Rowboat Tax-Aware Backtester / Simulator
Overview
Our backtester / simulator makes it possible to run an investing strategy under a set of different tunings over a multi-year period.
Key Features
Very sophisticated treatment of tax. This allows for realistic tax simulations that are tailored to individual client situations, such as their specific:
- tax brackets
- deposit / withdrawal patterns
- starting loss carryovers
- expectations of future external net gains - if there aren't enough gains to offset, realized losses are modeled as being carried over into the next year(s).
We published paper in the prestigious PMR Journal of Beta Investment Strategies which illustrates one such aspect of sophistication:
https://www.linkedin.com/posts/iraklis-kourtidis-80063a_directindexing-wealthmanagement-wealthtech-activity-6934539172376449024-hdvh/
Realistic behavior: our backtester uses our optimizer for trading, so it's WYSIWYG.
Key Benefits
Allows investment research to deploy new investing products easily.
Allows advisors to tune a strategy to a client (e.g. how much does the client care about tracking vs. squeezing out every little bit of tax alpha?)
Fully automates generation of simulated results that can be visually inspected by advisors and even clients. A bit like investment reporting, except focusing on the future instead of the past.