yahoo finance -> historical data -> download csv. Below is Samsung https://ca.finance.yahoo.com/quote/005930.KS/history?p=005930.KS If your firm had you sign an NDA on these top-secret stocks don't they have the data for them?
From your posts and PM's I am not too sure if you are trolling me or just want me to do your homework. Can you first try what I mentioned? To answer post and PM For Sharpe over the total period your formula is =(AVERAGE(RowSumRet)-RiskFreeRate*)/STDEV(RowSumRet) Where RowSumRet = the row sums of your weighted portfolio returns. You can create a rolling 252 day period to calculate your rolling annualized sharpe ratio. The risk free rate you can make 0.
Ok thanks! I just want to let you know that portfoliovisualizer was able to do everything that I was looking for in Portfolio A. Only issue with that site is that it does not have access to non-US stocks, so I am stuck! Thanks for the formula!
That's not the only issue. For Portfolio A, all instruments are expressed in a common unite of account (USD) and have the same risk-free rate, and probably also have synchronous closing prices and holiday schedules. For Portfolios B and C, even if foreign market closing prices were available, without contemporaneous closing FX and 1-day forward rates, and adjustment for non-synchronous closes and holiday schedules, your historical Sharpe Ratio will be both inflated and inconsistent (spurious).
That's a good point Kevin. At this point, I am willing to overlook the non-synchronous nature of foreign stocks as the % of foreign stocks is very low (less than 20 %) in the portfolio.
Www.amibroker.com does portfolio backtesting. The non us data can be downloaded for free using the amiquote program.
Hi, Wealth-Lab Pro is free of charge for U.S. residents with qualified active trader accounts at Fidelity Investments. The data for EU/Asian stocks can also be obtained for free through Yahoo data provider (or some other). -Eugene
For the price, nothing is gong to compare to Amibroker. It can utilize all of your CPU cores for backtesting. It can do portfolio backtesting and add your own metrics to your reports. The language is a cross between C and Excel. But you have to change your thinking to working with arrays of data instead of iterations over data. You can download the manual and see if it fits your specific needs.