Data Source: from January 1985 to February 2023 (~38 years)
Consolidated Returns as of 28 February 2023
Live Update: Mar 20 2023, 04:00PM Eastern Time
Consolidated Returns as of 28 February 2023
Live Update: Mar 20 2023, 04:00PM Eastern Time
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.23%
1 Day
Mar 20 2023, 04:00PM Eastern Time
0.88%
Current Month
March 2023
The Mebane Faber GAA Global Asset Allocation Portfolio is a High Risk portfolio and can be implemented with 10 ETFs.
It's exposed for 40.5% on the Stock Market and for 10% on Commodities.
In the last 30 Years, the Mebane Faber GAA Global Asset Allocation Portfolio obtained a 6.96% compound annual return, with a 7.92% standard deviation.
Asset Allocation and ETFs
The Mebane Faber GAA Global Asset Allocation Portfolio has the following asset allocation:
The Mebane Faber GAA Global Asset Allocation Portfolio can be implemented with the following ETFs:
| Weight | Ticker | ETF Name | Investment Themes | |
|---|---|---|---|---|
| 18.00 % | VV | Vanguard Large-Cap | Equity, U.S., Large Cap | |
| 13.50 % | VEA | Vanguard FTSE Developed Markets | Equity, EAFE, Large Cap | |
| 4.50 % | EEM | iShares MSCI Emerging Markets | Equity, Emerging Markets, Large Cap | |
| 4.50 % | VNQ | Vanguard Real Estate | Real Estate, U.S. | |
| 19.80 % | LQD | iShares Investment Grade Corporate Bond | Bond, U.S., All-Term | |
| 14.40 % | BNDX | Vanguard Total International Bond | Bond, Developed Markets, All-Term | |
| 13.50 % | TLT | iShares 20+ Year Treasury Bond | Bond, U.S., Long-Term | |
| 1.80 % | TIP | iShares TIPS Bond | Bond, U.S., All-Term | |
| 5.00 % | GLD | SPDR Gold Trust | Commodity, Gold | |
| 5.00 % | GSG | iShares S&P GSCI Commodity Indexed Trust | Commodity, Broad Diversified |
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.
Portfolio and ETF Returns as of Feb 28, 2023
The Mebane Faber GAA Global Asset Allocation Portfolio guaranteed the following returns.
Portfolio returns are calculated in USD, assuming:
- No fees or capital gain taxes
- a rebalancing of the components at the beginning of each year (at every January 1st). How do returns change with different rebalancing strategies?
- the reinvestment of dividends
MEBANE FABER GAA GLOBAL ASSET ALLOCATION PORTFOLIO RETURNS
Consolidated returns as of 28 February 2023
Live Update: Mar 20 2023, 04:00PM Eastern Time
Swipe left to see all data
| Chg (%) | Return (%) | Return (%) as of Feb 28, 2023 |
||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | Mar 2023 | 1M | 6M | 1Y | 5Y | 10Y | 30Y |
MAX
(~38Y) |
|
| Mebane Faber GAA Global Asset Allocation Portfolio | 0.23 | 0.88 | -3.76 | -0.47 | -11.11 | 3.44 | 4.26 | 6.96 | 8.60 | |
| US Inflation Adjusted return | -4.29 | -2.01 | -16.17 | -0.40 | 1.59 | 4.34 | 5.66 | |||
| Components | ||||||||||
|
VV Vanguard Large-Cap |
0.87 |
04:00PM Mar 20 2023 |
-0.36 | -2.40 | 0.97 | -8.75 | 9.59 | 12.07 | 9.71 | 8.90 |
|
VEA Vanguard FTSE Developed Markets |
1.15 |
04:00PM Mar 20 2023 |
-2.20 | -3.47 | 10.79 | -4.82 | 2.80 | 5.11 | 5.61 | 8.11 |
|
EEM iShares MSCI Emerging Markets |
0.37 |
04:00PM Mar 20 2023 |
-1.26 | -7.57 | -1.58 | -16.23 | -2.35 | 0.92 | 5.83 | 7.41 |
|
VNQ Vanguard Real Estate |
1.14 |
04:00PM Mar 20 2023 |
-4.96 | -5.86 | -5.50 | -13.27 | 7.07 | 6.31 | 8.64 | 7.02 |
|
LQD iShares Investment Grade Corporate Bond |
-0.30 |
04:00PM Mar 20 2023 |
2.01 | -4.17 | -1.27 | -12.35 | 1.05 | 1.96 | 5.16 | 4.62 |
|
BNDX Vanguard Total International Bond |
-0.08 |
04:00PM Mar 20 2023 |
2.83 | -1.50 | -1.94 | -9.67 | 0.01 | 1.50 | 4.87 | 6.58 |
|
TLT iShares 20+ Year Treasury Bond |
-0.88 |
04:00PM Mar 20 2023 |
4.39 | -5.09 | -8.03 | -25.69 | -1.07 | 0.82 | 5.52 | 4.84 |
|
TIP iShares TIPS Bond |
0.09 |
04:00PM Mar 20 2023 |
1.44 | -1.35 | -4.27 | -11.42 | 2.21 | 0.98 | 5.20 | 6.82 |
|
GLD SPDR Gold Trust |
0.04 |
04:00PM Mar 20 2023 |
8.28 | -5.37 | 6.60 | -4.82 | 6.32 | 1.05 | 5.62 | 2.87 |
|
GSG iShares S&P GSCI Commodity Indexed Trust |
0.69 |
04:00PM Mar 20 2023 |
-6.35 | -4.24 | -8.72 | -2.40 | 4.54 | -4.60 | 1.29 | 2.14 |
Returns over 1 year are annualized | Available data source: since Jan 1985
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Feb 2023. Current inflation (annualized) is 1Y: 6.04% , 5Y: 3.86% , 10Y: 2.63% , 30Y: 2.51%
Live update: World Markets and Indexes
Portfolio Metrics as of Feb 28, 2023
Metrics of Mebane Faber GAA Global Asset Allocation Portfolio, updated as of 28 February 2023.
