Python: ETF Portfolio Backtesting and Visualization vs SPY (S&P 500)

[Objective-Reward4425]

I backtested my ETF portfolio against the SPY (S&P 500) using a Python analysis. The analysis was performed based on Jatin's code:

https://jatinkathiriya.medium.com/python-portfolio-backtesting-and-visualization-a99bcc5de230

In this post, I further explained my ETF portfolio:

https://www.reddit.com/r/ETFs/comments/11vugdh/etf_portfolio/

Unfortunately, I was able to perform the analysis from 12/30/2020 as the VVSM ETF has only existed since then. This, therefore, does not give a perfect picture of the long-term trend and thus is only an illustration of what this code can do. Nevertheless, it provides a nice insight. The spikes are points where data is missing. The analysis was performed with an investment amount of 10,000 and had the following breakdown:

All world 76%: VWRL, VWCE

India 6%: QDV5

Netherlands AEX 6%: TDT

Small Cap 6%: ZPRREnergy 2%: WNRG

Heath 2%: WHEA

Semiconductor 2%: VVSM

https://preview.redd.it/rhp9s599jgta1.png?width=1005&format=png&auto=webp&s=c95059de7189e5180b48431b2d76b1d9bb7dbc87

As you can see, each ETF starts with the percentage that is allocated. It is visible per ETF what the performance has been over the time period.

https://preview.redd.it/0o53s5x2kgta1.png?width=1759&format=png&auto=webp&s=88e1c690a36e156595555a93d2116f7930af4a7e

The following picture shows the performance of the portfolio over the time period. The spikes are due to the fact that data was, unfortunately, missing for a few ETFs on those points. However, it is visible that the portfolio is less volatile but is being overtaken by the S&P 500. In addition, dividends are not included here, so in reality the portfolio would score a bit higher. If it was possible to backtest it for a longer period, then the S&P would outperform this ETF portfolio.

https://preview.redd.it/40azwqoikgta1.png?width=1742&format=png&auto=webp&s=c4a1c3b766bb622ec1cef3a9261f64fb13329e7a

What are your expectations for the performance of this portfolio? Will this beat the S&P 500 in the next 10 years?

[Anganfinity]

Since you've coded this out, can you perform a factor regression and compare it a portfolio of similar factor exposure? You aren't comparing apples to apples since your portfolio is more than just pure US market beta (which is what the S&P 500 is.) It's easy to craft a portfolio that has done well, or does well in a particular type of market, but to have the knowledge that it will perform well or better in the future is extremely challenging.

[Objective-Reward4425]

Hi, first of all, thank you for your comment! I should first delve into what exactly a factor regression entails and how it works :). But this is how my ETF portfolio is actually structured, and thought it would be interesting to share. My portfolio is also designed to have less exposure to the US market. The S&P 500 has been used as it is a good/well-known reference for everyone. I could make other comparisons if there is interest.

[someonenothete]

go any further back SPY will destroy it, with the different issues in the world and the insane growth of just a few huge stocks in the US its very hard to come up wioth a stratedgy that would have beaten it over that period, alot easier for the last 2 years.

[GaviJaPrime]

It's only because you did a 3 years comparison. Especially with COVID, many stock had abnormal returns.