MathWorks Expands Risk, Investment and Portfolio Management Capabilities with Addition of Backtesting Framework

NATICK, Mass.--(BUSINESS WIRE)--MathWorks today announced a new backtesting framework in Financial Toolbox, available in Release 2020b of the MATLAB and Simulink product families. The new backtesting framework allows investment managers, risk managers, and traders to extend their use of the toolbox for risk, investment, and portfolio management.

Backtesting, routinely performed in trading and risk management, is a framework that uses historical or simulated data to validate financial models, including trading strategies and risk management models. Now, Financial Toolbox can help finance professionals define investment strategies, run backtests, and summarize results to conduct risk vs. return tradeoffs. The framework can also be used to analyze results and generate performance metrics for strategies from historical or simulated market data. The toolbox supports custom transaction costs, expanding or rolling lookback windows, margin trading, and long/short portfolios.

“The ability to backtest portfolios can save time and reduce errors that can be introduced by rebuilding tests for each asset class and investment strategy,” said Stuart Kozola, manager – quantitative finance products, MathWorks. “Financial Toolbox enables investment managers, risk managers, and traders to continue working in the familiar, fully transparent, and customizable MATLAB environment to evaluate investment strategies across all asset classes and sources of data, including alternative datasets.”

Financial Toolbox provides functions for the mathematical modeling and statistical analysis of financial data. It can be used to analyze, backtest, and optimize investment portfolios, taking into account turnover, transaction costs, semi-continuous constraints, and defined minimum or maximum number of assets. The toolbox enables finance professionals to estimate risk, model credit scorecards, analyze yield curves, price fixed-income instruments and European options, and measure investment performance.

To see how Financial Toolbox can simplify backtesting, read and run online examples for Backtesting Investment Strategies and Backtesting Investment Strategies with Trading Signals.

R2020b of Financial Toolbox is available immediately worldwide. To learn more, visit mathworks.com/products/finance.

About MathWorks
MathWorks is the leading developer of mathematical computing software. MATLAB, the language of engineers and scientists, is a programming environment for algorithm development, data analysis, visualization, and numeric computation. Simulink is a block diagram environment for simulation and Model-Based Design of multidomain and embedded engineering systems. Engineers and scientists worldwide rely on these product families to accelerate the pace of discovery, innovation, and development in automotive, aerospace, electronics, financial services, biotech-pharmaceutical, and other industries. MATLAB and Simulink are also fundamental teaching and research tools in the world’s universities and learning institutions. Founded in 1984, MathWorks employs more than 5000 people in 16 countries, with headquarters in Natick, Massachusetts, USA. For additional information, visit mathworks.com.

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