Xtrackers II Eurozone Government Bond (XGLE.DE): Historical Returns

Data Source: from February 1972 to May 2024 (~52 years)
Consolidated Returns as of 31 May 2024
Category: Fixed Income
Xtrackers II Eurozone Government Bond (XGLE.DE) ETF
Currency: EUR

In the last 30 Years, the Xtrackers II Eurozone Government Bond (XGLE.DE) ETF obtained a 3.37% compound annual return, with a 4.13% standard deviation. It suffered a maximum drawdown of -21.64% that required 41 months to be recovered.

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The ETF is related to the following investment themes:

  • Asset Class: Bond
  • Region: Eurozone
  • Country: Broad Eurozone
  • Bond - Duration: All-Term

The Xtrackers II Eurozone Government Bond (XGLE.DE) ETF is part of the following Lazy Portfolios:

Portfolio Name Author XGLE.DE Weight Currency
LifeStrategy Income Fund To EUR Vanguard 15.00% EUR
LifeStrategy Conservative Growth To EUR Vanguard 10.00% EUR
LifeStrategy Moderate Growth To EUR Vanguard 5.00% EUR

Investment Returns as of May 31, 2024

The Xtrackers II Eurozone Government Bond (XGLE.DE) ETF guaranteed the following returns.

Returns are calculated in EUR, assuming:
  • no fees or capital gain taxes.
  • the actual Euro Inflation rates.
XTRACKERS II EUROZONE GOVERNMENT BOND (XGLE.DE) ETF
Consolidated returns as of 31 May 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of May 31, 2024
  1 Day Time ET(*) Jun 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~52Y)
Xtrackers II Eurozone Government Bond (XGLE.DE) ETF n.a. n.a. -0.18 1.24 1.85 -2.38 0.33 3.37 3.67
Euro Inflation Adjusted return -0.18 -0.53 -0.50 -5.84 -1.94 1.29 0.88
Returns over 1 year are annualized | Available data source: since Feb 1972
(*) Eastern Time (ET - America/New York)
Euro Inflation is updated to Apr 2024. Pending updates, the monthly inflation is set at 0% for the subsequent periods. Current inflation (annualized) is 1Y: 2.35% , 5Y: 3.67% , 10Y: 2.31% , 30Y: 2.06%

Capital Growth as of May 31, 2024

An investment of 1€, since June 1994, now would be worth 2.71€, with a total return of 170.61% (3.37% annualized).

The Inflation Adjusted Capital now would be 1.47€, with a net total return of 46.89% (1.29% annualized).
An investment of 1€, since February 1972, now would be worth 6.58€, with a total return of 557.94% (3.67% annualized).

The Inflation Adjusted Capital now would be 1.58€, with a net total return of 57.80% (0.88% annualized).

Investment Metrics as of May 31, 2024

Metrics of Xtrackers II Eurozone Government Bond (XGLE.DE) ETF, updated as of 31 May 2024, provide a comprehensive overview of the portfolio's performance and risk characteristics.

These metrics include detailed data on returns, volatility, drawdowns and other key performance indicators. By examining them, you can gain insights into how the portfolio has performed over various time periods and understand its risk profile.

Metrics are calculated based on monthly returns, assuming:
  • no fees or capital gain taxes.
  • the actual Euro Inflation rates.
XTRACKERS II EUROZONE GOVERNMENT BOND (XGLE.DE) ETF
Advanced Metrics
Data Source: 1 February 1972 - 31 May 2024 (~52 years)
Swipe left to see all data
Metrics as of May 31, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~52Y)
Investment Return (%) -0.18 -0.66 1.24 1.85 -5.25 -2.38 0.33 2.07 3.37 3.67
Infl. Adjusted Return (%)
-0.18 -1.98 -0.53 -0.50 -10.16 -5.84 -1.94 -0.02 1.29 0.88
Euro Inflation (%) 0.00 1.34 1.78 2.35 5.48 3.67 2.31 2.09 2.06 2.77
Pending updates, the monthly inflation of May 2024 and beyond is set at 0%. Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -2.88 -20.67 -21.64 -21.64 -21.64 -21.64 -21.64
Start to Recovery (# months)
6 34* 41* 41* 41* 41* 41*
Start (yyyy mm) 2023 06 2021 08 2021 01 2021 01 2021 01 2021 01 2021 01
Start to Bottom (# months) 4 26 33 33 33 33 33
Bottom (yyyy mm) 2023 09 2023 09 2023 09 2023 09 2023 09 2023 09 2023 09
Bottom to End (# months) 2 8 8 8 8 8 8
End (yyyy mm) 2023 11 - - - - - -
Longest Drawdown Depth (%)
same

