Simulations

Construct portfolios and perform complex simulations dynamically.

Hydrogen offers powerful simulation capabilities on any portfolio or data set. Please find a sampling of our capabilities below. View full API reference here.

Mean-Variance Optimization

Construct portfolios based on the principles of convex optimization. Two outcomes can be achieved with this framework: target portfolio construction and efficient frontier construction.

Event Study

When clients are weighing their options between portfolios, they can run a simulation to see how the portfolio would have performed during eight key historical events. This will help them understand a portfolio’s exposure to various financial climates. The resulting performance and risk statistics can serve as a basis to evaluate a portfolio in the context of a given event.

Backtest

Simulate the behavior of a model over a specific date range in the past. Drift or period based rebalancing can be added to the model with results displaying the trades, asset sizes, holdings, and performance/risk stats.

Monte Carlo

Simulate the future value of an account via a random walk Monte Carlo. Future values are approximated by running up to 10,000 simulations of individual periods of portfolio growth in conjunction with ongoing cash inflows or outflows in the simulated account.

What-If Analysis

Evaluate the effect of "what-if" portfolio composition changes such as adding, removing, reducing, or increasing various positions in a portfolio. This can help a client make decisions around which securities to buy or sell, or help a wealth manager assess portfolio composition over time.

Scenario & Sensitivity Analysis

When assessing a portfolio, it is useful to simulate its response to a series of external factors. Scenario Analysis provides a statistical estimate of the impact that a combination of external movements may have on a portfolio’s rate of return, based on a multivariate regression model that considers historical price behavior. The resulting analysis can be helpful in comparing the economic exposures of different portfolios. Sensitivity Analysis performs the same calculations but using one factor, which may also be used for Stress Tests.


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