Portfolio Backtest and Simulation

With this Backtesting Tool, you can build your Portfolio, based on the selected asset classes.

You can simulate your Portfolio and calculate the same metrics that you are already accustomed to seeing on this website.

You can backtest your portfolio, using the following main assets:

  • Stocks: Total Market, Large/Mid/Small, Value/Growth, Sectors, Factors, US/International
  • Fixed Income: Total Market, Government/Corporate, Long/Medium/Short Term, Convertible, US/International
  • Commodities: Gold, Bitcoin, Precious Metals, Broad commodities

You have access to the main ETFs in USD and EUR currencies.

Build your Portfolio

Choose one or more assets, and for each one input the weight.
Dedalo Invest

Assets:
Stocks
Fixed Income
Commodities
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ETFs flagged with • are denominated in a different currency. Returns are simulated using exchange rates or interest rate differentials in case of currency hedging.

US Stocks

  • VTI
    US Total Stock Market
  • VUN.TO
    US Total Stock Market
  • XD9U.DE
    US Total Stock Market
  • VTV
    US Large Cap Value
  • SPY
    US Large Cap Blend
  • VFV.TO
    SP500 - US Large Cap Blend
  • SXR8.DE
    SP500 - US Large Cap Blend
  • VUG
    US Large Cap Growth
  • VOE
    US Mid Cap Value
  • IJH
    US Mid Cap Blend
  • XMC.TO
    US Mid Cap Blend
  • SPY4.DE
    US Mid Cap Blend
  • IJK
    US Mid Cap Growth
  • IJS
    US Small Cap Value
  • ZPRV.DE
    US Small Cap Value
  • IJR
    US Small Cap Blend
  • XSMC.TO
    US Small Cap Blend
  • ZPRR.DE
    US Small Cap Blend
  • IJT
    US Small Cap Growth
  • IUSV
    US Value
  • XVLU.TO
    US Value
  • QDVI.DE
    US Value
  • IUSG
    US Growth

ex-US Stocks

  • SXRT.DE
    European Union - Large Cap
  • XIC.TO
    Canada - Large Cap
  • VT
    World All Countries
  • IUSQ.DE
    World All Countries
  • XAW.TO
    World All Countries ex-Canada
  • EFA
    EAFE
  • XEF.TO
    EAFE
  • EUNL.DE
    Developed Countries
  • EFV
    EAFE Value
  • IS3S.DE
    Dev. Countries Value
  • SCZ
    EAFE Small Cap
  • IUSN.DE
    Dev. Countries Small Cap
  • EEM
    Emerging Markets
  • XEC.TO
    Emerging Markets
  • IS3N.DE
    Emerging Markets
  • VGK
    Europe
  • VE.TO
    Europe
  • SXR1.DE
    Pacific ex-Japan
  • VPL
    Pacific
  • VA.TO
    Pacific
  • AAXJ
    Asia ex-Japan
  • REET
    Global REITs
  • CGR.TO
    Global REITs
  • SPY2.DE
    Global REITs
  • IMTM
    Intl (ex-US-CA) Mtum Factor
  • FCIM.NE
    Intl (ex-US-CA) Mtum Factor
  • IS3R.DE
    Dev. World Momentum Factor
  • IS3Q.DE
    Dev. World Quality Factor
  • DWX
    Intl (ex-US-CA) High Dividend
  • VGWE.DE
    All World High Dividend
  • DLS
    Intl (ex-US-CA) Small Cap Divd.

US Theme - Sectors

  • PFF
    US Preferred Stocks
  • ZUP.TO
    US Preferred Stocks
  • PRFD
    US Preferred Stocks
  • ESGV
    US ESG Stocks
  • XUSR.TO
    US ESG Stocks
  • XZMU.DE
    US ESG Stocks
  • QQQ
    US Nasdaq
  • QQC.TO
    US Nasdaq
  • SXRV.DE
    US Nasdaq
  • VNQ
    US REITs
  • IQQ7.DE
    US REITs
  • XLC
    US Communication Services
  • IU5C.DE
    US Communication Services
  • XLY
    US Consumer Discretionary
  • QDVK.DE
    US Consumer Discretionary
  • XLP
    US Consumer Staples
  • 2B7D.DE
    US Consumer Staples
  • XLE
    US Energy
  • QDVF.DE
    US Energy
  • XLF
    US Financials
  • XUSF.TO
    US Financials
  • QDVH.DE
    US Financials
  • XLV
    US Healthcare
  • FHH.TO
    US Healthcare
  • QDVG.DE
    US Healthcare
  • XLK
    US Information Technology
  • QDVE.DE
    US Information Technology
  • XLI
    US Industrials
  • FHG.TO
    US Industrials
  • 2B7C.DE
    US Industrials
  • XLB
    US Materials
  • 2B7B.DE
    US Materials
  • XLU
    US Utilities
  • 2B7A.DE
    US Utilities

