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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 😉.
"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.
| Mean | Volatility | |
|---|---|---|
| Short rate | 1.617 | 1.34 |
| Bond | 3.59 | 6.61 |
| MSCI Wld | 6.59 | 15.19 |
| Short rate | Bond | MSCI Wld | |
|---|---|---|---|
| Short rate | 1 | ||
| Bond | 0.16 | 1 | |
| MSCI Wld | -0.04 | 0.06 | 1 |