Portfolio metrics are calculated based on monthly returns, assuming:
- No fees or capital gain taxes
- a rebalancing of the components at the beginning of each year (at every January 1st). How do returns change with different rebalancing strategies?
- the reinvestment of dividends
MEBANE FABER GAA GLOBAL ASSET ALLOCATION PORTFOLIO
Portfolio Metrics
Data Source: 1 January 1985 - 28 February 2023 (~38 years)
Swipe left to see all data
| Metrics as of Feb 28, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y |
MAX
(~38Y) |
|
| Portfolio Return (%) |
-3.76 | -0.71 | -0.47 | -11.11 | 1.35 | 3.44 | 4.26 | 6.69 | 6.96 | 8.60 |
| US Inflation (%) | 0.56 | 1.05 | 1.58 | 6.04 | 5.16 | 3.86 | 2.63 | 2.51 | 2.51 | 2.79 |
| Infl. Adjusted Return (%) |
-4.29 | -1.74 | -2.01 | -16.17 | -3.62 | -0.40 | 1.59 | 4.08 | 4.34 | 5.66 |
| Returns / Inflation rates over 1 year are annualized. | ||||||||||
| RISK INDICATORS | ||||||||||
| Standard Deviation (%) | 15.36 | 12.23 | 10.27 | 8.31 | 8.62 | 7.92 | 8.08 | |||
| Sharpe Ratio | -0.86 | 0.05 | 0.22 | 0.43 | 0.65 | 0.60 | 0.57 | |||
| Sortino Ratio | -1.29 | 0.07 | 0.29 | 0.57 | 0.84 | 0.79 | 0.76 | |||
| MAXIMUM DRAWDOWN | ||||||||||
| Drawdown Depth (%) | -17.24 | -20.65 | -20.65 | -20.65 | -24.91 | -24.91 | -24.91 | |||
| Start (yyyy mm) | 2022 03 | 2022 01 | 2022 01 | 2022 01 | 2008 06 | 2008 06 | 2008 06 | |||
| Bottom (yyyy mm) | 2022 09 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | |||
| Start to Bottom (# months) | 7 | 9 | 9 | 9 | 9 | 9 | 9 | |||
| Start to Recovery (# months) in progress |
> 12
|
> 14
|
> 14
|
> 14
|
22
|
22
|
22
|
|||
| ROLLING PERIOD RETURNS - Annualized | ||||||||||
| Best Return (%) | 40.72 | 20.88 | 18.63 | 13.18 | 11.32 | 9.94 | ||||
| Worst Return (%) | -23.45 | -3.09 | 1.83 | 3.75 | 6.23 | 6.89 | ||||
| % Positive Periods | 87% | 98% | 100% | 100% | 100% | 100% | ||||
| MONTHS | ||||||||||
| Positive | 0 | 1 | 3 | 5 | 20 | 37 | 78 | 162 | 242 | 311 |
| Negative | 1 | 2 | 3 | 7 | 16 | 23 | 42 | 78 | 118 | 147 |
| % Positive | 0% | 33% | 50% | 42% | 56% | 62% | 65% | 68% | 67% | 68% |
| WITHDRAWAL RATES (WR) | ||||||||||
| Safe WR (%) | 34.70 | 21.97 | 11.98 | 8.99 | 7.20 | 9.58 | ||||
| Perpetual WR (%) | 0.00 | 0.00 | 1.56 | 3.92 | 4.16 | 5.35 | ||||
- Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio
- 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).
- Maximum Drawdown: 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.
- Rolling Returns: returns over a time frame (best, worst, % of positive returns).
- Pos./Neg. Months: number of months with positive/negative return.
- Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
- Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).
Portfolio Components Correlation
Correlation measures to what degree the returns of the two assets move in relation to each other.
Correlation coefficient is a numerical value between -1 and +1.
