Performance statistics features

Analyze and forecast the performance of your optimum and benchmark portfolios

OptiFolio makes it easy for the analyst to manage multiple portfolios, examine their compliance with imposed limits, automatically calculate performance statistics and forecast future portfolio values using Monte-Carlo Simulation.

The Portfolio Manager

This interface allows you to keep track of all your portfolios and extract key information with a few clicks.


Monte-Carlo Simulation

Monte-Carlo Simulation allows you to forecast thousands of possible portfolio value-paths for the following days.

The following graphic will give you an idea of the simulation process. Numerous feasible paths are estimated. Each path is carefully built employing a "multivariate statistical copula", which is a procedure that takes into account the uncertainty behind each asset and the correlation among assets.


Monte-Carlo forecasting

Using Monte-Carlo simulation, OptiFolio can give you a measurement of the distribution of expected values for your portfolio.

In the following chart, the program is showing the critical 95% and 99% percentiles of the distribution for each future period. In other words, the curved lines show the highest and lowest expected values of the portfolio along time with a level of certainty of 95% and 99%, respectively. In this particular case 10,000 possible paths were analyzed for the following 30 days.