I have programmed my own MC analysis in Excel and the results do not generally agree well with what I get from FC, which I am trying to use as a check on my methodology. One odd thing I notice about FC is that the MC results are serially correlated with one another. If you look at the right graph, showing how the portfolio would have ended up in each of the 205 runs, you can see clearly that successive results are highly correlated. In a true Monte Carlo simulation, this should not be the case.
What is going on here ?
What is going on here ?