Monte Carlo
Portfolio Simulator
Geometric Brownian Motion. Thousands of alternate market futures. Real quant finance — running entirely in your browser, 100% free.
Portfolio Settings
All math runs in your browser. No data ever sent to servers.
Simulation Results
Real Financial Math, Explained
We use Geometric Brownian Motion — the same model behind Black-Scholes — running entirely in your browser.
Core Formulas Used in This Simulator
Rₜ = (μ − σ²/2) + σ·ZGBM log-return each year. μ = expected return, σ = volatility, Z = standard normal random variable (Box-Muller transform)
Vₜ₊₁ = (Vₜ + C) × eᴿᵗPortfolio value update. V = current value, C = annual contribution, eᴿᵗ = exponential growth factor preventing negative prices
Sharpe = (μ − rƒ) / σRisk-adjusted return ratio. rƒ = 2% risk-free rate. Above 1.0 is excellent, 0.5–1.0 acceptable, below 0.5 poor.
VaR₉₅ = P5(finals)Value at Risk at 95% confidence. The 5th percentile of all final portfolio values — worst outcome 95% of the time.
Monte Carlo Simulation
Instead of a fixed 7% growth rate, we simulate thousands of random market paths using real statistical distributions — showing the full range of possible futures.
Geometric Brownian Motion
GBM is the gold standard in quantitative finance for modeling asset prices. It captures compounding, volatility, and log-normal returns — the same math behind Black-Scholes options pricing.
Asset Allocation Engine
Adjust your mix across 5 asset classes with real historical return and volatility data. Weighted portfolio parameters are computed automatically from your allocation.
Value at Risk (VaR)
VaR at 95% confidence tells you: in 95% of simulated scenarios, you won't lose more than this. Industry standard for institutional risk management.
Historical Stress Testing
See how your portfolio survives the 2008 Financial Crisis, COVID crash, Dot-com bust, 1970s stagflation, and more — with recovery time projections.
Completely Private
All calculations happen in JavaScript in your browser. We never see your investment amounts or results. No account, no login, no tracking of any kind.