US Factor - Dividends

  • MTUM
    US Momentum Factor
  • XMTM.TO
    US Momentum Factor
  • QDVA.DE
    US Momentum Factor
  • RSP
    US Equal Weight
  • EQL.TO
    US Equal Weight
  • XDEW.DE
    US Equal Weight
  • USMV
    US Minimum Volatility
  • XMU.TO
    US Minimum Volatility
  • IBCK.DE
    US Minimum Volatility
  • QUAL
    US Quality Factor
  • XQLT.TO
    US Quality Factor
  • QDVB.DE
    US Quality Factor
  • VYM
    US High Dividend
  • XHU.TO
    US High Dividend
  • USDV.DE
    US High Dividend
  • DES
    US Small Cap High Dividend

US Fixed Income

  • BND
    US Total Bonds
  • ZUAG.TO
    US Total Bonds
  • EUNX.DE
    US Total Bonds
  • BSV
    US Short Term Total Bonds
  • GOVT
    US Government Bonds
  • VGTY.DE
    US Government Bonds
  • BIL
    US T-Bill 1-3 Months
  • ZUCM.TO
    US T-Bill 1-3 Months
  • XFFE.DE
    US Dollar Ultra Short
  • SHY
    US Treasury 1-3 Year
  • ZTS.NE
    US Treasury 1-3 Year
  • IUSU.DE
    US Treasury 1-3 Year
  • IEI
    US Treasury 3-7 Year
  • ZTM.NE
    US Treasury 3-7 Year
  • SXRL.DE
    US Treasury 3-7 Year
  • IEF
    US Treasury 7-10 Year
  • HTB.TO
    US Treasury 7-10 Year
  • IUSM.DE
    US Treasury 7-10 Year
  • TLT
    US Treasury 20+Year
  • XTLT.TO
    US Treasury 20+Year
  • IS04.DE
    US Treasury 20+Year
  • TIP
    US Inflation Linked Bonds
  • XSTP.TO
    US Inflation Linked Bonds
  • IUST.DE
    US Inflation Linked Bonds
  • CWB
    US Convertible Bonds
  • NUBD
    US ESG Aggregate Bonds
  • SPPU.DE
    US ESG Aggregate Bonds
  • LQD
    US Invest. Grade Corp. Bonds
  • XCBU.TO
    US Invest. Grade Corp. Bonds
  • VUCE.DE
    US Invest. Grade Corp. Bonds
  • HYG
    US High Yield Corporate Bonds
  • ZJK.TO
    US High Yield Corporate Bonds
  • IS0R.DE
    US High Yield Corporate Bonds
  • SPLB
    US Long Term Corporate Bonds
  • MBB
    US Invest. Grade Mortage Backed

EU Fixed Income

  • SYBA.DE
    EU Total Bonds
  • XGLE.DE
    EU Government Bonds
  • EUN6.DE
    EU Gov. Bonds 0-1 Year
  • LYQ2.DE
    EU Gov. Bonds 1-3 Year
  • SXRP.DE
    EU Gov. Bonds 3-7 Year
  • LYXD.DE
    EU Gov. Bonds 7-10 Year
  • IBCL.DE
    EU Gov. Bonds 15-30 Year
  • IBCI.DE
    EU Inflation Linked Bonds
  • EUN4.DE
    EU ESG Aggregate Bonds
  • EUN5.DE
    EU Invest. Grade Corp. Bonds
  • XHYG.DE
    EU High Yield Corporate Bonds

CA Fixed Income

  • ZAG.TO
    CA Total Bonds
  • XGB.TO
    CA Government Bonds
  • CBIL.TO
    CA T-Bill 1-3 Months
  • ZFS.TO
    CA Gov. Bonds 1-5 Year
  • CLG.TO
    CA Gov. Bonds 1-10Y Laddered
  • ZFM.TO
    CA Gov. Bonds 5-10 Year
  • ZFL.TO
    CA Gov. Bonds 15-30 Year
  • ZRR.TO
    CA Inflation Linked Bonds
  • CVD.TO
    CA Convertible Bonds
  • XSAB.TO
    CA ESG Aggregate Bonds
  • XCB.TO
    CA Invest. Grade Corp. Bonds

