Some code for modeling returns of a Venture Capital fund.
It allows simulations of a seed fund that makes follow-on rounds to see the distribution of outcomes given different portfolio constructions. Example output:
starting...
validating params...
Parameters
$50m fund which makes 50 $0.5m seed investments.
Follows on with $1.0m, 0.5 of the time.
Running portfolio simluation...
Num portfolios with different multiple returns
0.0x - 3725 (4%)
1.0x - 38354 (38%)
2.0x - 43606 (44%)
3.0x - 12908 (13%)
4.0x - 1349 (1%)
5.0x - 55 (0%)
6.0x - 3 (0%)
Num portfolios with different multiple returns (to 0.1x)
0.2x - 1 (0%) (0%)
0.3x - 10 (0%) (0%)
0.4x - 47 (0%) (0%)
0.5x - 131 (0%) (0%) *
0.6x - 304 (0%) (0%) ***
0.7x - 493 (0%) (1%) ****
0.8x - 829 (1%) (2%) ********
0.9x - 1186 (1%) (3%) ***********
1.0x - 1695 (2%) (5%) ****************
1.1x - 2313 (2%) (7%) ***********************
1.2x - 2482 (2%) (9%) ************************
1.3x - 3189 (3%) (13%) *******************************
1.4x - 3556 (4%) (16%) ***********************************
1.5x - 4033 (4%) (20%) ****************************************
1.6x - 4373 (4%) (25%) *******************************************
1.7x - 4613 (5%) (29%) **********************************************
1.8x - 5027 (5%) (34%) **************************************************
1.9x - 5364 (5%) (40%) *****************************************************
2.0x - 5376 (5%) (45%) *****************************************************
2.1x - 5302 (5%) (50%) *****************************************************
2.2x - 5229 (5%) (56%) ****************************************************
2.3x - 5103 (5%) (61%) ***************************************************
2.4x - 4821 (5%) (65%) ************************************************
2.5x - 4504 (5%) (70%) *********************************************
2.6x - 4200 (4%) (74%) ******************************************
2.7x - 3796 (4%) (78%) *************************************
2.8x - 3401 (3%) (81%) **********************************
2.9x - 3004 (3%) (84%) ******************************
3.0x - 2696 (3%) (87%) **************************
3.1x - 2358 (2%) (89%) ***********************
3.2x - 1951 (2%) (91%) *******************
3.3x - 1681 (2%) (93%) ****************
3.4x - 1390 (1%) (94%) *************
3.5x - 1166 (1%) (96%) ***********
3.6x - 915 (1%) (97%) *********
3.7x - 744 (1%) (97%) *******
3.8x - 675 (1%) (98%) ******
3.9x - 454 (0%) (98%) ****
4.0x - 364 (0%) (99%) ***
4.1x - 300 (0%) (99%) ***
4.2x - 221 (0%) (99%) **
4.3x - 196 (0%) (99%) *
4.4x - 126 (0%) (100%) *
4.5x - 102 (0%) (100%) *
4.6x - 75 (0%) (100%)
4.7x - 55 (0%) (100%)
4.8x - 49 (0%) (100%)
4.9x - 34 (0%) (100%)
5.0x - 13 (0%) (100%)
5.1x - 14 (0%) (100%)
5.2x - 6 (0%) (100%)
5.3x - 10 (0%) (100%)
5.4x - 4 (0%) (100%)
5.5x - 7 (0%) (100%)
5.6x - 3 (0%) (100%)
5.7x - 1 (0%) (100%)
5.8x - 1 (0%) (100%)
5.9x - 2 (0%) (100%)
6.0x - 2 (0%) (100%)
6.2x - 1 (0%) (100%)
6.3x - 1 (0%) (100%)
6.4x - 1 (0%) (100%)
done.