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Monte Carlo analysis checkbox for correlated asset classes makes no difference?

 

Scott Loveland
(@loveland160)
Active Member Customer
Joined: 1 year ago
Posts: 5
Topic starter  

Has anyone else noticed that the checkbox for "Assume correlated asset classes for Monte Carlo analysis?" on the Run Analysis page seems to make no difference with the new 2022 version of PRC Gold (v2.7)? With the 2021 version, checking that correlated asset box made a significant difference in the probability of success when running the Monte Carlo analysis (i.e., specifying correlated asset classes provided much more conservative results), but with the 2022 version it seems to make no difference.

In the 2022 version, regardless of whether or not the box is checked, my results seem pretty similar to the 2021 version with the box NOT checked (i.e., assuming uncorrelated asset classes).


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Stuart Matthews
(@smatthews51)
Member Admin
Joined: 2 years ago
Posts: 335
 

Hi Scott,

After seeing your post I took a look at this myself, both with some test data and my own personal data. In both cases I see a definite shift in the blue bands relative to the red line (fixed rate results) when I check and uncheck the box; however, upon further investigation I have discovered an error that is most evident when using only the first two rows in the FA > Asset Classes table, such as in asset allocation mode 2. In that case, the correlated asset box will have no effect. So, I'm going to work on a fix and should have it ready to go in the next day or two.

Stuart


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Scott Loveland
(@loveland160)
Active Member Customer
Joined: 1 year ago
Posts: 5
Topic starter  

Okay great, thanks. Though, in my case I am using 10 asset classes in the FA->Asset classes table. I see just a very minor shift in the blue bands when checking/unchecking the box, no more than I would expect to see from normal variation every time I rerun a Monte Carlo analysis.


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Stuart Matthews
(@smatthews51)
Member Admin
Joined: 2 years ago
Posts: 335
 

Scott,

This update will take longer than I originally expected. My computer which contains the code-signing certificate for the PRC macros has died, and this prevents me from making any changes to the current version until this issue is resolved. Unfortunately, the code-signing certs are by design associated with a single computer, so this isn't as simple as just using a backup. There are other related issues that I won't get into. Meanwhile, PRC2022 Gold will remain at v2.8.

Stuart


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Scott Loveland
(@loveland160)
Active Member Customer
Joined: 1 year ago
Posts: 5
Topic starter  

Okay, no problem, thanks for letting me know.


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Stuart Matthews
(@smatthews51)
Member Admin
Joined: 2 years ago
Posts: 335
 

@loveland160 Hi Scott,

I've finally overcome all of my issues relative to a failed computer and the need to get a new certificate to enable me to digitally sign PRC macros. V2.9 has just been released and it contains the fix to the correlated assets error when using asset allocation mode 2. Please check this out at your convenience and let me know how it looks. Thanks!

Stuart


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Scott Loveland
(@loveland160)
Active Member Customer
Joined: 1 year ago
Posts: 5
Topic starter  

Great, thanks! I'll pull down the new copy over the weekend and give it a try.


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Scott Loveland
(@loveland160)
Active Member Customer
Joined: 1 year ago
Posts: 5
Topic starter  

@smatthews51 Hi Stuart,

I tried v2.9, and that did indeed resolve the issue. Thanks 🙂


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