If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 28 February 2023
Swipe left to see all data
|
|
|
|
|
|
|
|
|
|
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|---|---|---|---|---|---|---|---|---|---|---|---|
| Asset | VV | VEA | EEM | VNQ | LQD | BNDX | TLT | TIP | GLD | GSG | |
| VV |
1.00
|
0.90
|
0.63
|
0.90
|
0.79
|
0.84
|
0.59
|
0.86
|
0.37
|
0.46
|
|
| VEA |
0.90
|
1.00
|
0.86
|
0.87
|
0.91
|
0.86
|
0.75
|
0.86
|
0.65
|
0.42
|
|
| EEM |
0.63
|
0.86
|
1.00
|
0.70
|
0.87
|
0.71
|
0.87
|
0.67
|
0.81
|
0.19
|
|
| VNQ |
0.90
|
0.87
|
0.70
|
1.00
|
0.76
|
0.79
|
0.66
|
0.86
|
0.57
|
0.50
|
|
| LQD |
0.79
|
0.91
|
0.87
|
0.76
|
1.00
|
0.91
|
0.91
|
0.83
|
0.63
|
0.16
|
|
| BNDX |
0.84
|
0.86
|
0.71
|
0.79
|
0.91
|
1.00
|
0.81
|
0.89
|
0.45
|
0.12
|
|
| TLT |
0.59
|
0.75
|
0.87
|
0.66
|
0.91
|
0.81
|
1.00
|
0.68
|
0.71
|
-0.13
|
|
| TIP |
0.86
|
0.86
|
0.67
|
0.86
|
0.83
|
0.89
|
0.68
|
1.00
|
0.40
|
0.36
|
|
| GLD |
0.37
|
0.65
|
0.81
|
0.57
|
0.63
|
0.45
|
0.71
|
0.40
|
1.00
|
0.10
|
|
| GSG |
0.46
|
0.42
|
0.19
|
0.50
|
0.16
|
0.12
|
-0.13
|
0.36
|
0.10
|
1.00
|
|
|
|
|
|
|
|
|
|
|
|
||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Asset | VV | VEA | EEM | VNQ | LQD | BNDX | TLT | TIP | GLD | GSG | |
| VV |
1.00
|
0.90
|
0.71
|
0.84
|
0.63
|
0.48
|
0.06
|
0.60
|
0.19
|
0.48
|
|
| VEA |
0.90
|
1.00
|
0.85
|
0.80
|
0.67
|
0.47
|
0.05
|
0.55
|
0.26
|
0.59
|
|
| EEM |
0.71
|
0.85
|
1.00
|
0.64
|
0.65
|
0.41
|
0.10
|
0.43
|
0.35
|
0.47
|
|
| VNQ |
0.84
|
0.80
|
0.64
|
1.00
|
0.67
|
0.58
|
0.22
|
0.66
|
0.25
|
0.47
|
|
| LQD |
0.63
|
0.67
|
0.65
|
0.67
|
1.00
|
0.87
|
0.66
|
0.81
|
0.45
|
0.16
|
|
| BNDX |
0.48
|
0.47
|
0.41
|
0.58
|
0.87
|
1.00
|
0.67
|
0.83
|
0.38
|
-0.02
|
|
| TLT |
0.06
|
0.05
|
0.10
|
0.22
|
0.66
|
0.67
|
1.00
|
0.64
|
0.41
|
-0.38
|
|
| TIP |
0.60
|
0.55
|
0.43
|
0.66
|
0.81
|
0.83
|
0.64
|
1.00
|
0.44
|
0.11
|
|
| GLD |
0.19
|
0.26
|
0.35
|
0.25
|
0.45
|
0.38
|
0.41
|
0.44
|
1.00
|
-0.03
|
|
| GSG |
0.48
|
0.59
|
0.47
|
0.47
|
0.16
|
-0.02
|
-0.38
|
0.11
|
-0.03
|
1.00
|
|
|
|
|
|
|
|
|
|
|
|
||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Asset | VV | VEA | EEM | VNQ | LQD | BNDX | TLT | TIP | GLD | GSG | |
| VV |
1.00
|
0.87
|
0.68
|
0.72
|
0.54
|
0.39
|
-0.01
|
0.44
|
0.08
|
0.42
|
|
| VEA |
0.87
|
1.00
|
0.83
|
0.67
|
0.59
|
0.37
|
0.02
|
0.47
|
0.15
|
0.51
|
|
| EEM |
0.68
|
0.83
|
1.00
|
0.52
|
0.57
|
0.33
|
0.08
|
0.43
|
0.28
|
0.43
|
|
| VNQ |
0.72
|
0.67
|
0.52
|
1.00
|
0.68
|
0.59
|
0.36
|
0.64
|
0.19
|
0.23
|
|
| LQD |
0.54
|
0.59
|
0.57
|
0.68
|
1.00
|
0.85
|
0.69
|
0.80
|
0.42
|
0.09
|
|
| BNDX |
0.39
|
0.37
|
0.33
|
0.59
|
0.85
|
1.00
|
0.72
|
0.79
|
0.35
|
-0.13
|
|
| TLT |
-0.01
|
0.02
|
0.08
|
0.36
|
0.69
|
0.72
|
1.00
|
0.67
|
0.41
|
-0.40
|
|
| TIP |
0.44
|
0.47
|
0.43
|
0.64
|
0.80
|
0.79
|
0.67
|
1.00
|
0.49
|
0.07
|
|
| GLD |
0.08
|
0.15
|
0.28
|
0.19
|
0.42
|
0.35
|
0.41
|
0.49
|
1.00
|
0.07
|
|
| GSG |
0.42
|
0.51
|
0.43
|
0.23
|
0.09
|
-0.13
|
-0.40
|
0.07
|
0.07
|
1.00
|
|
|
|
|
