The aim was to investigate the impact of the main prognostic factors on HIV evolution. A multi-state Markov model was applied in a cohort of 2126 patients to estimate impact of these factors on patients' clinical and immunological evolutions. Clinical progression and immunological deterioration shared most of their prognostic factors: male gender, intravenous drug use, weight loss, low haemoglobin level (<110 g/l), CD8 cell count (<500/mm3) and HIV viral load (>5 log10 copies/ml). Highly active retroviral therapy reduced the risks of clinical progression and immune deterioration whatever patients' CD4 cell count. Risk reductions were 41–60% for protease inhibitor-based and 27–68% for non-nucleoside reverse transcriptase inhibitor-based regimens. Three-year transition probabilities showed that only patients with a CD4 cell count ⩾350 CD4/mm3 could in most cases maintain their immunity. This model provides ‘real life’ transition probabilities from one immunological stage to another, allowing decision analyses that could help determine the beneficial therapeutic strategies for HIV-infected patients.