🏦 Retirement Portfolio Simulator

This application helps you simulate a possible evolution of your wealth during the accumulation and withdrawal phases of the retirement process. For French users, it is only relevant to the 'Private Pension' component of the retirement system (régimes de retraite individuels et facultatifs).
The simulation uses monthly data on the total return of an investment in long-term French government bonds, the return on short-term investments based on the French short rate (and later the Euro short rate), and the total return of the MSCI World Index (a broad stock market index with dividends reinvested). The data range spans from February 1987 to May 2025 (460 observations).
These financial assets can be easily accessed through Exchange-Traded Funds (ETFs) with very low management fees.
The rates of return used in the simulation are adjusted for inflation, thereby accounting for the preservation of purchasing power. Moreover, I apply conservative annual fees to the three assets: 0.2% for the short rate, 0.4% for bonds, and 0.6% for stocks — the upper bound of what is typically observed in the market. I also do not take tax effects into account because financial investments for retirement savings are generally tax-exempt.
Your choices are limited to a single portfolio allocation during your working life and a single portfolio allocation during retirement. A sample path is generated using a stationary block bootstrap with an average block length set to 5 years (60 months).
Please note that this is intended for illustrative purposes only, as a single sample path does not allow for a reliable assessment of portfolio viability. However, running thousands of such simulations allows us to derive useful statistics. If you want to learn more about bootstrapping in financial investments, consider registering for one of my 'Portfolio Management' classes 😉.

PARAMETERS TO ENTER:

• Monthly Investment Amount(€): Your monthly savings during your working years.
• Monthly Pension Amount (€): The monthly amount you wish to receive during retirement.
• Saving Duration (years): The number of years you plan to work and save before retirement.
• Withdrawal Duration (years): The number of years you expect to spend in retirement.
• Accumulation Phase Portfolio Weights: The percentage of your savings you wish to invest in each available asset class during your accumulation phase (working life).
• Withdrawal Phase Portfolio Weights: The percentage of your savings you wish to invest in each available asset class during retirement.

PORTFOLIO ASSETS:

"You have the choice to invest in three asset classes ordered by increasing risk: Monetary Fund (short rate), Long-term Government Bonds, and the MSCI World Index.
The following statistics, which are sample estimates for the entire period from February 1987 to May 2025, might help you decide on your portfolio allocation.

Asset Class Statistics (Real Annual Returns, %)

	Mean	Volatility
Short rate	1.617	1.34
Bond	3.59	6.61
MSCI Wld	6.59	15.19

Correlation Matrix

	Short rate	Bond	MSCI Wld
Short rate	1
Bond	0.16	1
MSCI Wld	-0.04	0.06	1

REMARKS:

• The choice of our sample period is constrained by the availability of reliable data for French government bonds. Indeed, the statistical series for the TEC 10 began on January 2, 1987. The TEC 10 is an essential benchmark, as it represents the actuarial yield of a hypothetical 10-year OAT (Obligation Assimilable du Trésor), calculated by interpolating secondary market rates. This ensures continuous and representative data.
• The annualized volatility of short rate investments is clearly underestimated due to the high level of autocorrelation in monthly short rate returns. You might consider that it should be roughly doubled.
Close