|
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|
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||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Asset | VV | VEA | EEM | VNQ | LQD | BNDX | TLT | TIP | GLD | GSG | |
| VV |
1.00
|
0.82
|
0.72
|
0.61
|
0.31
|
0.14
|
-0.13
|
0.20
|
0.04
|
0.34
|
|
| VEA |
0.82
|
1.00
|
0.80
|
0.59
|
0.34
|
0.17
|
-0.13
|
0.19
|
0.19
|
0.45
|
|
| EEM |
0.72
|
0.80
|
1.00
|
0.51
|
0.29
|
0.16
|
-0.11
|
0.19
|
0.26
|
0.38
|
|
| VNQ |
0.61
|
0.59
|
0.51
|
1.00
|
0.42
|
0.28
|
0.07
|
0.32
|
0.13
|
0.26
|
|
| LQD |
0.31
|
0.34
|
0.29
|
0.42
|
1.00
|
0.68
|
0.65
|
0.73
|
0.24
|
0.11
|
|
| BNDX |
0.14
|
0.17
|
0.16
|
0.28
|
0.68
|
1.00
|
0.50
|
0.61
|
0.23
|
0.06
|
|
| TLT |
-0.13
|
-0.13
|
-0.11
|
0.07
|
0.65
|
0.50
|
1.00
|
0.66
|
0.19
|
-0.21
|
|
| TIP |
0.20
|
0.19
|
0.19
|
0.32
|
0.73
|
0.61
|
0.66
|
1.00
|
0.32
|
0.22
|
|
| GLD |
0.04
|
0.19
|
0.26
|
0.13
|
0.24
|
0.23
|
0.19
|
0.32
|
1.00
|
0.22
|
|
| GSG |
0.34
|
0.45
|
0.38
|
0.26
|
0.11
|
0.06
|
-0.21
|
0.22
|
0.22
|
1.00
|
|
|
|
|
|
|
|
|
|
|
|
||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Asset | VV | VEA | EEM | VNQ | LQD | BNDX | TLT | TIP | GLD | GSG | |
| VV |
1.00
|
0.72
|
0.69
|
0.60
|
0.32
|
0.20
|
-0.03
|
0.24
|
-0.04
|
0.24
|
|
| VEA |
0.72
|
1.00
|
0.66
|
0.53
|
0.31
|
0.21
|
-0.04
|
0.21
|
0.14
|
0.34
|
|
| EEM |
0.69
|
0.66
|
1.00
|
0.48
|
0.28
|
0.19
|
-0.01
|
0.21
|
0.11
|
0.24
|
|
| VNQ |
0.60
|
0.53
|
0.48
|
1.00
|
0.39
|
0.26
|
0.10
|
0.29
|
0.09
|
0.20
|
|
| LQD |
0.32
|
0.31
|
0.28
|
0.39
|
1.00
|
0.74
|
0.71
|
0.81
|
0.15
|
0.06
|
|
| BNDX |
0.20
|
0.21
|
0.19
|
0.26
|
0.74
|
1.00
|
0.58
|
0.71
|
0.14
|
0.02
|
|
| TLT |
-0.03
|
-0.04
|
-0.01
|
0.10
|
0.71
|
0.58
|
1.00
|
0.73
|
0.12
|
-0.19
|
|
| TIP |
0.24
|
0.21
|
0.21
|
0.29
|
0.81
|
0.71
|
0.73
|
1.00
|
0.19
|
0.14
|
|
| GLD |
-0.04
|
0.14
|
0.11
|
0.09
|
0.15
|
0.14
|
0.12
|
0.19
|
1.00
|
0.23
|
|
| GSG |
0.24
|
0.34
|
0.24
|
0.20
|
0.06
|
0.02
|
-0.19
|
0.14
|
0.23
|
1.00
|
Portfolio Dividends
In 2022, the Mebane Faber GAA Global Asset Allocation Portfolio granted a 1.84% dividend yield. If you are interested in getting periodic income, please refer to the Mebane Faber GAA Global Asset Allocation Portfolio: Dividend Yield page.
Readings that may interest you
Capital Growth as of Feb 28, 2023
An investment of 1000$, since March 1993,
now would be worth 7520.31$, with a total return of 652.03% (6.96% annualized).
The Inflation Adjusted Capital now would be 3577.17$, with a net total return of 257.72% (4.34% annualized).
The Inflation Adjusted Capital now would be 3577.17$, with a net total return of 257.72% (4.34% annualized).
An investment of 1000$, since January 1985,
now would be worth 23340.48$, with a total return of 2234.05% (8.60% annualized).
The Inflation Adjusted Capital now would be 8169.63$, with a net total return of 716.96% (5.66% annualized).
The Inflation Adjusted Capital now would be 8169.63$, with a net total return of 716.96% (5.66% annualized).
