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If using R is an option: With package PMwR, which I maintain, you could compute a time-series of returns for such a portfolio in one line of code: ## P -- a matrix of prices: each column holds the prices of one asset ## w -- a matrix of target weights: each row holds a portfolio ## t -- a vector of times (i.e. row numbers) at which to rebalance library(&...


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QuantRocket supports two backtesters, both of which are designed to support universe sizes in the thousands. Moonshot is pandas-based and has the scalability you would expect from a pandas-based library. It's a good choice if you already know and love pandas. Zipline has a design that allows you to dynamically filter thousands of securities each day and ...


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I know this is an old question, but I encountered this problem too, years ago, and the answer is that you can actually compute confidence intervals for VaR backtesting of overlapping returns. From what I understand, banks usually derive them with heavy Monte Carlo simulations (so they generate the overlapping returns a large amount of times and look at the ...


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I ran some quick simulations and the differences don't seem particularly drastic: The black line above is the cumulative total return (inclusive of dividends) of IEF. The yellow line is the so-called "excess return" index for TY (aka ZN), which is the cumulative return of buying and holding TY contracts. To compute this index, I assume that you ...


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You need to include the Roll Yield https://www.investopedia.com/terms/r/roll-yield.asp#:~:text=Roll%20yield%20is%20the%20return,premium%20to%20longer%2Ddated%20contracts. Future contracts are usually rolled 4 times a year. When you do the roll, there is a price difference between contracts, and you need to include that. CBOE has a "Pace of the Roll"...


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In addition to adding the return for your invested cash you have to roll the futures every quarter buy selling the front month and buying the back month a few days before the delivery cycle starts. You'll need some different contract specific data to do that. That should get you pretty close.


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IEF as an ETF will also have management costs. Also the duration of IEF is lower since it is holding a basket of 7-10 Yr US Treasuries vs a 10 Yr note future, which is a future on just the 10Yr Note (actually a 10Yr 6% Note). There may be some optionality, such as Cheapest-to-deliver, at play with the future. Also, you will incur roll risk and costs of the ...


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