{"format":"alysly-page/1","url":"https://alysly.com/tools/portfolio-analysis/etf-backtest/","json":"https://alysly.com/json/tools/portfolio-analysis/etf-backtest/index.json","lang":"en-US","title":"ETF Portfolio Backtest: Returns, CAGR & Max Drawdown","description":"Historical performance of a mix of ETFs, indices, gold, oil, currencies and crypto in euros or dollars: annual return, maximum drawdown and volatility.","modified":"2026-11-12T09:52:13+01:00","alternates":[{"lang":"de-DE","url":"https://alysly.com/de/tools/depot-analyse/etf-backtest/","json":"https://alysly.com/json/de/tools/depot-analyse/etf-backtest/index.json"}],"about":"Machine-readable version of the page at url. It contains the text, tables and key figures published there, but not the interactive charts and tools.","breadcrumb":[{"name":"Tools","url":"https://alysly.com/tools/"},{"name":"Portfolio Analysis","url":"https://alysly.com/tools/portfolio-analysis/"},{"name":"ETF Portfolio Backtest","url":"https://alysly.com/tools/portfolio-analysis/etf-backtest/"}],"content":[{"type":"heading","level":1,"text":"ETF Portfolio Backtest: Historical Returns and Drawdowns of a Mix"},{"type":"heading","level":2,"id":"bt-in-h","text":"Mix"},{"type":"paragraph","text":"Currency"},{"type":"paragraph","text":"Period"},{"type":"paragraph","text":"Rebalancing"},{"type":"heading","level":2,"id":"portfolios","text":"Common Portfolio Designs, Backtested on Our Own Fund Series"},{"type":"paragraph","text":"Each of these portfolios is made up of funds we also carry in our database. The calculation is based on their daily net asset values and includes fund costs. It therefore shows how a portfolio of exactly these funds would have performed – not based on index data, which leaves fund costs out."},{"type":"heading","level":3,"text":"Compared From Oct 13, 2017"},{"type":"paragraph","text":"All lines are set to 100 on the shared starting day. Oct 13, 2017, is the earliest possible shared start, because the data series of the youngest building block across all portfolios begins on that day. An earlier start would therefore not be possible for every portfolio. The maximum drawdown is the largest decline from a peak."},{"type":"list","ordered":false,"items":["70/30 With Small Caps","One ETF for Everything","70/30 World and Emerging Markets","Multi-Factor, Five Times 20","60/40 World and Emerging Markets","Sustainable 70/30","50/30/20 With Europe"]},{"type":"image","alt":"Portfolio performance since Oct 13, 2017, all set to 100"},{"type":"table","caption":"Portfolios over the shared period","columns":["Portfolio","Total","Per year","Max drawdown"],"rows":[[{"text":"70/30 With Small Caps","href":"#pf-world-smallcap-70-30"},"154.8%","10.85%","-36.0%"],[{"text":"One ETF for Everything","href":"#pf-world-1etf"},"152.9%","10.76%","-34.7%"],[{"text":"70/30 World and Emerging Markets","href":"#pf-world-em-70-30"},"142.6%","10.25%","-33.6%"],[{"text":"Multi-Factor, Five Times 20","href":"#pf-multifactor"},"142.2%","10.23%","-34.6%"],[{"text":"60/40 World and Emerging Markets","href":"#pf-world-em-60-40"},"131.2%","9.67%","-33.6%"],[{"text":"Sustainable 70/30","href":"#pf-sri-70-30"},"130.5%","9.63%","-33.3%"],[{"text":"50/30/20 With Europe","href":"#pf-world-em-europe"},"127.9%","9.50%","-34.0%"]]},{"type":"heading","level":3,"text":"The Portfolios One by One"},{"type":"paragraph","text":"Here each portfolio counts from its own first day (column “From”). The returns are therefore not comparable with one another. For that, use the table above. The column “Per year” assumes the mix is reset to its target weights once a year. The column “Without rebalancing” shows the same mix left to run. TER is the funds' annual expense ratio, averaged by weight. The link “Open in the backtest” loads the mix into the tool above, in US dollars and with yearly rebalancing."},{"type":"table","caption":"Portfolios, each from its own first day","columns":["Portfolio","From","Per year","Without rebalancing","Max drawdown","TER","Path"],"rows":[[{"text":"One ETF for Everything Developed markets, emerging markets and small caps in a single fund – the shortest form of a global portfolio. 100% MSCI ACWI IMI SPYI Open in the backtest","links":[{"text":"Open in the backtest","href":"https://alysly.com/tools/portfolio-analysis/etf-backtest/#nav_ie00b3ylty66%3a100&ccy=USD&r=y"}]},{"text":"May 16, 2011","data":{"l":"From"}},{"text":"9.92%","data":{"l":"Per year"}},{"text":"–","data":{"l":"Without rebalancing"}},{"text":"-34.7%","data":{"l":"Max drawdown"}},{"text":"0.17%","data":{"l":"TER"}},""],[{"text":"70/30 World and Emerging Markets The classic: emerging markets weighted above their market value, closer to their share of the world economy. 