Drawdowns
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Drawdown period |
Recovery period |
Total |
||||
|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months |
| -24.91% | Jun 2008 | Feb 2009 | 9 | Mar 2010 | 13 | 22 |
| -20.65% | Jan 2022 | Sep 2022 | 9 | in progress | 5 | 14 |
| -9.35% | Feb 2020 | Mar 2020 | 2 | Jul 2020 | 4 | 6 |
| -6.74% | Mar 2015 | Jan 2016 | 11 | Jun 2016 | 5 | 16 |
| -6.46% | Feb 2018 | Dec 2018 | 11 | Mar 2019 | 3 | 14 |
| -6.39% | Feb 1994 | Nov 1994 | 10 | May 1995 | 6 | 16 |
| -6.25% | May 1998 | Aug 1998 | 4 | Oct 1998 | 2 | 6 |
| -5.98% | Feb 2001 | Sep 2001 | 8 | Apr 2003 | 19 | 27 |
| -5.48% | May 2013 | Jun 2013 | 2 | Dec 2013 | 6 | 8 |
| -4.46% | Aug 2016 | Nov 2016 | 4 | Apr 2017 | 5 | 9 |
| -4.36% | Apr 2004 | Apr 2004 | 1 | Sep 2004 | 5 | 6 |
| -4.21% | May 2011 | Sep 2011 | 5 | Oct 2011 | 1 | 6 |
| -3.58% | May 2010 | May 2010 | 1 | Jul 2010 | 2 | 3 |
| -3.30% | Aug 1997 | Aug 1997 | 1 | Sep 1997 | 1 | 2 |
| -3.02% | May 2012 | May 2012 | 1 | Jul 2012 | 2 | 3 |
| -2.99% | Sep 2020 | Oct 2020 | 2 | Nov 2020 | 1 | 3 |
| -2.74% | Sep 2014 | Sep 2014 | 1 | Jan 2015 | 4 | 5 |
| -2.72% | Nov 1993 | Nov 1993 | 1 | Dec 1993 | 1 | 2 |
| -2.50% | Dec 1996 | Mar 1997 | 4 | May 1997 | 2 | 6 |
| -2.47% | Sep 2021 | Sep 2021 | 1 | Oct 2021 | 1 | 2 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
||||
|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months |
| -24.91% | Jun 2008 | Feb 2009 | 9 | Mar 2010 | 13 | 22 |
| -20.65% | Jan 2022 | Sep 2022 | 9 | in progress | 5 | 14 |
| -9.35% | Feb 2020 | Mar 2020 | 2 | Jul 2020 | 4 | 6 |
| -9.34% | Sep 1987 | Nov 1987 | 3 | Jun 1988 | 7 | 10 |
| -7.50% | Jan 1990 | Apr 1990 | 4 | Jul 1990 | 3 | 7 |
| -6.74% | Mar 2015 | Jan 2016 | 11 | Jun 2016 | 5 | 16 |
| -6.46% | Feb 2018 | Dec 2018 | 11 | Mar 2019 | 3 | 14 |
| -6.39% | Feb 1994 | Nov 1994 | 10 | May 1995 | 6 | 16 |
| -6.25% | May 1998 | Aug 1998 | 4 | Oct 1998 | 2 | 6 |
| -6.16% | Aug 1990 | Sep 1990 | 2 | Jan 1991 | 4 | 6 |
| -5.98% | Feb 2001 | Sep 2001 | 8 | Apr 2003 | 19 | 27 |
| -5.48% | May 2013 | Jun 2013 | 2 | Dec 2013 | 6 | 8 |
| -4.46% | Aug 2016 | Nov 2016 | 4 | Apr 2017 | 5 | 9 |
| -4.36% | Apr 2004 | Apr 2004 | 1 | Sep 2004 | 5 | 6 |
| -4.21% | May 2011 | Sep 2011 | 5 | Oct 2011 | 1 | 6 |
| -3.77% | Jan 1992 | Mar 1992 | 3 | May 1992 | 2 | 5 |
| -3.58% | May 2010 | May 2010 | 1 | Jul 2010 | 2 | 3 |
| -3.30% | Sep 1986 | Sep 1986 | 1 | Jan 1987 | 4 | 5 |
| -3.30% | Aug 1997 | Aug 1997 | 1 | Sep 1997 | 1 | 2 |
| -3.02% | May 2012 | May 2012 | 1 | Jul 2012 | 2 | 3 |
Rolling Returns ( more details)
Mebane Faber GAA Global Asset Allocation Portfolio: annualized rolling and average returns
Swipe left to see all data
| Rolling Period |
Return (*) | Negative Periods |
||
|---|---|---|---|---|
| Average (%) | Best (%) | Worst (%) | ||
| 1 Year |
8.95 |
40.72 May 1985 - Apr 1986 |
-23.45 Mar 2008 - Feb 2009 |
12.75% |
| 2 Years |
8.67 |
29.82 Mar 1985 - Feb 1987 |
-9.38 Mar 2007 - Feb 2009 |
6.21% |
| 3 Years |
8.48 |
20.88 Mar 1985 - Feb 1988 |
-3.09 Mar 2006 - Feb 2009 |
1.65% |
| 5 Years |
8.33 |
18.63 Jan 1985 - Dec 1989 |
1.83 Mar 2004 - Feb 2009 |
0.00% |
| 7 Years |
8.27 |
16.25 Jan 1985 - Dec 1991 |
3.80 Nov 2015 - Oct 2022 |
0.00% |
| 10 Years |
8.21 |
13.18 Jan 1985 - Dec 1994 |
3.75 Oct 2012 - Sep 2022 |
0.00% |
| 15 Years |
8.09 |
12.72 Jan 1985 - Dec 1999 |
4.44 Nov 2007 - Oct 2022 |
0.00% |
| 20 Years |
8.16 |
11.32 Jan 1985 - Dec 2004 |
6.23 Apr 2000 - Mar 2020 |
0.00% |
| 30 Years |
8.22 |
9.94 Jan 1985 - Dec 2014 |
6.89 Oct 1992 - Sep 2022 |
0.00% |
(*) Annualized rolling and average returns over full calendar month periods
If you need a deeper detail about rolling returns, please refer to the Mebane Faber GAA Global Asset Allocation Portfolio: Rolling Returns page.
