Where does the historical data for correlations that are used in Monte Carlo come from?

For this data we use appoximately 40 years of historical data from these ETFs: Cash: 1 Month CD Rate From Federal Reserve Data Short Term Bonds: iShares Short Term Bond ETF (SHY) Medium Term Bonds: iShares Medium Term Bond ETF (IEF) Long Term Bonds: iShares Long Term Bond ETF (TLT)Value Stocks: iShares Russell 1000 Value Index (IWD) Growth Stocks: iShares Russell 1000 Growth Index (IWF) [...]

Where does the historical data for standard deviations that are used in Monte Carlo come from?

For this data we use appoximately 40 years of historical data from these ETFs: Cash: 1 Month CD Rate From Federal Reserve Data Short Term Bonds: iShares Short Term Bond ETF (SHY) Medium Term Bonds: iShares Medium Term Bond ETF (IEF) Long Term Bonds: iShares Long Term Bond ETF (TLT)Value Stocks: iShares Russell 1000 Value Index (IWD) Growth Stocks: iShares Russell 1000 Growth Index (IWF) [...]

Where does the annual return data come from?

For annual return data we use appoximately 45 years of historical data from these ETFs: Cash: 1 Month CD Rate From Federal Reserve Data Short Term Bonds: iShares Short Term Bond ETF (SHY) Medium Term Bonds: iShares Medium Term Bond ETF (IEF) Long Term Bonds: iShares Long Term Bond ETF (TLT)Value Stocks: iShares Russell 1000 Value Index (IWD) Growth Stocks: iShares Russell 1000 Growth Index [...]

What is the difference between a normal and Laplace distribution in Monte Carlo simulations? Which one should I use?

Although many random variables exhibit a normal distribution, equity and fixed income returns have exhibited a Laplace distribution over the past ten years. A Laplace distribution has fatter tails than a normal distribution, which increases the probability of extreme events relative to a normal distribution. In statistical terms, a Laplace distribution has kurtosis of 6.0, while a normal [...]

How are Monte Carlo simulations run and where do the assumptions come from?

How Monte Carlo Works: Monte Carlo analysis works by generating multiple simulations on total returns for every investment in the retirement plan. The steps inside the program work as follows: a) Generate 1,000 random numbers (there are 1,000 simulations) for each asset class for every year in the plan based on that asset class’s standard deviation and correlation with every other asset class. [...]