Run Monte Carlo simulations on investment portfolios with configurable return distributions, correlations, and probability of ruin analysis.
A Monte Carlo portfolio result is a distribution of hypothetical paths, not a single forecast. This simulator repeatedly samples portfolio returns from the configured distributions, applies the selected relationships between assets, and summarizes the resulting values and frequency of ruin. It is useful for comparing assumptions about uncertainty and diversification. The common mistake is reading a percentile or ruin percentage as an objective probability about the future. Every reported figure is conditional on the return distributions, correlations, time horizon, and other values entered.
Each simulation trial produces a sequence of sampled returns from the configured distributions. When the portfolio contains multiple assets, the correlation settings influence how their sampled returns move together. Applying those returns over the selected horizon creates one possible portfolio path. Repeating the process produces a range of paths rather than one deterministic ending value.
The probability of ruin is an empirical simulation result: it is the share of generated paths that meet the simulator's ruin condition. It remains conditional on every entered assumption, particularly the horizon, distribution parameters, and correlations. Running more trials can reduce random sampling noise, but it cannot make an unsuitable return model representative of real markets.
No. It can show a range of values produced by the selected assumptions and indicate where simulated outcomes are concentrated. A median, percentile, or average is not a promised future value. Actual markets may have different returns, volatility, dependence, and extreme events from those represented by the configured distributions.
It can make the displayed estimate more stable by reducing variation caused by a limited sample of simulated paths. It does not establish that the underlying probability is correct. If the return distribution, correlation assumptions, horizon, or ruin definition poorly represents the question, additional trials only estimate that same model more precisely.
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