Seasonality
In which months is it better to invest in Mebane Faber GAA Global Asset Allocation Portfolio?
Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the Asset Class Seasonality page.
For further information about the seasonality, check the Asset Class Seasonality page.
Swipe left to see all data
| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
1.58
60% |
-1.27
20% |
-0.94
60% |
0.68
60% |
0.69
80% |
0.46
60% |
2.19
100% |
0.01
80% |
-2.23
20% |
0.04
60% |
2.34
80% |
0.37
60% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
101.58
|
100.29
|
99.34
|
100.02
|
100.71
|
101.18
|
103.39
|
103.40
|
101.10
|
101.14
|
103.50
|
103.88
|
| Best |
6.0 2023 |
0.9 2019 |
2.2 2019 |
5.2 2020 |
2.6 2020 |
4.0 2019 |
4.1 2020 |
2.1 2019 |
0.2 2019 |
3.1 2021 |
6.3 2022 |
2.4 2020 |
| Worst |
-3.0 2022 |
-3.8 2023 |
-7.5 2020 |
-5.7 2022 |
-1.3 2019 |
-5.0 2022 |
0.2 2019 |
-4.1 2022 |
-7.3 2022 |
-4.0 2018 |
-1.4 2021 |
-2.6 2022 |
Monthly Seasonality over the period Mar 2018 - Feb 2023
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
1.18
70% |
-0.33
50% |
0.02
70% |
0.94
80% |
0.30
70% |
0.13
60% |
1.65
90% |
-0.13
60% |
-1.19
40% |
0.58
70% |
1.03
60% |
0.34
60% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
101.18
|
100.85
|
100.87
|
101.82
|
102.13
|
102.26
|
103.95
|
103.81
|
102.58
|
103.17
|
104.23
|
104.58
|
| Best |
6.0 2023 |
2.9 2014 |
4.1 2016 |
5.2 2020 |
2.6 2020 |
4.0 2019 |
4.1 2020 |
2.3 2014 |
2.2 2013 |
3.1 2015 |
6.3 2022 |
2.4 2020 |
| Worst |
-3.0 2022 |
-3.8 2023 |
-7.5 2020 |
-5.7 2022 |
-2.7 2013 |
-5.0 2022 |
-0.9 2014 |
-4.1 2022 |
-7.3 2022 |
-4.0 2018 |
-2.2 2016 |
-2.6 2022 |
Monthly Seasonality over the period Mar 2013 - Feb 2023
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
0.89
64% |
0.33
62% |
0.53
66% |
1.09
87% |
0.76
63% |
0.48
68% |
1.13
66% |
0.42
68% |
0.00
55% |
0.46
71% |
0.95
66% |
1.57
79% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
100.89
|
101.23
|
101.76
|
102.87
|
103.65
|
104.16
|
105.33
|
105.77
|
105.78
|
106.26
|
107.27
|
108.95
|
| Best |
6.0 1987 |
6.7 1986 |
6.5 1986 |
5.2 2020 |
5.9 1985 |
4.4 1986 |
5.5 2009 |
5.3 1986 |
4.2 1998 |
4.7 2011 |
6.3 2022 |
8.6 2008 |
| Worst |
-6.7 2009 |
-5.9 2009 |
-7.5 2020 |
-5.7 2022 |
-3.6 2010 |
-5.0 2022 |
-2.5 2002 |
-5.2 1998 |
-7.3 2022 |
-11.5 2008 |
-2.7 1993 |
-2.6 2022 |
Monthly Seasonality over the period Jan 1985 - Feb 2023
Monthly/Yearly Returns
Mebane Faber GAA Global Asset Allocation Portfolio data source starts from January 1985: let's focus on monthly and yearly returns.
