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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.

7 sampled pathsMedian portfolioStarting line

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

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.