Time-weighted return performance, benchmark comparison, Monte Carlo simulation, and Value at Risk — your complete portfolio risk and return picture.
CFA Level III · Performance Measurement · Risk Analytics
Total portfolio value
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My portfolio (TWR)
S&P 500
Cash flow event
Holdings
Ticker
Shares
Current $
Value
Gain/Loss
Weight
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Add cash flow
Cash flow timeline
Return attribution (Brinson)
Rolling 90-day Sharpe
Monte Carlo Simulation
Projection horizon
Simulations
10th–90th pct
25th–75th pct
Median path
5th pct (worst)
S&P 500 benchmark
Value at Risk (VaR)
Confidence level
Daily return distribution — red bars exceed VaR threshold
Performance: Time-weighted return (TWR) eliminates the effect of cash flows on performance measurement. Current prices fetched from Twelve Data (15-min delay during market hours). Monte Carlo: Uses geometric Brownian motion with your portfolio's return and volatility inputs. Assumes normally distributed, independent returns — real markets exhibit fat tails and volatility clustering. VaR / CVaR: Parametric method assumes normality; historical method uses simulated return distribution; CVaR (Expected Shortfall) is the mean loss beyond the VaR threshold. For illustrative and educational purposes only — not investment advice.