We are providing two different views:
- Histogram: it shows the distribution of the returns recorded so far
- Plain Table: it shows the detailed monthly and yearly returns
MONTHLY RETURNS HISTOGRAM
Jan 1985 - Feb 2023
311 Positive Months (68%) - 147 Negative Months (32%)
MONTHLY RETURNS TABLE
Jan 1985 - Feb 2023
(Scroll down to see all data)
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Yearly Return(%) |
Monthly Return(%) |
|||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Total | Infl.Adj | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| 2023 |
+1.99 | +0.62 | 6.0 | -3.8 | ||||||||||
| 2022 |
-16.44 | -21.50 | -3.0 | -1.2 | -0.2 | -5.7 | 0.2 | -5.0 | 4.1 | -4.1 | -7.3 | 1.8 | 6.3 | -2.6 |
| 2021 |
+8.69 | +1.54 | -1.0 | -0.2 | 0.2 | 3.0 | 1.3 | 1.4 | 1.6 | 0.6 | -2.5 | 3.1 | -1.4 | 2.3 |
| 2020 |
+11.18 | +9.69 | 0.9 | -2.0 | -7.5 | 5.2 | 2.6 | 2.0 | 4.1 | 0.9 | -1.3 | -1.7 | 5.7 | 2.4 |
| 2019 |
+19.10 | +16.44 | 4.9 | 0.9 | 2.2 | 1.2 | -1.3 | 4.0 | 0.2 | 2.1 | 0.2 | 1.1 | 0.7 | 1.5 |
| 2018 |
-5.13 | -6.91 | 1.4 | -3.1 | 0.5 | -0.3 | 0.6 | -0.2 | 0.9 | 0.5 | -0.2 | -4.0 | 0.5 | -1.7 |
| 2017 |
+13.30 | +10.95 | 1.3 | 1.9 | 0.1 | 1.1 | 1.4 | 0.3 | 1.5 | 1.1 | 0.3 | 1.1 | 1.0 | 1.5 |
| 2016 |
+6.40 | +4.24 | -1.1 | 0.9 | 4.1 | 1.2 | 0.0 | 2.7 | 1.9 | -0.3 | 0.2 | -2.3 | -2.2 | 1.2 |
| 2015 |
-3.07 | -3.78 | 2.2 | 0.6 | -0.6 | 0.3 | -0.7 | -2.3 | 0.5 | -3.0 | -0.8 | 3.1 | -1.0 | -1.3 |
| 2014 |
+7.67 | +6.86 | 0.0 | 2.9 | 0.2 | 1.2 | 1.6 | 1.2 | -0.9 | 2.3 | -2.7 | 1.3 | 0.9 | -0.4 |
| 2013 |
+4.79 | +3.24 | 1.1 | 0.0 | 1.1 | 2.1 | -2.7 | -2.8 | 2.5 | -1.4 | 2.2 | 2.4 | -0.1 | 0.6 |
| 2012 |
+11.31 | +9.41 | 3.7 | 1.8 | -0.2 | 0.5 | -3.0 | 2.2 | 2.1 | 1.4 | 1.2 | -0.4 | 0.8 | 0.8 |
| 2011 |
+6.44 | +3.38 | 0.2 | 2.3 | 0.0 | 3.4 | -0.3 | -1.6 | 1.3 | -0.7 | -2.9 | 4.7 | -0.8 | 0.9 |
| 2010 |
+12.24 | +10.58 | -1.5 | 1.5 | 2.6 | 1.8 | -3.6 | 0.4 | 3.7 | 0.9 | 3.6 | 1.2 | -1.4 | 2.5 |
| 2009 |
+15.95 | +12.88 | -6.7 | -5.9 | 4.1 | 4.6 | 5.6 | 0.1 | 5.5 | 2.7 | 3.3 | -1.1 | 3.9 | -0.3 |
| 2008 |
-13.28 | -13.36 | -0.8 | 0.2 | -0.3 | 2.1 | 0.2 | -2.6 | -1.6 | -0.9 | -6.6 | -11.5 | 0.2 | 8.6 |
| 2007 |
+9.54 | +5.24 | 0.8 | 0.8 | 0.4 | 1.9 | 0.3 | -0.9 | -0.3 | 1.2 | 3.5 | 2.9 | -1.1 | -0.2 |
| 2006 |
+11.66 | +8.89 | 2.6 | -0.2 | 0.3 | 1.6 | -1.8 | 0.0 | 1.6 | 1.8 | 0.5 | 2.4 | 2.8 | -0.3 |
| 2005 |
+8.99 | +5.39 | -0.5 | 1.6 | -1.2 | 0.4 | 1.4 | 1.6 | 1.0 | 1.6 | 0.9 | -2.4 | 2.0 | 2.3 |
| 2004 |
+11.55 | +8.03 | 1.3 | 2.0 | 1.2 | -4.4 | 0.8 | 0.8 | -0.6 | 2.3 | 1.5 | 2.0 | 2.1 | 2.0 |
| 2003 |
+19.76 | +17.55 | -0.5 | 0.5 | -1.1 | 3.9 | 5.1 | 0.2 | -1.6 | 2.1 | 2.6 | 2.0 | 1.1 | 4.2 |
| 2002 |
+3.07 | +0.68 | -0.5 | 0.9 | 1.6 | 0.2 | 0.6 | -1.5 | -2.5 | 2.0 | -1.5 | 0.7 | 1.8 | 1.2 |
| 2001 |
-2.12 | -3.61 | 1.5 | -2.6 | -2.4 | 2.4 | 0.0 | -0.9 | 0.7 | -0.3 | -3.0 | 1.9 | 0.6 | 0.1 |
| 2000 |
