Portfolio Backtest and Simulation
Backtest Results
Simulation Settings
Currency:
Period: (~ years)
Inflation:
Initial Amount:
Cashflow:
Capital Gain: custom taxation applied
When applied, rebalancing & filter settings for each portfolio are shown next to its name in the Results section below.
Simulation Results
Note: the time period was limited by the available data range ( - )
Invested Capital
Final Capital
%
%
Std Deviation
%
Max Drawdown
months
Recovery Period
* in progress
Invested Capital
Final Capital
%
%
Std Deviation
%
Max Drawdown
months
Recovery Period
* in progress
%
%
Money-Weighted Rate of Return (MWRR) is calculated based on the Modified Dietz formula.
Drawdown with cashflows is skewed by contributions; the version without cashflows better reflects actual performance risk.
Trend Filters are in Public Beta. Extensively tested • Community feedback welcome • Contact us to report an issue
Tax Estimation is currently in Private Beta for registered users. Extensively tested • Your feedback helps improve the model • Report an issue
Disclaimer: The simulations on this website are provided in good faith but should NOT be taken as investment advice. We are not liable for any errors or actions based on this information.
The authors of the website are not affiliated with the portfolio creators, who are the sole owners of their intellectual property. The translation of asset allocations into ETFs is based on the interpretation of LazyPortfolioETF.com and may not exactly reflect the original intent of the portfolio creators.
Content is for informational, educational, illustrative, and entertainment purposes only.
The Portfolio can be implemented with 3 ETFs. This portfolio has a medium risk, signifying moderate fluctuations in value. It is suitable for investors with a balanced approach to risk and return, seeking steady growth while tolerating some level of volatility.
The portfolio asset allocation is: 39% on the Stock Market, 60% on Fixed Income, 1% on Commodities. In general, bonds are useful for mitigating overall portfolio risk, especially if they are issued by national entities or highly reliable companies. This portfolio has a 60% allocation to bonds, leading to its classification as medium risk.
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Table of contents
Asset Allocation and ETFs
To effectively implement the asset allocation of the Portfolio, investors can utilize the following selection of ETFs. These ETFs have been chosen specifically for their ability to represent each asset class within the portfolio and facilitate ease of management.
39% Stocks
60% Fixed Income
1% Commodities
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| Weight (%) |
ETF Ticker |
ETF Currency |
ETF Name | Investment Themes (Orig.Currency) | |
|---|---|---|---|---|---|
| 39.00 |
IUSQ.DE
|
EUR | iShares MSCI ACWI | Equity, Global, Large Cap (Mix) | |
| 60.00 |
XGLE.DE
|
EUR | Xtrackers II Eurozone Government Bond | Bond, Eurozone, All-Term (EUR) | |
| 1.00 |
^BTC-EUR
|
EUR | Bitcoin | Commodities (USD) |
Portfolio and ETF Returns as of Dec 31, 2023
Metrics are calculated in EUR, assuming:
- no transaction fees
- no capital gains taxes
- dividend reinvestment (without dividend taxation), when applicable
- rebalancing: at every January 1st, April 1st, July 1st, October 1st.
- dividend reinvestment (without dividend taxation), when applicable
PORTFOLIO
Capital Growth
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| Chg (%) | Return (%) | Return (%) as of Dec 31, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | --- |
YTD (12M) |
1M | 6M | 1Y | 5Y | 10Y |
MAX (~13Y) |
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|
Investment Return
3MRebalanced: every 3M at every Jan 1st, Apr 1st, Jul 1st, Oct 1st |
--- | --- | 12.39 | 4.05 | 5.70 | 12.39 | 5.25 | 5.78 | 8.30 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Component Returns - net of cashflows and taxes | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
IUSQ.DE
|
EUR | iShares MSCI ACWI | --- | 0 | --- | 18.26 | 3.71 | 5.95 | 18.26 | 12.50 | 10.21 | 9.67 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
XGLE.DE
|
EUR | Xtrackers II Eurozone Government Bond | --- | 0 | --- | 6.84 | 4.12 | 4.96 | 6.84 | -1.17 | 1.11 | 1.85 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
^BTC-EUR
|
EUR | Bitcoin | --- | 0 | --- | 147.18 | 10.53 | 36.11 | 147.18 | 63.57 | 53.27 | 155.07 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Returns over 1 year are annualized | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| (*) Eastern Time (ET - America/New York) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| The live monthly return is calculated by assuming, for each asset, the weight defined by the base asset allocation. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Components correlation, as of 31 December 2023
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Learn about historical correlations here: see how the main asset classes relate to each other.
