Monte Carlo Portfolio Simulator & Backtester
Welcome to the Monte Carlo Portfolio Pro Risk Simulator. This is a pro-grade financial planning tool running 100% client-side in your web browser. Enable JavaScript to access the fully interactive charts, correlation matrices, backtesters, and simulation engines.
Key Capabilities & Features
- Interactive Portfolio Designer: Customize asset weights, assign tickers, and balance allocations up to 100%.
- Historical Backtesting: Connect directly to live stock and crypto prices to test how your portfolio would have performed historically.
- Monte Carlo Simulation Engine: Simulate future portfolio values over multiple decades under thousands of stochastic scenarios.
- Value at Risk (VaR) & CVaR: Calculate precise downside risks and tail-risk estimates under 95% confidence intervals.
Advanced Quantitative Models
- Geometric Brownian Motion (GBM): The industry-standard continuous-time random walk model for projecting future price paths.
- GARCH(1,1) Volatility Clustering: Models realistic market regimes where high-volatility events are followed by high-volatility clusters.
- Merton Jump Diffusion (Black Swan): Incorporates unexpected, severe Poisson-distributed shocks to represent market crashes.
- Historical Moving Block Bootstrapping: Preserves historical momentum, trends, and return distributions by sampling blocks of returns directly from actual market histories.
- Cholesky Decomposition: Factorizes the covariance matrix to preserve correlations between individual assets during simulation runs.
Terminology Glossary & Metrics
- CAGR (Compound Annual Growth Rate): The mean annual growth rate of an investment over a specified period longer than one year.
- Sharpe Ratio: Measures the risk-adjusted return of an investment asset or portfolio.
- Max Drawdown: The maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
- 95% Value at Risk (VaR): The maximum estimated loss within a 5% worst-case probability limit.
- 95% Conditional Value at Risk (CVaR): The expected average loss of a portfolio if it drops into the worst-case 5% tail outcomes.
Privacy & Security
Your privacy is our priority. No login is required, no sign-ups exist, and no data is ever uploaded or sent to any backend servers. All simulations, backtests, and charts run completely client-side in your local browser sandbox.