When an asset does not have enough history for the selected backtest length, Portfolio Lab fills its missing price history with the prices of a similar asset or index. This operation is called a backfill.
In the above example, the selected backtest length was 20 years, however two portfolio assets had less than 20 years history:
- VWNEX (Vanguard Windsor fund) only has history back to 2001 (shown in green.) Its price history is extended with VWNDX - the same fund but with a different share class (shown in blue.)
- IVV (an ETF tracking the S&P500) only has history back to 2001. Its history is extended using the S&P500 prices.
Backfill defaultPortfolio Lab automatically selects a backfill index by looking up the biggest allocation class for the asset, or the fund category if available. For example, a mutual fund whose biggest asset allocation is mid cap will be backfilled with a mid-cap index.
Changing the backfillTo assign a different asset for backfill, click on the blue bar representing the backfill. A menu appears with a choice of indexes, stocks, ETFs and funds, as shown below:
You may select a different backfill for each asset. When done, click 'Save Changes' to update the backtest.
Double backfillThe asset you choose as a backfill may itself not have enough history to extend to the desired period length. In this case, Portfolio Lab uses a second backfill.
In the example below, SPVIX (a small-cap mutual fund) has history from 2002. For backfill, SPVAX (the same fund but with a different share class) is used from 1997 to 2002 and the S&P 600 SmallCap Index is used as a second backfill from 1994 to 1997.
Unlike the primary backfill, the secondary backfill can only be chosen from a restricted set of indexes.