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Portfolio Metrics as of Dec 31, 2023
Metrics are calculated in EUR, assuming:
- no transaction fees
- no capital gains taxes
- dividend reinvestment (without dividend taxation), when applicable
- rebalancing: at every January 1st, April 1st, July 1st, October 1st.
- dividend reinvestment (without dividend taxation), when applicable
PORTFOLIO
Advanced Metrics
1 January 2011 - 31 December 2023 (~13 years)
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| Metrics as of Dec 31, 2023 | |||||||||
|---|---|---|---|---|---|---|---|---|---|
|
YTD
(12M) |
1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y |
MAX
(~13Y) |
|
| Investment Return (%) | 12.39 | 4.05 | 7.47 | 5.70 | 12.39 | 0.86 | 5.25 | 5.78 | 8.30 |
| Growth of 1€ | 1.12 | 1.04 | 1.07 | 1.06 | 1.12 | 1.03 | 1.29 | 1.75 | 2.82 |
| Eurozone Inflation (%) | 2.93 | 0.16 | -0.31 | 0.47 | 2.93 | 5.66 | 3.53 | 2.17 | 2.11 |
| Returns / Inflation rates over 1 year are annualized. | |||||||||
|
DRAWDOWN
|
Current | 1Y | 3Y | 5Y | 10Y | MAX | |||
| Deepest Drawdown Depth (%) | -6.42 | -3.26 | -16.74 | -16.74 | -16.74 | -16.74 | |||
| Start to Recovery (# months) | 24* | 4 | 24* | 24* | 24* | 24* | |||
| Start (yyyy mm) | 2023 08 | 2022 01 | 2022 01 | 2022 01 | 2022 01 | ||||
| Start to Bottom (# months) | 3 | 12 | 12 | 12 | 12 | ||||
| Bottom (yyyy mm) | 2023 10 | 2022 12 | 2022 12 | 2022 12 | 2022 12 | ||||
| Bottom to End (# months) | 1 | 12 | 12 | 12 | 12 | ||||
| End (yyyy mm) | 2023 11 | - | - | - | - | ||||
| Longest Drawdown Depth (%) |
same |
same |
same |
same |
same |
||||
| Start to Recovery (# months) | |||||||||
| Start (yyyy mm) | 2023 08 | 2022 01 | 2022 01 | 2022 01 | 2022 01 | ||||
| Start to Bottom (# months) | 3 | 12 | 12 | 12 | 12 | ||||
| Bottom (yyyy mm) | 2023 10 | 2022 12 | 2022 12 | 2022 12 | 2022 12 | ||||
| Bottom to End (# months) | 1 | 12 | 12 | 12 | 12 | ||||
| End (yyyy mm) | 2023 11 | - | - | - | - | ||||
| Longest negative period (# months) | 7 | 35 | 40 | 40 | 40 | ||||
| Start (yyyy mm) | 2023 04 | 2021 01 | 2019 09 | 2019 09 | 2019 09 | ||||
| End (yyyy mm) | 2023 10 | 2023 11 | 2022 12 | 2022 12 | 2022 12 | ||||
| Annualized Return (%) | -0.13 | -0.48 | -0.09 | -0.09 | -0.09 | ||||
| Drawdowns / Negative periods marked with * are in progress | |||||||||
| Deepest Drawdown Depth (%) | -17.17 | -4.18 | -24.15 | -24.15 | -24.15 | -24.15 | |||
| Start to Recovery (# months) | 28* | 4 | 28* | 28* | 28* | 28* | |||
| Start (yyyy mm) | 2023 08 | 2021 09 | 2021 09 | 2021 09 | 2021 09 | ||||
| Start to Bottom (# months) | 3 | 16 | 16 | 16 | 16 | ||||
| Bottom (yyyy mm) | 2023 10 | 2022 12 | 2022 12 | 2022 12 | 2022 12 | ||||
| Bottom to End (# months) | 1 | 12 | 12 | 12 | 12 | ||||
| End (yyyy mm) | 2023 11 | - | - | - | - | ||||
| Longest Drawdown Depth (%) | -2.20 |
same |
same |
same |
same |
||||
| Start to Recovery (# months) | 5 | ||||||||
| Start (yyyy mm) | 2023 02 | 2021 09 | 2021 09 | 2021 09 | 2021 09 | ||||
| Start to Bottom (# months) | 1 | 16 | 16 | 16 | 16 | ||||
| Bottom (yyyy mm) | 2023 02 | 2022 12 | 2022 12 | 2022 12 | 2022 12 | ||||
| Bottom to End (# months) | 4 | 12 | 12 | 12 | 12 | ||||