International Fixed Income

  • BNDX
    Intl (ex-US) Total Bonds
  • BNDX
    Intl (ex-US) Total Bonds
  • EUNU.DE
    Global Aggregate Bonds
  • XG7S.DE
    Developed Mkts Gov. Bonds
  • EMB
    Emerging Markets Gov. Bonds
  • EMB
    Emerging Markets Gov. Bonds
  • IUS7.DE
    Emerging Markets Gov. Bonds
  • WIP
    Intl (ex-US) Infl. Linked Bonds
  • IUS5.DE
    Global Inflation Linked Bonds
  • ZPRC.DE
    Global Convertible Bonds

Commodity

  • GLD
    Gold
  • ZGLD.TO
    Gold
  • PHAU
    Gold
  • DBC
    Broad Commodities
  • CCOM.TO
    Broad Commodities
  • UIQK.DE
    Broad Commodities
  • GSG
    Broad Commodities
  • GLTR
    Precious Metals
  • ^BTC
    Bitcoin
  • ^BTC-CAD
    Bitcoin
  • ^BTC-EUR
    Bitcoin
The minimum date range must be at least 12 months. 'Date To' cannot be beyond October 2024.
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Portfolio Simulation

Permanent Link to this simulation: Copy to Clipboard
https://www.lazyportfolioetf.com/portfolio-backtest-and-simulation/?sm=eNqrVkp0VrJSCg12UdJRynUDMg0MgaxKEMvQwhzELg4CsQ2ArERDICssBMgqMASLgQTLlKyMagE2Nw97
Simulation Settings
Period: January 1970 - October 2024 (~55 years)
Consolidated Returns as of 31 October 2024
Currency: USD
The time period was limited by the available data range (January 1970 - October 2024)
1.00$
Initial Capital
November 1994
9.96$
Final Capital
October 2024
7.96%
Yearly Return
15.69
Std Deviation
-55.18%
Max Drawdown
69months
Recovery Period
1.00$
Initial Capital
January 1970
152.61$
Final Capital
October 2024
9.60%
Yearly Return
15.68
Std Deviation
-55.18%
Max Drawdown
69months
Recovery Period

The Portfolio can be implemented with 1 ETF. This portfolio has a very high risk, meaning it can experience significant fluctuations in value. It is suitable for investors with a high risk tolerance who are seeking substantial returns and can withstand large drawdowns.

The portfolio asset allocation is: 100% on the Stock Market, 0% on Fixed Income, 0% 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 0% allocation to bonds, leading to its classification as very high risk.

As of October 2024, in the previous 30 Years, the Portfolio obtained a 7.96% compound annual return, with a 15.69% standard deviation. It suffered a maximum drawdown of -55.18% that required 69 months to be recovered.

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.

Table of contents

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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.

100% Stocks
0% Fixed Income
0% Commodities

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Weight
(%)		 ETF
Ticker		 ETF
Currency		 ETF Name Investment Themes (Orig.Currency)
100.00
VT
USD Vanguard Total World Stock Equity, Global, Large Cap (USD)

Most of Lazy Portfolios are made of common components (asset classes), very simple and well defined. For a more complete view, find out the most common ETFs you can use to build your portfolio.

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Portfolio and ETF Returns as of Oct 31, 2024

The Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming:
  • no fees or capital gain taxes.
  • dividend reinvestment, when applicable.
  • the actual US Inflation rates.
PORTFOLIO
1 January 1970 - 31 October 2024 (~55 years)
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Oct 31, 2024
  1 Day Time ET(*) Nov 2024 YTD
(10M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~55Y)
Investment Return n.a. n.a. 15.24 -2.18 10.86 32.11 11.03 9.12 7.96 9.60
US Inflation Adjusted Return 12.79 -2.42 10.07 28.79 6.58 6.07 5.31 5.44
Returns over 1 year are annualized
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Oct 2024. Inflation (annualized) is 1Y: 2.58% , 5Y: 4.17% , 10Y: 2.88% , 30Y: 2.52%

In 2023, the Portfolio granted a 2.51% dividend yield.

Looking for more portfolios? Choose Your Currency and Explore!
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Capital Growth as of Oct 31, 2024

An investment of 1$, from November 1994 to October 2024, would be worth 9.96$, with a total return of 895.78% (7.96% annualized).

The Inflation Adjusted Capital would be 4.72$, with a net total return of 371.61% (5.31% annualized).

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An investment of 1$, from January 1970 to October 2024, would be worth 152.61$, with a total return of 15160.95% (9.60% annualized).

The Inflation Adjusted Capital would be 18.24$, with a net total return of 1723.84% (5.44% annualized).

