Is Portfolio Visualizer site useful for Monte Carlo

See: , Backtest Portfolio Asset Class Allocation. Seems like it generates the #s Esplanner Plus needs. Compatible or potentially? (I have not messed with it yet, but became aware of the site today.)


dan royer's picture

That's very cool! But I don't believe that generates the variance and beta numbers that ESPlanner needs to correctly deal with the monte carlo. In ESPlanner, these variables are unique because they are calculated relative to inflation. And the variance is not listed there either--a number that ESPlanner needs that you don't get in this kind of analysis.

It's still a useful tool though, especially for those using the non-monte carlo method because it gives you a good sense of your standard deviation on asset class combinations and a general sense of risk exposure.

dan royer's picture

That's a very cool web app!

I don't know if it did before, but Portfolio Visualizer allows saving portfolios if you create an account. That's free. I'm using that as a faster approach to determining the optimum asset allocation for my desired level of return vs. risk. Playing with that in ESP is rather slow because it calculates the entire outcome, not just the portfolio performance. Now that ESP Plus allows creating custom assets, the combination of the two tools is very powerful.

I use the asset allocation backtest and monte carlo simulations on Portfolio Visualizer to arrive at a rough draft of a portfolio, then backtest specific investments that I'd buy to implement that portfolio. You can save asset allocations and portfolio to use in that process.

Once I've arrived at my ideal portfolio. I use the custom asset builder in ESP Planner+ to validate the estimated returns and project the results in my economy. Using ColumnCopy* in Google Chrome I can copy the returns from the Portfolio Visualizer Asset Class Returns** or the annual returns of specific investments from Yahoo Finance***.

I use those custom assets to construct a portfolio corresponding to the ones I tested in Portfolio Visualizer, then run a Monte Carlo simulation in ESP to forecast the outcome.

In this way I'm able to test the various specific investments available to me through my and my wife's employer-provided retirement accounts. Most are index funds that are well-represented in the default classes available in Porfolio Visualizer. In the period after retirement, the investments available are effectively unlimited since my funds will be held in a commercial account such as Fidelity or Vanguard.

I hope you find this helpful.



Vanguard Interm-Term Treasury Inv (VFITX) used as example.

dan royer's picture

Very helpful, yes. Thanks Chris. I just discovered a month or so back that PV allows you to use your actual fund ticker symbols instead of relying on general asset classes. I see you realize this as well. I find it very useful.

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