Product / Free tools / Multi-strategy simulator
Free tool / portfolio construction / correlation math
Multi-strategy portfolio simulator
Start with one sleeve, add a second, then a third, and watch how weights, volatility, and cross-strategy correlation change the portfolio you actually end up holding.
Build the stack
You are running the full 3-sleeve stack. Use the build cards below to see what each added sleeve changed in volatility and diversification.
1 sleeve
Trend
Return
11.0%
Vol
14.0%
Diversification
1.00x
2 sleeves
Trend + Carry
Return
9.6%
Vol
9.4%
Diversification
1.29x
3 sleeves
Trend + Carry + Mean reversion
Active
Return
10.7%
Vol
8.3%
Diversification
1.64x
Scenario
Start with a scenario, then compare what changes as you add sleeves. Capital only rescales the dollar labels, so it lives in advanced mode.
Rebalancing
Horizon
Simple mode keeps the core comparison up front. If you want to edit sleeve-level assumptions, correlations, or simulation engine settings, open advanced mode below.
Portfolio return
10.7%
Portfolio vol
8.3%
Diversification
1.64x
Median max drawdown
11.2%
3 active sleeves / rebalanced portfolio path sample
Showing 7 sampled portfolio paths from 300 correlated runs with monthly rebalancing.
The chart only draws a sampled subset so it stays readable. The summary cards and hover values still use the full Monte Carlo run, and the dashed baseline marks the exact starting line for the active mode.
10th terminal
$172.8K
90th terminal
$319.9K
Loss probability
0.0%
90th max drawdown
15.5%
Advanced mode
Edit sleeve-level return, volatility, weight, correlation, capital, and simulation assumptions here.
Strategy sleeves
Sleeve 1
Active
Capital weight
40%
Expected annual return
11.0%
Annual volatility
14.0%
Sleeve 2
Active
Capital weight
35%
Expected annual return
8.0%
Annual volatility
10.0%
Sleeve 3
Active
Capital weight
25%
Expected annual return
14.0%
Annual volatility
18.0%
Cross-strategy correlations
Trend / Carry
0.15
Trend / Mean reversion
0.05
Carry / Mean reversion
-0.10
Advanced simulation settings
Starting capital
$100,000
Exact horizon
8.0 years
Monte Carlo paths
300
Steps per year
365
Seed
11
Crypto trades every day. If you are modeling daily crypto sleeves, `365` is the right calendar default rather than `252`.
Scenario guides
Diversified stack
A balanced stack with modest pairwise correlations that shows what healthy diversification actually looks like in a rebalanced portfolio.
Correlated crowding
A high-correlation setup that shows how a portfolio can look diversified on paper while still carrying one dominant risk under the hood.
Barbell sleeves
A barbell mix of steadier sleeves and a higher-octane breakout sleeve that shows how low shared correlation can improve the total stack.
Portfolio math
μp = wᵀμ · σp = √(wᵀΣw)Determinant
0.964
Positive means the active 3-sleeve correlation matrix is internally consistent.
Weighted avg vol
13.6%
What volatility would look like before diversification.
Diversification ratio
1.64
Weighted average sleeve vol divided by portfolio vol.
Net log drift
10.4%
Approximate centerline growth after portfolio-level volatility drag.
Sleeve summary
Trend
Weight
40%
Return
11.0%
Vol
14.0%
Risk share
51%
Carry
Weight
35%
Return
8.0%
Vol
10.0%
Risk share
20%
Mean reversion
Weight
25%
Return
14.0%
Vol
18.0%
Risk share
29%
Correlation matrix
Trend
Carry
Mean reversion
Trend
1.00
0.15
0.05
Carry
0.15
1.00
-0.10
Mean reversion
0.05
-0.10
1.00
Pairwise correlations drive the covariance matrix. High-return sleeves do not diversify if their shocks are mostly the same trade wearing different names.