Lab · Monte Carlo
Monte Carlo simulation
Loading analysis
Chance of a profit
After one year
Middle outcome
Half end above this
Bad case
1 in 20 end below
Good case
1 in 20 end above
Where 1,000 simulated years end
Show the maths
Prices as of . Each of 1,000 paths simulates 252 trading days of geometric Brownian motion, starting from your . The expected return μ and volatility σ come from the portfolio's past year; the daily log drift is (μ − σ²/2)/252, so the average outcome grows at μ.
Real markets have fatter tails and changing volatility than this model assumes, so the bad case is likely to be too mild.
QuantLab is an educational tool, not investment advice. Past performance does not predict future results. Terms · Privacy ·