4.2 How can I change the forecasting method?

Last updated on August 26, 2025

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You can customize how future returns and risk are estimated — both for portfolio optimization and for Monte Carlo simulations — by adjusting two advanced settings.

Go to your strategy input section.

On the right side, go to "Advanced Options".

Below "Number of Forecast Years", you'll find two key dropdown menus:

📌 Return Estimation Method

Defines how expected returns are forecasted.

Available options:

Sample Mean

Exponentially Weighted Mean

Median

Trimmed Mean

Winsorized Mean

CAPM

📌 Covariance Estimation Method

Defines how the covariance matrix (i.e., portfolio risk structure) is calculated.

Available options:

Sample Covariance

Semicovariance

Exponentially Weighted Covariance

Ledoit Wolf Shrinkage

Oracle Approximating Shrinkage

Median Absolute Deviation

Minimum Covariance Determinant

Huber’s M-Estimator

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