70% MSCI World EUNL 30% MSCI Emerging Markets SPYM Open in the backtest","links":[{"text":"Open in the backtest","href":"https://alysly.com/tools/portfolio-analysis/etf-backtest/#nav_ie00b4l5y983%3a70%2cnav_ie00b469f816%3a30&ccy=USD&r=y"}]},{"text":"May 16, 2011","data":{"l":"From"}},{"text":"8.90%","data":{"l":"Per year"}},{"text":"9.26%","data":{"l":"Without rebalancing"}},{"text":"-33.6%","data":{"l":"Max drawdown"}},{"text":"0.19%","data":{"l":"TER"}},""],[{"text":"60/40 World and Emerging Markets The same two funds, with emerging markets weighted higher still. 60% MSCI World EUNL 40% MSCI Emerging Markets SPYM Open in the backtest","links":[{"text":"Open in the backtest","href":"https://alysly.com/tools/portfolio-analysis/etf-backtest/#nav_ie00b4l5y983%3a60%2cnav_ie00b469f816%3a40&ccy=USD&r=y"}]},{"text":"May 16, 2011","data":{"l":"From"}},{"text":"8.28%","data":{"l":"Per year"}},{"text":"8.72%","data":{"l":"Without rebalancing"}},{"text":"-33.6%","data":{"l":"Max drawdown"}},{"text":"0.19%","data":{"l":"TER"}},""],[{"text":"50/30/20 With Europe Europe on top, against the roughly 73 percent US weight in the world index. 50% MSCI World EUNL 30% MSCI Emerging Markets SPYM 20% MSCI Europe XMEU Open in the backtest","links":[{"text":"Open in the backtest","href":"https://alysly.com/tools/portfolio-analysis/etf-backtest/#nav_ie00b4l5y983%3a50%2cnav_ie00b469f816%3a30%2cnav_lu0274209237%3a20&ccy=USD&r=y"}]},{"text":"May 16, 2011","data":{"l":"From"}},{"text":"8.13%","data":{"l":"Per year"}},{"text":"8.49%","data":{"l":"Without rebalancing"}},{"text":"-34.0%","data":{"l":"Max drawdown"}},{"text":"0.15%","data":{"l":"TER"}},""],[{"text":"70/30 With Small Caps Developed-market small companies, which the MSCI World leaves out. 70% MSCI World EUNL 30% MSCI World Small Cap ZPRS Open in the backtest","links":[{"text":"Open in the backtest","href":"https://alysly.com/tools/portfolio-analysis/etf-backtest/#nav_ie00b4l5y983%3a70%2cnav_ie00bcbjg560%3a30&ccy=USD&r=y"}]},{"text":"Nov 25, 2013","data":{"l":"From"}},{"text":"10.09%","data":{"l":"Per year"}},{"text":"10.13%","data":{"l":"Without rebalancing"}},{"text":"-36.0%","data":{"l":"Max drawdown"}},{"text":"0.28%","data":{"l":"TER"}},""],[{"text":"Sustainable 70/30 The same split, but only the best-rated companies within each sector, so far fewer holdings. 70% MSCI World SRI 2B7K, EUR 30% MSCI EM SRI SUSM Open in the backtest","links":[{"text":"Open in the backtest","href":"https://alysly.com/tools/portfolio-analysis/etf-backtest/#nav_ie00byx2jd69%3a70%2cnav_ie00byvjrp78%3a30&ccy=USD&r=y"}]},{"text":"Oct 13, 2017","data":{"l":"From"}},{"text":"9.63%","data":{"l":"Per year"}},{"text":"9.77%","data":{"l":"Without rebalancing"}},{"text":"-33.3%","data":{"l":"Max drawdown"}},{"text":"0.22%","data":{"l":"TER"}},""],[{"text":"Multi-Factor, Five Times 20 Five equal building blocks, none of them the world index itself. 20% MSCI World Small Cap ZPRS 20% MSCI World Value IS3S 20% MSCI World Momentum XDEM 20% MSCI World Quality IS3Q 20% MSCI EM IMI IS3N Open in the backtest","links":[{"text":"Open in the backtest","href":"https://alysly.com/tools/portfolio-analysis/etf-backtest/#nav_ie00bcbjg560%3a20%2cnav_ie00bp3qzb59%3a20%2cnav_ie00bl25jp72%3a20%2cnav_ie00bp3qz601%3a20%2cnav_ie00bkm4gz66%3a20&ccy=USD&r=y"}]},{"text":"Oct 3, 2014","data":{"l":"From"}},{"text":"9.89%","data":{"l":"Per year"}},{"text":"9.92%","data":{"l":"Without rebalancing"}},{"text":"-34.6%","data":{"l":"Max drawdown"}},{"text":"0.23%","data":{"l":"TER"}},""],["Dividend 70/30 Companies with a long payout record, weighted by dividend yield rather than market value. 70% S&P Global Dividend Aristocrats ZPRG 30% S&P EM Dividend Aristocrats SPYV",{"text":"No performance of our own, because both funds pay out their income; note below the table.","links":[{"text":"note below the table","href":"#pf-dividend-70-30-note"}]},"","","","",""]]},{"type":"paragraph","id":"pf-dividend-70-30-note","text":"Dividend 70/30: For this portfolio we show no performance of our own. Both funds pay their income out, and the net-asset-value series does not contain it. Measured against the published returns, it is short by 4.8 percentage points a year. Putting such a series next to series that do contain the income would make the dividend portfolio look worse than it was."