FundSim

FundSim generates a daily NAV path with user-defined CAPM parameters.  The user specifies initial (and subsequent) beta and alpha values.  Changing parameter values represent changes in portfolio composition (and therefore portfolio behavior).  The users parameters act on actual market data, generating daily fund returns that accumulate into an NAV path.

FundSim was designed for testing the moving betas and moving alphas developed in Portfolio Behavior Analysis (PBA).  Simulated return paths are used to confirm the statistically estimated PBA estimates of moving beta and moving alpha.  (See Mutual Funds for more on PBA and other mutual fund analytics.)

More broadly, FundSim illustrates how variable market exposure interacts with market trends.  Significant beta variation introduces a meta-risk that requires its own positive contribution to returns.

Note: the simulation display will blank and fill your screen upon launch; your normal (current) window display will return upon exit.

When done, go back to Simulations, or use Navigation field at left.


NOTICE: FundSim is currently undergoing enhancement for improved user interface.  

Register here if you wish to be notified when the new FundSim becomes available for portfolio simulation.


To: Robin Carpenter, Analytix
Re: FundSim notification

Please let me know when FundSim is back online.

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