Where can I find mean return and relative risk for new asset classes for the portfolio section of the Monte Carlo analysis?

I want to create new asset classes for the Monte Carlo analysis such as mid cap stock. Where can I find (i.e. is in Morningstar or Dimensional) the historical mean return and relative risk by asset class?


dan royer's picture

The program calculates those for you when you create the new asset class. It uses the return history you enter to figure out mean and relative risk. It requires at least 10 years of history. Just keep in mind that the last ten years may not represent very well the next ten (or fifty!).

Data sets compiled by Portfolio Visualizer are a good source of historical information to use in building custom assets.


I just checked out this web site and found that the 10 year Treasury returns for the last few years were wrong. For example: 2011, 16.24% 2014, 10.63% Am I reading the table incorrectly?

dan royer's picture


I trust the PV numbers are right. The numbers include coupon and price change.