same

same

same

same

same
-18.85
Start to Recovery (# months)
80
Start (yyyy mm) 2023 06 2021 08 2021 01 2021 01 2021 01 2021 01 1977 06
Start to Bottom (# months) 4 26 33 33 33 33 45
Bottom (yyyy mm) 2023 09 2023 09 2023 09 2023 09 2023 09 2023 09 1981 02
Bottom to End (# months) 2 8 8 8 8 8 35
End (yyyy mm) 2023 11 - - - - - 1984 01
Longest negative period (# months)
5 36* 60* 117* 117* 117* 129
Period Start (yyyy mm) 2023 06 2021 06 2019 06 2014 09 2014 09 2014 09 1972 03
Period End (yyyy mm) 2023 10 2024 05 2024 05 2024 05 2024 05 2024 05 1982 11
Annualized Return (%) -5.77 -5.25 -2.38 -0.05 -0.05 -0.05 -0.04
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -4.31 -31.40 -33.92 -33.92 -33.92 -33.92 -44.61
Start to Recovery (# months)
5* 34* 42* 42* 42* 42* 251
Start (yyyy mm) 2024 01 2021 08 2020 12 2020 12 2020 12 2020 12 1972 03
Start to Bottom (# months) 5 26 34 34 34 34 111
Bottom (yyyy mm) 2024 05 2023 09 2023 09 2023 09 2023 09 2023 09 1981 05
Bottom to End (# months) 0 8 8 8 8 8 140
End (yyyy mm) - - - - - - 1993 01
Longest Drawdown Depth (%) -3.88
same

same

same
-8.53 -8.53
same
Start to Recovery (# months)
6 44 44
Start (yyyy mm) 2023 06 2021 08 2020 12 2020 12 2005 09 2005 09 1972 03
Start to Bottom (# months) 4 26 34 34 34 34 111
Bottom (yyyy mm) 2023 09 2023 09 2023 09 2023 09 2008 06 2008 06 1981 05
Bottom to End (# months) 2 8 8 8 10 10 140
End (yyyy mm) 2023 11 - - - 2009 04 2009 04 1993 01
Longest negative period (# months)
12* 36* 60* 120* 240* 256* 256*
Period Start (yyyy mm) 2023 06 2021 06 2019 06 2014 06 2004 06 2003 02 2003 02
Period End (yyyy mm) 2024 05 2024 05 2024 05 2024 05 2024 05 2024 05 2024 05
Annualized Return (%) -0.50 -10.16 -5.84 -1.94 -0.02 -0.02 -0.02
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 6.30 7.57 6.56 5.45 4.50 4.13 4.67
Sharpe Ratio -0.56 -1.07 -0.66 -0.18 0.15 0.27 -0.07
Sortino Ratio -0.93 -1.54 -0.93 -0.24 0.20 0.36 -0.09
Ulcer Index 1.66 14.53 12.08 8.78 6.32 5.21 6.07
Ratio: Return / Standard Deviation 0.29 -0.69 -0.36 0.06 0.46 0.82 0.79
Ratio: Return / Deepest Drawdown 0.64 -0.25 -0.11 0.02 0.10 0.16 0.17
Positive Months (%)
41.66 38.88 45.00 55.00 59.58 62.50 66.71
Positive Months 5 14 27 66 143 225 419
Negative Months 7 22 33 54 97 135 209
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 0.33 4.68 6.73 8.73
Worst 10 Years Return (%) - Annualized 0.33 0.33 -0.82
Best 10 Years Return (%) - Annualized -1.94 3.20 4.72 6.27
Worst 10 Years Return (%) - Annualized -1.94 -1.94 -5.71
TIMEFRAMES
Inflation Adjusted:
Inflation Adjusted:
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
··· Over the latest 30Y
Best Rolling Return (%) - Annualized 17.63 11.70 8.25 6.73 5.57 3.37
Worst Rolling Return (%) - Annualized -18.06 -7.59 -2.42 0.33 1.87
Positive Periods (%) 79.3 91.3 91.6 100.0 100.0 100.0
Best Rolling Return (%) - Annualized 14.85 9.83 6.40 4.72 3.69 1.29
Worst Rolling Return (%) - Annualized -24.96 -12.66 -5.84 -1.94 -0.25
Positive Periods (%) 66.7 80.3 87.0 90.8 90.9 100.0
95% VaR - Value at Risk (%) - Cumulative
1.68 2.55 3.10 4.77 17.37 9.59 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 2.17 3.40 4.31 12.51 20.34 11.15 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
2.49 3.95 5.09 16.65 23.09 12.25 0.00 0.00
99% CVaR - Conditional Value at Risk (%) 3.01 4.85 6.36 17.61 24.28 12.59 0.00 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 85.28 26.39 17.98 10.27 5.68 5.07
Perpetual Withdrawal Rate (%) --- --- --- --- --- 1.62
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
··· All available data (Feb 1972 - May 2024)
Best Rolling Return (%) - Annualized 17.63 11.96 10.22 8.73 7.44 6.16
Worst Rolling Return (%) - Annualized -18.06 -7.59 -3.25 -0.82 1.87 3.23
Positive Periods (%) 76.6 87.8 88.5 99.0 100.0 100.0
Best Rolling Return (%) - Annualized 15.51 10.07 7.69 6.27 5.06 3.91
Worst Rolling Return (%) - Annualized -24.96 -12.66 -7.26 -5.71 -0.25 1.12
Positive Periods (%) 65.3 74.7 76.9 84.2 95.8 100.0
95% VaR - Value at Risk (%) - Cumulative
1.91 2.91 3.57 6.77 15.31 9.74 0.00 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 2.47 3.88 4.94 10.45 18.62 12.32 0.00 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
2.82 4.50 5.82 15.58 20.87 12.70 1.52 0.00 0.00
99% CVaR - Conditional Value at Risk (%) 3.41 5.51 7.25 16.80 22.79 16.36 5.03 0.00 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 85.28 26.39 15.96 7.32 3.69 2.83
Perpetual Withdrawal Rate (%) --- --- --- --- --- 0.91
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
  • Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
  • Longest negative period: it's the maximum period for which an overall negative return has been observed.
  • Standard Deviation: it's a measure of the dispersion of returns around the mean.
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
  • Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
  • Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
  • Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
  • Value at Risk (VaR): it's an evaluation of a cumulative worst-case loss (in absolute value), associated with a probability (95%-99%) and a time horizon. For short term, it's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns. For long term is retrieved by the historical rolling return data.
  • Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

