Portfolio Simulator

Configuration panel

BLT Engine allocation 20%

Base portfolioBLT Engine

Portfolio AUM $50M

⚠ Approaching FX strategy capacity ($32M)

⚠ Exceeds max estimated capacity ($340M)

Base portfolio Sharpe 0.50

Base portfolio volatility 12%

Preset portfolio

Crisis stress-test

BLT Engine (fixed)

CAGR (17y)+7.22%

Volatility10.6%

Sharpe ratio0.34

Beta (full-period)0.075

Disclaimer

Simulation based on backtested data 2008–2025. Not investment advice.

Combined Sharpe

0.78

▲ +0.28 vs base

Portfolio volatility

10.8%

▼ −1.2% vs base

Expected return

+7.8%

▲ +1.8% vs base

BLT allocation ($)

$10M

Within capacity

VaR 95% · Base

−1.24%

Daily loss threshold

VaR 95% · Combined

−1.05%

Daily loss threshold

CVaR 95% · Base

−1.87%

Expected tail loss

CVaR 95% · Combined

−1.58%

Expected tail loss

Simulated equity curve 2008–2025 · $1,000,000 initial

Sharpe ratio comparison

SR_combined = R_p / σ_p = 0.500

Efficient frontier · Risk vs return

Annual return · Base vs combined

Drawdown profile · Crisis buffer effect

Monte Carlo · 5y CAGR distribution (1,000 deterministic simulations)

Bootstrap resampling of 18 annual returns · 1,000 paths of 5 years

Monte Carlo · Drawdown probabilities

            Median 5y CAGR
            —
          

            5th percentile (worst 5%)
            —
          

            95th percentile (best 5%)
            —
          

            P( DD > 20% over 5y )
            —
          

            P( DD > 30% over 5y )
            —
          

            P( positive over 5y )
            —
          

Deterministic seed = f(allocation, baseSR, baseVol). Same config → same result, always.

Correlation matrix · BLT Engine vs major asset classes

vs Equities

0.075

vs Bonds

0.041

vs CTA

0.112

vs Gold

0.098

vs Credit

0.051

vs 60/40

0.044

What does the BLT Engine
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What does the BLT Enginedo to your portfolio?

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What does the BLT Engine
do to your portfolio?

Ready to discuss
an allocation?