},{"type":"table","caption":"Published returns of the two funds, percent per year","columns":["% per year","1 yr","3 yr","5 yr","10 yr"],"rows":[["ZPRG","16.25","17.97","7.46","6.76"],["SPYV","0.69","15.28","6.10","5.22"]]},{"type":"paragraph","text":"Returns per year as the fund company publishes them; as of Oct 31, 2026. Combining the two into one portfolio figure would be an estimate, so we leave it out. Once the payouts exist as a data series, this portfolio will be calculated like the others."},{"type":"heading","level":3,"text":"What These Numbers Leave Out"},{"type":"list","ordered":false,"items":["Taxes and account costs: Taxes, trading costs and account fees are not included. After these costs, the actual return is correspondingly lower.","Currency effects: The calculation is in US dollars. Euro share classes are converted at the ECB reference rate of the day. In euros, the results can therefore look different – because of exchange-rate moves, not because of different performance.","Only the past: The longest series begins on May 16, 2011. It therefore covers certain market phases, but not every possible market condition. No statement about future performance can be derived from it.","Checked data: Every fund series is reconciled against the published returns and matches them to within 0.01 percentage points a year. Where a series does not reach this accuracy, we say so."]},{"type":"paragraph","text":"Data note 1","href":"#dn-1"},{"type":"paragraph","text":"Data note 2","href":"#dn-2"},{"type":"heading","level":2,"id":"h-tool-data","text":"Data Behind This Tool"},{"type":"paragraph","text":"The tool calculates with this data from our database or uses it to fill in its fields:"},{"type":"list","ordered":false,"items":[{"text":"ETFs","href":"https://alysly.com/markets/etfs/"},{"text":"Indices","href":"https://alysly.com/markets/indices/"},{"text":"Stocks","href":"https://alysly.com/markets/stocks/"},{"text":"Precious Metals","href":"https://alysly.com/markets/metals/"},{"text":"Commodities","href":"https://alysly.com/markets/commodities/"},{"text":"Currencies","href":"https://alysly.com/markets/forex/"},{"text":"Crypto","href":"https://alysly.com/markets/crypto/"}]},{"type":"heading","level":2,"id":"h-tool-basics","text":"Related Basics"},{"type":"list","ordered":false,"items":[{"text":"ETF Fees: TER and Hidden Costs","href":"https://alysly.com/learn/etf-fees/"},{"text":"Distributing or Accumulating ETFs? The Difference","href":"https://alysly.com/learn/distributing-or-accumulating/"},{"text":"Backtest Overfitting: The Number of Trials Counts","href":"https://alysly.com/learn/backtest-overfitting/"},{"text":"MSCI World Criticism: How Big Is the US Concentration?","href":"https://alysly.com/learn/msci-world-criticism/"},{"text":"Factor ETFs: Value, Quality, Growth & Small Cap","href":"https://alysly.com/learn/factor-etfs/"}]},{"type":"heading","level":2,"id":"h-tool-studies","text":"Related Research"},{"type":"list","ordered":false,"items":[{"text":"Bitcoin in Investment Portfolios: The Real Numbers May 19, 2026","links":[{"text":"Bitcoin in Investment Portfolios: The Real Numbers","href":"https://alysly.com/research/bitcoin-investment-portfolios/"}]},{"text":"Why Most Traders Lose Money: What the Data Shows Oct 14, 2025","links":[{"text":"Why Most Traders Lose Money: What the Data Shows","href":"https://alysly.com/research/why-most-traders-lose-money/"}]}]},{"type":"paragraph","text":"Updated Nov 12, 2026 · Data checked automatically Nov 13, 2026"},{"type":"heading","level":2,"id":"note-legend-h","text":"Data Notes"},{"type":"paragraph","text":"All calculations run automatically and are not investment advice."},{"type":"list","ordered":true,"items":[{"id":"dn-1","text":"Calculated from the funds' daily net asset values, in US dollars, rebalanced to target weights once a year; before taxes and account costs."},{"id":"dn-2","text":"Calculates with the assumptions entered, on historical price series; results are scenarios, not forecasts."}]},{"type":"paragraph","text":"Data and methodology: Alysly · Responsible for content: Alexander Bock","links":[{"text":"Alysly","href":"https://alysly.com/methodology/"},{"text":"Alexander Bock","href":"https://alysly.com/about/"}]},{"type":"paragraph","text":"View all data notes","href":"https://alysly.com/notes/"}],"structured_data":[{"@context":"https://schema.org","@graph":[{"@type":"Organization","@id":"https://alysly.com/#org","name":"Alysly","url":"https://alysly.com/","logo":{"@type":"ImageObject","url":"https://alysly.com/img/icon-512.png","width":512,"height":512},"description":"Free analysis tools for traders and long-term investors. 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