| End (yyyy mm) | 2023 06 | - | - | - | - | ||||
| Longest negative period (# months) | 9 | 36* | 58 | 74 | 74 | ||||
| Start (yyyy mm) | 2023 02 | 2021 01 | 2019 01 | 2017 09 | 2017 09 | ||||
| End (yyyy mm) | 2023 10 | 2023 12 | 2023 10 | 2023 10 | 2023 10 | ||||
| Annualized Return (%) | -4.23 | -4.55 | -0.05 | -0.06 | -0.06 | ||||
| Drawdowns / Negative periods marked with * are in progress | |||||||||
|
RISK INDICATORS - MISC
|
1Y | 3Y | 5Y | 10Y | MAX | ||||
| Standard Deviation (%) | 6.94 | 8.72 | 8.30 | 7.03 | 7.68 | ||||
| Sharpe Ratio | 1.31 | 0.00 | 0.59 | 0.82 | 1.07 | ||||
| Sortino Ratio | 1.94 | 0.00 | 0.79 | 1.10 | 1.55 | ||||
| Ulcer Index | 1.20 | 9.40 | 7.47 | 5.48 | 4.85 | ||||
| Ratio: Return / Standard Deviation | 1.79 | 0.10 | 0.63 | 0.82 | 1.08 | ||||
| Ratio: Return / Deepest Drawdown | 3.80 | 0.05 | 0.31 | 0.35 | 0.50 | ||||
| Zero or Positive Months (%) | 58.33 | 52.77 | 63.33 | 66.66 | 67.30 | ||||
| Zero or Positive Months | 7 | 19 | 38 | 80 | 105 | ||||
| Negative Months | 5 | 17 | 22 | 40 | 51 | ||||
| # Rebalances | 4 | 12 | 20 | 40 | 52 | ||||
|
LONG TERM RETURNS
|
1Y | 3Y | 5Y | 10Y | MAX | ||||
| Best 10 Years Return (%) - Annualized | 5.78 | 10.99 | |||||||
| Worst 10 Years Return (%) - Annualized | 5.00 | ||||||||
| Best 10 Years Return (%) - Annualized | 3.54 | 9.78 | |||||||
| Worst 10 Years Return (%) - Annualized | 2.76 | ||||||||
|
TIMEFRAMES
|
1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | MAX | |
| Best Rolling Return (%) - Annualized | 25.88 | 17.82 | 14.05 | 10.99 | |||||
| Worst Rolling Return (%) - Annualized | -16.74 | -0.60 | 2.31 | 5.00 | |||||
| Positive Periods (%) | 86.8 | 99.1 | 100.0 | 100.0 | |||||
| Best Rolling Return (%) - Annualized | 23.58 | 15.94 | 12.95 | 9.78 | |||||
| Worst Rolling Return (%) - Annualized | -23.75 | -5.42 | -0.91 | 2.76 | |||||
| Positive Periods (%) | 80.0 | 84.2 | 87.6 | 100.0 | |||||
| 95% VaR - Value at Risk (%) - Cumulative | 2.96 | 4.25 | 4.79 | 9.88 | 0.00 | ||||
| 95% CVaR - Conditional Value at Risk (%) | 3.88 | 5.84 | 7.04 | 12.93 | 0.15 | ||||
| 99% VaR - Value at Risk (%) - Cumulative | 4.47 | 6.86 | 8.49 | 16.74 | 1.79 | ||||
| 99% CVaR - Conditional Value at Risk (%) | 5.43 | 8.53 | 10.85 | 16.74 | 1.79 | ||||
| Short term VaRs: analytical | 1+ year VaRs: historical data | |||||||||
| Safe Withdrawal Rate (%) | 86.21 | 30.15 | 21.24 | 12.83 | |||||
| Perpetual Withdrawal Rate (%) | --- | --- | --- | 3.05 | |||||
| % based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com | |||||||||
Terms and Definitions
- Annualized Portfolio Return: the annualized geometric mean return of the portfolio. When cashflows are involved, it is calculated using the Money-Weighted Rate of Return (MWRR), based on the Modified Dietz formula.
- 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. When cashflows are involved, portfolio values are normalized by the invested capital (i.e. owned quotes) at each time step: this isolates the effect of market performance from capital contributions, avoiding misleading drawdowns caused by large inflows that artificially lift portfolio value and, as a result, the drawdowns match the ones without cash flows.
