Portfolio Return Simulator

 

Forecasts portfolio return distributions.

 

Features

The Portfolio Return Simulator uses Monte Carlo simulation to simulate portfolio return. It has special features that can be used to:

  • Specify annual, quarterly, monthly, weekly, or daily time periods.
  • Specify any horizon date in the future.
  • Specify a joint return distribution for all kinds of assets, including stocks, bonds, bank-loans, risk-free assets, futures, swaps and options.
  • Specify a portfolio containing any combination of investment weights for the assets.
  • Specify the number of simulation trials.
  • Specify the number of points on the probability distribution of portfolio return.

 

Limits

None

 

Applications

The Portfolio Return Simulator allows you to research a variety of investment scenarios. You can use it to:

  • Simulate the probability distribution of portfolio return for any horizon in the future, for a portfolio with just a single initial investment.
  • Simulate the probability distribution of portfolio return for any horizon in the future, for a portfolio built over time with a periodic savings plan but no initial investment.
  • Simulate the probability distribution of portfolio return for any horizon in the future, for a portfolio with a given initial investment followed by a periodic savings plan.
  • Calculate the probability of achieving a given portfolio return at the specified horizon.
  • Calculate the summary statistics for the portfolio return distribution on the horizon date, including the mean, standard deviation, skewness and kurtosis.

 

Operating Environments

The following combinations of computer platforms, libraries and languages are supported:

  • C/C++ libraries for Windows.
  • C/C++ libraries for Linux.

 

Internet and Intranet Systems

The C/C++ subroutine libraries are thread safe and can be used for Internet and Intranet systems.

 

Consulting

Financiometrics Inc. offers consulting services for building in-house systems that incorporate the Portfolio Return Simulator subroutine library, or software components.

Tel: (925)254-9338

Copyright (C) 2000-2011 Financiometrics Inc.