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Portfolio Metrics as of Oct 31, 2024

Metrics of Portfolio, updated as of 31 October 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.
  • dividend reinvestment, when applicable.
  • the actual US Inflation rates.
PORTFOLIO
Advanced Metrics
1 January 1970 - 31 October 2024 (~55 years)
Swipe left to see all data
Metrics as of Oct 31, 2024
YTD
(10M) 		1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~55Y)
Investment Return (%)
15.24 -2.18 2.30 10.86 32.11 5.24 11.03 9.12 8.15 7.96 9.60
Growth of 1$ 1.15 0.98 1.02 1.11 1.32 1.17 1.69 2.39 4.79 9.96 152.61
Infl. Adjusted Return (%)
12.79 -2.42 1.68 10.07 28.79 0.71 6.58 6.07 5.46 5.31 5.44
US Inflation (%) 2.17 0.24 0.61 0.72 2.58 4.50 4.17 2.88 2.55 2.52 3.95
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
 Current 1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -2.18 -3.58 -25.52 -25.52 -25.52 -55.18 -55.18 -55.18
Start to Recovery (# months)
1* 2 24 24 24 69 69 69
Start (yyyy mm) 2024 04 2022 01 2022 01 2022 01 2007 11 2007 11 2007 11
Start to Bottom (# months) 1 9 9 9 16 16 16
Bottom (yyyy mm) 2024 04 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 1 15 15 15 53 53 53
End (yyyy mm) 2024 05 2023 12 2023 12 2023 12 2013 07 2013 07 2013 07
Longest Drawdown Depth (%)
same
same
same
same
same
same
same
Start to Recovery (# months)
Start (yyyy mm) 2024 04 2022 01 2022 01 2022 01 2007 11 2007 11 2007 11
Start to Bottom (# months) 1 9 9 9 16 16 16
Bottom (yyyy mm) 2024 04 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 1 15 15 15 53 53 53
End (yyyy mm) 2024 05 2023 12 2023 12 2023 12 2013 07 2013 07 2013 07
Longest negative period (# months)
2 25 31 34 73 132 132
Start (yyyy mm) 2024 03 2021 11 2021 04 2017 06 2007 06 1998 03 1998 03
End (yyyy mm) 2024 04 2023 11 2023 10 2020 03 2013 06 2009 02 2009 02
Annualized Return (%) -3.01 -1.85 -0.79 -0.09 -0.10 -0.11 -0.11
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -2.42 -3.88 -29.76 -30.11 -30.11 -55.93 -55.93 -55.93
Start to Recovery (# months)
1* 2 33 36 36 79 79 79
Start (yyyy mm) 2024 04 2021 11 2021 09 2021 09 2007 11 2007 11 2007 11
Start to Bottom (# months) 1 11 13 13 16 16 16
Bottom (yyyy mm) 2024 04 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 1 22 23 23 63 63 63
End (yyyy mm) 2024 05 2024 07 2024 08 2024 08 2014 05 2014 05 2014 05
Longest Drawdown Depth (%) -0.30
same
same
same
same
same		 -51.54
Start to Recovery (# months)
2 145
Start (yyyy mm) 2024 01 2021 11 2021 09 2021 09 2007 11 2007 11 1973 01
Start to Bottom (# months) 1 11 13 13 16 16 21
Bottom (yyyy mm) 2024 01 2022 09 2022 09 2022 09 2009 02 2009 02 1974 09
Bottom to End (# months) 1 22 23 23 63 63 124
End (yyyy mm) 2024 02 2024 07 2024 08 2024 08 2014 05 2014 05 1985 01
Longest negative period (# months)
2 32 38 58 106 158 158
Start (yyyy mm) 2024 03 2021 11 2020 09 2017 12 2007 05 1996 01 1996 01
End (yyyy mm) 2024 04 2024 06 2023 10 2022 09 2016 02 2009 02 2009 02
Annualized Return (%) -6.95 -0.50 -0.76 -0.07 -0.13 -0.01 -0.01
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 11.16 16.49 17.55 14.91 15.80 15.69 15.68
Sharpe Ratio 2.40 0.10 0.50 0.51 0.42 0.36 0.33
Sortino Ratio 3.36 0.14 0.66 0.68 0.56 0.48 0.45
Ulcer Index 1.16 10.55 9.12 7.37 14.27 15.84 13.36
Ratio: Return / Standard Deviation 2.88 0.32 0.63 0.61 0.52 0.51 0.61
Ratio: Return / Deepest Drawdown 8.96 0.21 0.43 0.36 0.15 0.14 0.17
Positive Months (%)
83.33 58.33 63.33 65.83 63.33 62.22 61.09
Positive Months 10 21 38 79 152 224 402
Negative Months 2 15 22 41 88 136 256
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
 1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 9.12 13.06 13.06 21.88
Worst 10 Years Return (%) - Annualized 3.59 -1.56 -1.56
Best 10 Years Return (%) - Annualized 6.07 11.10 11.10 14.63
Worst 10 Years Return (%) - Annualized 1.76 -4.04 -4.04
TIMEFRAMES
Inflation Adjusted:
Inflation Adjusted:
 1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
··· As of Oct 2024 - Over the previous 30Y