- 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 based on the portfolio's composition currency:
- USD → BIL (SPDR Bloomberg 1-3 Month T-Bill ETF)
- CAD → CBIL.TO (CI First Asset Government 1-3 Month T-Bill ETF)
- EUR → XEON.DE (Xtrackers II EUR Overnight Rate Swap ETF)
- GBP → XSTR.L (Xtrackers II GBP Overnight Rate Swap ETF)
- any other currency → defaults to BIL (USD)
- 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.
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.
PORTFOLIO
Drawdown periods
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Drawdown period |
Recovery period |
Total |
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|---|---|---|---|---|---|---|---|---|
| Drawdown▴ | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index | |
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Drawdown period |
Recovery period |
Total |
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|---|---|---|---|---|---|---|---|---|
| Drawdown▴ | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index | |
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Drawdown period |
Recovery period |
Total |
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|---|---|---|---|---|---|---|---|---|
| Drawdown▴ | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index | |
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Drawdown period |
Recovery period |
Total |
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|---|---|---|---|---|---|---|---|---|
| Drawdown▴ | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index | |
Rolling Return Analysis
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.
PORTFOLIO
Annualized Rolling Returns — Over Time & Distribution
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The values shown for the rolling periods represent key statistical points: the minimum, maximum, median, and two user-defined percentiles. The lower and upper percentiles (default: 15th and 85th) can be adjusted using the inputs above. They give insight into the distribution of the data, while the median represents the middle value.
Holding Periods and Returns
Holding periods are based on rolling periods: each rolling window represents the return an investor would have achieved by holding the investment for a fixed period (e.g., 10, 20, or 30 years) starting from different dates.
PORTFOLIO
Annualized Rolling Returns
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| Rolling Period |
Worst Period |
50th Percentile |
Best Period |
Latest | Negative Periods |
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|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return |
From To |
Ann. Return |
Ann. Return |
Ann. Return |
Ann. Return |
From To |
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| Annualized rolling and percentiles/median returns over full calendar month periods. |
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| Rolling Period |
Worst Period |
50th Percentile |
Best Period |
Latest | Negative Periods |
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|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return |
From To |
Ann. Return |
Ann. Return |
Ann. Return |
Ann. Return |
From To |
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| Annualized rolling and percentiles/median returns over full calendar month periods. |
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| Rolling Period |
Worst Period |
50th Percentile |
Best Period |
Latest | Negative Periods |
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|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return |
From To |
Ann. Return |
Ann. Return |
Ann. Return |
Ann. Return |
From To |
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| Annualized rolling and percentiles/median returns over full calendar month periods. |
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| Rolling Period |
Worst Period |
50th Percentile |
Best Period |
Latest | Negative Periods |
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|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return |
From To |
Ann. Return |
Ann. Return |
Ann. Return |
Ann. Return |
From To |
||||||||
| Annualized rolling and percentiles/median returns over full calendar month periods. |
The values shown for the rolling periods represent key statistical points: the minimum, maximum, median, and two user-defined percentiles. The lower and upper percentiles (default: 15th and 85th) can be adjusted using the inputs above. They give insight into the distribution of the data, while the median represents the middle value.
Time to Target
What it shows: Months to reach your target capital from each historical entry point, accounting for your initial investment and periodic contributions.
PORTFOLIO
Time to reach your Target Capital
No starting month reached the target with current settings. Try a lower target or higher cashflow.
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Monthly Returns and Seasonality
This section provides a visual/tabular representation of the performance variability in the Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.
PORTFOLIO
Monthly Returns Distribution
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Portfolio Stats |
Monthly Return (%) |
|||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Return | Drawdown | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
A custom taxation is set, so the annual return may not exactly match the compounded monthly returns shown above, due to rebalancing or filter switches.
Cashflows have been applied: annual returns are calculated using the Money-Weighted Rate of Return (MWRR).
Cashflows have been applied: annual returns are calculated using the Money-Weighted Rate of Return (MWRR).
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Monthly Seasonality Analysis
13 full years are available for analysis
| Avg Return (%) | |
| Win Count | |
| Loss Count | |
| Win % | |
| Worst Return (%) | |
| Best Return (%) |
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For further information about the seasonality, check the Asset Class Seasonality page.
Methodology
Returns, up to October 2014, have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can find additional information on extended Data Sources here.
In particular, the series derived from equivalent datasets are:
- iShares MSCI ACWI (IUSQ.DE), up to March 2012
- Xtrackers II Eurozone Government Bond (XGLE.DE), up to April 2014
- Bitcoin (^BTC-EUR), up to October 2014
Your practical guide to Building Wealth.
Master ETF Investing & maximize profits with Lazy Portfolios & Passive Strategies.