Portfolio Risk Analysis -Set Portfolio Weights and Portfolio Statistics

What Is Monte Carlo Simulation?

Why Get Portfolio MCS?

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Set Portfolio Weights

The weighting of each selected commodity in the portfolio list can be changed. Double clicking on the listed commodity will allow you to change the weighting.

Portfolio Statistics

The weighted portfolio is then combined into one single equity curve from which the portfolio statistics are calculated. Most of these are familiar and similar to the TradeStation summary report. Three new statistics are the Return/Risk, Return/Std Dev of DD, and Std Dev of Drawdown. These are the key to determining an optimal weighting of your portfolio.

Return is defined as the slope of the linear regression line through the equity curve. Risk is the standard deviation of residuals of the equity curve from the linear regression line. Std Dev of DD is the standard deviation of drawdowns. In the case below, the equity curve had 28 drawdowns from 4/24/1990 to 10/16/2001.

Software pages continued:
1 Portfolio Selection and File Selection	5 Optimizing Portfolio Weights
3 Portfolio History Chart and Output Files to ASCII	6 Revised Portfolio Weightings
4 MCS Results: Drawdown and Net Profit	7 Portfolio Templates
	8 MCS Product Comparison