What matters when comparing
- Price data: a fund's daily prices show what it actually achieved. Index series go back further but contain neither the fund's deviation from the index nor, depending on the tool, its costs.
- Taxes and costs: order fees, custody fees and taxes on distributions and gains change the result noticeably over many years. Whether and under which law they are calculated differs between the tools.
- Currency: if you invest in euros, you bear the exchange rate movement of a dollar fund. A tool that calculates in dollars shows a different return and a different risk for the same funds.
- Monte Carlo: a normal distribution depicts rare sharp crashes less strongly than they occurred on the stock market. A block bootstrap draws pieces of real price history and keeps crisis and recovery together.
- Savings plan and withdrawal: whether a portfolio would have lasted in retirement depends on the order of returns. A backtest with a withdrawal plan or a Monte Carlo simulation with withdrawal shows this.
Frequently asked questions
Which backtest tool calculates with German taxes?
Of the four tools, only Paperball describes on its website the German tax mechanics with partial exemption (Teilfreistellung), saver's allowance (Sparer-Pauschbetrag) and advance lump-sum tax (Vorabpauschale), in the backtest and in Monte Carlo. You set the rates yourself; the result is an approximation, not tax advice.
What is a block bootstrap?
A method for Monte Carlo simulations: instead of generating returns from an assumed distribution, it randomly draws pieces of consecutive months from the real price history and joins them into new paths. By default Paperball draws pieces of 12 months and forms 10,000 paths.
Why do two backtest tools show different figures for the same portfolio?
Because they calculate with different data and assumptions: index or fund prices, monthly or daily values, with or without costs, distributions and taxes, in dollars or in euros. Even a different start of the period changes return and drawdown considerably.