BackTester Help

Backtester is a tool for combining different 13F holdings into a new portfolio using various strategies. The new portfolio is then "backtested" under historical market conditions to determine how well this portfolio strategy would have done and how it might perform in the future.

Rebalancing and Performance Calculation

Stock performance and rebalancing occurs 46 days after the end of the 13F filing quarter. If the 46th day happens to fall on a holiday or weekend then backtester will use the next available business day. So using the March 31, 2009 quarter as an example, 46 days after the quarter would be May 16th which fell on a Saturday. Backtester will then use the following Monday, May 18th, 2009, as the rebalancing date.

Every example that follows uses the following data:

Farallon Capital

Stock	Shares Held	Market Value 46 days after end of quarter
Airgas Inc.	2,052,951	$130,834,566
Alcon Inc.	1,247,088	$205,258,209
Allegheny Energy Inc.	6,955,000	$179,925,856
Charles Schwab Corp.	6,200,000	$120,155,995
Genzyme Corp.	2,667,241	$198,176,014
Hudson Pacific Prop..	7,108,860	$104,997,865
McAfee, Inc.	3,180,000	$152,290,198
Microsoft Corporation	2,285,000	$61,603,598
Oracle Corp.	2,600,000	$85,175,996
Qwest Comm	17,641,500	$125,607,478
State Street Corp.	1,975,000	$90,257,502
Target Corp.	1,510,000	$81,328,601
The Home Depot, Inc.	1,785,000	$67,276,648
Viacom, Inc.	2,395,000	$108,828,797
Wells Fargo	2,240,000	$75,443,201

Greenlight

Stock	Shares Held	Market Value 46 days after end of quarter
Apple Inc.	837,500	$301,416,245
Becton, Dickinson and Co	1,933,500	$155,530,745
BP plc	3,334,333	$156,880,365
Cardinal Health	6,610,500	$276,583,321
CareFusion Corp	13,374,724	$372,352,318
CIT Group, Inc.	7,337,889	$331,672,588
Einstein Noah Restaurant Group	10,733,469	$182,039,624
Ensco plc	9,011,604	$476,533,629
Market Vectors Gold Miners ETF	3,546,971	$203,986,296
MI DEV INC CL A	5,655,235	$157,272,082
Microsoft Corp	7,684,042	$207,161,765
NCR Corp.	11,468,658	$222,033,226
Pfizer Inc.	23,154,098	$441,085,549
Sprint Nextel	55,900,000	$249,314,002
Xerox Corp.	13,500,000	$149,444,996

Appaloosa

Stock	Shares Held	Market Value 46 days after end of quarter
Applied Materials	9,102,726	$146,735,951
Bank of America Corp	25,067,544	$370,247,636
Cisco Systems, Inc.	6,049,791	$112,949,598
Citigroup, Inc.	117,501,357	$576,931,645
Fifth Third Bancorp	9,465,006	$146,234,341
Goodyear Tire & Rubber	10,078,064	$145,023,344
Hewlett-Packard Co	5,843,144	$280,412,490
International Paper Co.	5,399,622	$162,312,634
Macy's, Inc.	5,224,023	$123,025,738
Merck & Co. Inc.	3,683,000	$120,765,573
Micron Technology Inc.	17,764,518	$207,311,926
Microsoft Corp	6,040,911	$162,862,955
Pfizer Inc.	16,562,202	$315,509,935
SunTrust Banks, Inc.	4,193,090	$136,652,804
Wells Fargo	7,460,100	$251,256,170

Stock Selection Options

This sections lets you choose how you want the stocks to be selected from each filer's holdings.

Select most frequently held stocks by absolute count: This will count the number of filers that hold at least one share of a stock for the quarter being rebalanced and takes the top 10 (or 3, 5 or 20) stocks.
So using the example above, the top 3 stocks held by absolute count would be Microsoft (held by all 3), Pfizer (held by 2), and Wells Fargo (held by 2).
select most frequently held stocks by dollar value: takes the top 10 (or 3, 5 or 20) largest holdings from a combined portfolio of the list of filers.
So using the example above, the top 3 stocks held by dollar value would be: Citigroup ($576,931,645), Ensco ($476,533,629), and Pfizer ($756,595,484).
select most frequently held stocks by absolute count that appear among the largest 10 holdings of selected filers: Will look at the top 10 largest holdings from each selected filer and then picks the most frequently held stocks (not necessarily the ones with the largest market value) among all of the selected filers.
So using the example above, the top 3 stocks held by absolute count that appear among the largest 10 holdings of a selected filer would be: Microsoft, Pfizer, and Citigroup. Using this option reduces the risk that minor holdings will be eligible for inclusion in the rebalancing.

Stock Weighting Options

This determines how much money is allocated to each stock whenever a rebalancing occurs.

Balance portfolio on basis of aggregate stock weightings: For the most frequently held stocks by dollar value, weighting is determined by the total market value of the stock in relation to the other selected stocks. Using the example above, Citigroup ($576,931,645), Ensco ($476,533,629), and Pfizer ($756,595,484) where selected for the rebalancing. Assuming that $1,000,000 needs to be allocated among them then:
Citigroup would get $576,931,645 / $1,810,060,758 = 31.874% of available funds or $318,736
Ensco would get $476,533,629 / $1,810,060,758 = 26.33% of available funds or $263,269
Pfizer would get $756,595,484 / $1,810,060,758 = 41.80% of available funds or $417,995
When selecting by absolute count or by absolute count that appear among the largest 10 holdings of each filer, weighting is determined by how frequently the stock appeared in the holdings. Using the example above, Microsoft (held by all 3), Pfizer (held by 2), and Wells Fargo (held by 2) were selected for the rebalancing when choosing absolute count. Assuming that $1,000,000 needs to be allocated among them then:
Microsoft would get 3 / 7 = 42.86% of available funds or $428,571
Both Pfizer Wells Fargo would get 2 / 7 = 28.57% of available funds or $285,714.
balance portfolio by equally weighing stocks: Stocks are given equal weighting. If there is $1,000,000 available for allocating among 10 stocks, then each stock is allocated $100,000.