Stochastic simulation of CRE asset and portfolio outcomes. From planned IRR to a full probability distribution covering IRR volatility, tail risk, diversification value and leverage optimisation.
Book a demoPROMS Investor runs thousands of economic and property market scenarios, combined with asset-level event risk, and produces a full probability distribution of IRR, cashflows and valuations at every time step. From each lease to the global portfolio.
VECM economic model captures how national economies drive property markets. Monte Carlo simulation layers asset-level event risk such as tenant defaults, lease breaks and void periods. Correlations are preserved throughout so diversification is quantified, not assumed.
Every asset plotted by IRR against standard deviation of returns, against a risk-neutral line calibrated to the market. Direct comparison with equities and gilts. Assets above the line earn their risk premium. Assets below it don't.
True portfolio volatility is typically 78bps to 100bps lower than the weighted average of component assets. In a representative Canadian portfolio, diversification added 36bps to mean IRR and reduced volatility by 1.05%.
Regulatory stress scenarios are loaded directly. Portfolio value distributions are available under stress at every time step, including 1-in-20 and 1-in-100 tail outcomes. The 1-in-100 five-year fall in a representative fund is approximately 23%.
Every asset is ranked by marginal contribution to portfolio IRR and volatility. Disposing of the four worst-ranked assets improved IRR by 56bps and reduced volatility by 20bps. The largest asset reducing return and increasing volatility would increase RFER by 53bps if sold.
All inputs, assumptions, and 10,000 scenario paths exportable. All changes named and date-stamped. Every historic analysis reproducible from archived inputs. No plugged numbers anywhere in the system.
Portfolio vs. weighted average, showing a diversification benefit of +36bps IRR and -1.05% volatility.
1-in-100 five-year fall is approximately 23%. 1-in-20 five-year fall is approximately 14%.
A walkthrough calibrated to your asset types, return targets, and risk framework.
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