Best Rolling Return (%) - Annualized 59.32 24.35 22.13 13.06 8.89 7.96
Worst Rolling Return (%) - Annualized -48.64 -16.61 -4.36 -1.56 3.61
Positive Periods (%) 73.3 81.2 85.0 97.9 100.0 100.0
Best Rolling Return (%) - Annualized 55.96 20.98 18.70 11.10 6.30 5.31
Worst Rolling Return (%) - Annualized -48.65 -18.61 -6.82 -4.04 1.50
Positive Periods (%) 70.2 77.2 75.4 89.6 100.0 100.0
95% VaR - Value at Risk (%) - Cumulative
6.71 10.67 13.78 20.83 29.30 9.91 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 8.59 13.93 18.39 33.87 34.83 13.87 0.01 0.00
99% VaR - Value at Risk (%) - Cumulative
9.79 16.02 21.34 43.30 38.62 18.13 11.06 0.00
99% CVaR - Conditional Value at Risk (%) 11.76 19.42 26.15 46.82 40.90 19.52 14.52 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 68.82 22.52 14.23 7.93 4.74 6.55
Perpetual Withdrawal Rate (%) --- --- --- --- 1.22 5.16
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
··· All available data (Jan 1970 - Oct 2024)
Best Rolling Return (%) - Annualized 59.60 47.48 37.13 21.88 16.15 13.59
Worst Rolling Return (%) - Annualized -48.64 -16.61 -4.36 -1.56 3.61 6.56
Positive Periods (%) 76.5 86.0 92.1 99.0 100.0 100.0
Best Rolling Return (%) - Annualized 57.12 43.17 32.95 14.63 11.83 8.54
Worst Rolling Return (%) - Annualized -48.65 -18.61 -7.79 -4.04 1.50 4.11
Positive Periods (%) 68.0 76.2 78.2 91.0 100.0 100.0
95% VaR - Value at Risk (%) - Cumulative
6.58 10.29 13.02 19.04 20.46 4.15 0.00 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 8.46 13.54 17.62 28.60 29.96 10.40 0.00 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
9.66 15.63 20.58 39.64 36.42 14.13 0.02 0.00 0.00
99% CVaR - Conditional Value at Risk (%) 11.63 19.03 25.39 44.40 39.04 17.46 9.58 0.00 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 68.82 22.52 14.02 7.19 4.74 4.40
Perpetual Withdrawal Rate (%) --- --- --- --- 1.22 3.14
% 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.
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Mastering ETF Investing
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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
Drawdown periods - Inflation Adjusted
1 November 1994 - 31 October 2024 (30 Years)
1 January 1970 - 31 October 2024 (~55 years)
Inflation Adjusted:

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Rolling Returns

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
Annualized Rolling Returns - Inflation Adjusted
1 November 1994 - 31 October 2024 (30 Years)
1 January 1970 - 31 October 2024 (~55 years)
Inflation Adjusted:

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The values shown for the rolling periods represent key statistical points: the minimum, maximum, median, and the 15th and 85th percentiles. These percentiles give insight into the distribution of the data, indicating the range within which the central 70% of the values lie, while the median represents the middle value.

Seasonality

In which months is it better to invest in Portfolio?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past. They are retrieved considering the time period from January 1970 to October 2024.

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For further information about the seasonality, check the Asset Class Seasonality page.

Monthly Returns

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
1 November 1994 - 31 October 2024 (30 Years)
1 January 1970 - 31 October 2024 (~55 years)
224 Positive Months (62%) - 136 Negative Months (38%)
402 Positive Months (61%) - 256 Negative Months (39%)

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Methodology

Returns, up to December 2008, 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:
  • Vanguard Total World Stock (VT), up to December 2008

Portfolio efficiency

The following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.

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In the following table, you can compare the current portfolio with a list of famous portfolios. Metrics are calculated over the last 30 Years.

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