Correlations as of May 31, 2024

Correlation measures to what degree the returns of two assets move in relation to each other. It is a statistical measure that describes the extent to which the returns of one asset are related to the returns of another asset.

Correlation values range between -1 and +1
  • A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
  • A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.
  • A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.

The following table shows the monthly correlations of Xtrackers II Eurozone Government Bond (XGLE.DE) ETF vs the main Asset Classes, over different timeframes. Columns are sortable (click on table header to sort).

XTRACKERS II EUROZONE GOVERNMENT BOND (XGLE.DE) ETF
Monthly correlations as of 31 May 2024
Swipe left to see all data
Correlation vs XGLE.DE
Asset Class 1 Year 5 Years 10 Years 30 Years Since
Jan 1992
VTI
US Total Stock Market
0.60
0.50
0.34
0.09
0.10
SPY
US Large Cap
0.58
0.50
0.35
0.10
0.10
IJR
US Small Cap
0.70
0.40
0.25
0.04
0.05
VNQ
US REITs
0.79
0.53
0.51
0.23
0.22
QQQ
US Technology
0.60
0.58
0.40
0.08
0.09
PFF
Preferred Stocks
0.53
0.50
0.46
0.25
0.25
EFA
EAFE Stocks
0.63
0.46
0.31
0.07
0.08
VT
World All Countries
0.61
0.49
0.33
0.08
0.09
EEM
Emerging Markets
0.44
0.39
0.26
0.03
0.08
VGK
Europe
0.65
0.44
0.30
0.07
0.08
VPL
Pacific
0.63
0.48
0.32
0.07
0.08
FLLA
Latin America
0.59
0.26
0.16
0.02
0.05
BND
US Total Bond Market
0.88
0.81
0.77
0.69
0.66
TLT
Long Term Treasuries
0.88
0.70
0.70
0.63
0.61
BIL
US Cash
0.26
0.08
0.00
0.07
0.07
TIP
TIPS
0.83
0.78
0.70
0.52
0.50
LQD
Invest. Grade Bonds
0.86
0.79
0.74
0.61
0.60
HYG
High Yield Bonds
0.82
0.63
0.49
0.22
0.22
CWB
US Convertible Bonds
0.66
0.41
0.29
0.10
0.11
BNDX
International Bonds
0.97
0.96
0.95
0.66
0.64
EMB
Emerg. Market Bonds
0.80
0.62
0.56
0.34
0.34
GLD
Gold
0.39
0.38
0.29
0.12
0.12
DBC
Commodities
-0.41
-0.12
-0.20
-0.12
-0.12

If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.

Drawdowns

A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.

XTRACKERS II EUROZONE GOVERNMENT BOND (XGLE.DE) ETF
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 February 1972 - 31 May 2024 (~52 years)
Inflation Adjusted:
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Rolling Returns

( more details)

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

XTRACKERS II EUROZONE GOVERNMENT BOND (XGLE.DE) ETF
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 February 1972 - 31 May 2024 (~52 years)
Inflation Adjusted:

If you need a deeper detail about rolling returns, please refer to the Xtrackers II Eurozone Government Bond (XGLE.DE) ETF: Rolling Returns page.

Seasonality

In which months is it better to invest in Xtrackers II Eurozone Government Bond (XGLE.DE) ETF?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the Asset Class Seasonality page.
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Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Xtrackers II Eurozone Government Bond (XGLE.DE) ETF over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

XTRACKERS II EUROZONE GOVERNMENT BOND (XGLE.DE) ETF
Monthly Returns Distribution
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 February 1972 - 31 May 2024 (~52 years)
225 Positive Months (63%) - 135 Negative Months (38%)
419 Positive Months (67%) - 209 Negative Months (33%)
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(Scroll down to see all data)
Investment Returns, up to April 2014, have been derived using the historical series of equivalent ETFs / Assets.
You can find additional information on extended Data Sources here.

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