETF Portfolio Research

A reproducible pipeline that optimizes an ETF portfolio, walk-forward backtests it against benchmarks, and renders the whole result as an interactive report — open it below and inspect every assumption for yourself.

Open full report ↗ View source ↗

Interactive report

The walk-forward backtest, live.

Self-contained backtest dashboard: cumulative returns, drawdowns, rolling risk, exposures, and benchmark comparisons. Open full screen ↗

Optimization

Efficient frontier explorer.

Risk/return frontier across optimization objectives, with the selected portfolios placed in context. Open full screen ↗

Performance

Strategy vs. benchmarks.

Headline metrics over the full walk-forward backtest. Percentages are annualized where applicable; ratios are unitless. The optimized strategy is highlighted.
Portfolio	CAGR	Sharpe	Sortino	Max DD	Volatility	Alpha	Beta	Calmar
Loading metrics…	—	—	—	—	—	—	—	—

Charts

Twelve views of the same portfolio.

Cumulative growth of the optimized strategy versus its benchmarks — Cumulative returns

Historical drawdowns of the strategy over time — Drawdowns

Rolling Sharpe ratio over time — Rolling Sharpe ratio

Rolling annualized volatility over time — Rolling volatility

Rolling correlation of the strategy to the benchmark — Rolling correlation

Portfolio composition weights over time — Portfolio weights

Portfolio exposure broken down by asset class — Asset-class exposure

Portfolio exposure broken down by geographic region — Regional exposure

Weighted portfolio expense ratio over time — Weighted expense ratio

Strategy versus benchmark performance overlay — Benchmark comparison

Strategy performance during historical market stress periods — Stress periods

Markowitz efficient frontier with the portfolios placed in context — Efficient frontier

Take it with you

Downloads & provenance.

Optimized portfolios — optimizer target weights and portfolio composition (.xlsx).
Portfolio results — per-period backtest holdings and performance (.xlsx).
Source repository ↗ — the pipeline, configs, and methodology docs that produced everything on this page.

Generated by run — from the committed report artifacts.