+5.03 | +1.59 | -1.7 | 1.5 | 2.9 | -1.7 | -0.4 | 3.0 | -0.7 | 2.6 | -1.5 | -0.7 | -0.3 | 2.0 |
| 1999 |
+12.08 | +9.15 | 1.3 | -2.4 | 2.8 | 3.2 | -2.5 | 1.9 | -0.5 | 0.3 | 1.0 | 1.6 | 1.7 | 3.4 |
| 1998 |
+10.04 | +8.29 | 1.2 | 2.2 | 1.6 | 0.6 | -1.0 | 0.7 | -0.9 | -5.2 | 4.2 | 3.0 | 1.6 | 1.8 |
| 1997 |
+7.28 | +5.49 | -0.2 | 0.2 | -1.8 | 1.4 | 3.4 | 2.2 | 3.1 | -3.3 | 3.6 | -1.7 | -0.1 | 0.5 |
| 1996 |
+9.53 | +6.00 | 1.3 | -0.8 | 0.4 | 0.8 | 0.3 | 0.9 | -1.4 | 0.8 | 2.4 | 1.7 | 3.7 | -0.7 |
| 1995 |
+20.68 | +17.70 | 0.0 | 1.3 | 1.9 | 2.2 | 3.5 | 0.5 | 1.6 | 0.5 | 1.9 | 0.3 | 2.7 | 2.6 |
| 1994 |
-2.55 | -5.08 | 3.2 | -2.6 | -3.3 | 0.4 | 0.3 | -0.6 | 1.7 | 1.0 | -1.9 | 0.6 | -2.0 | 0.9 |
| 1993 |
+18.89 | +15.71 | 2.0 | 2.2 | 3.1 | 1.4 | 1.1 | 1.6 | 2.0 | 2.9 | -0.6 | 1.7 | -2.7 | 3.1 |
| 1992 |
+3.70 | +0.77 | -1.5 | -0.3 | -1.9 | 0.7 | 3.4 | -0.8 | 2.5 | 0.2 | 0.5 | -1.6 | 1.0 | 1.8 |
| 1991 |
+22.21 | +18.57 | 1.6 | 4.0 | 0.4 | 1.4 | 1.7 | -2.6 | 2.6 | 2.2 | 2.3 | 1.5 | -1.8 | 7.3 |
| 1990 |
-0.08 | -5.83 | -3.3 | -0.9 | -1.4 | -2.0 | 5.3 | 0.9 | 2.1 | -4.9 | -1.4 | 2.4 | 1.9 | 1.6 |
| 1989 |
+21.05 | +15.67 | 2.8 | -0.4 | 0.4 | 2.8 | 1.9 | 1.7 | 4.3 | -0.4 | 1.7 | 0.2 | 2.2 | 2.1 |
| 1988 |
+13.71 | +8.90 | 4.4 | 2.3 | -0.3 | 0.2 | -0.6 | 2.5 | -0.4 | -1.7 | 2.4 | 2.8 | 0.3 | 1.1 |
| 1987 |
+5.70 | +1.22 | 6.0 | 1.7 | 1.2 | 0.3 | -0.4 | 1.4 | 1.7 | 1.4 | -2.0 | -6.6 | -1.0 | 2.2 |
| 1986 |
+24.35 | +23.00 | 0.5 | 6.7 | 6.5 | 1.2 | -1.3 | 4.4 | -0.2 | 5.3 | -3.3 | 0.3 | 2.0 | 0.5 |
| 1985 |
+29.87 | +25.12 | 4.8 | -1.4 | 2.5 | 0.7 | 5.9 | 1.4 | -0.3 | 1.4 | -0.6 | 3.5 | 4.5 | 4.4 |
Portofolio Returns, up to December 2013, are simulated. They have been calculated using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
In particular, it has been used:
- VV - Vanguard Large-Cap: simulated historical serie, up to December 2004
- VEA - Vanguard FTSE Developed Markets: simulated historical serie, up to December 2007
- EEM - iShares MSCI Emerging Markets: simulated historical serie, up to December 2003
- VNQ - Vanguard Real Estate: simulated historical serie, up to December 2004
- LQD - iShares Investment Grade Corporate Bond: simulated historical serie, up to December 2002
- BNDX - Vanguard Total International Bond: simulated historical serie, up to December 2013
- TLT - iShares 20+ Year Treasury Bond: simulated historical serie, up to December 2002
- TIP - iShares TIPS Bond: simulated historical serie, up to December 2003
- GLD - SPDR Gold Trust: simulated historical serie, up to December 2004
- GSG - iShares S&P GSCI Commodity Indexed Trust: simulated historical serie, up to December 2006
Portfolio efficiency
Compared to the Mebane Faber GAA Global Asset Allocation Portfolio, the following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.
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30 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
|
Stocks/Bonds 40/60 Momentum |
+7.82 | 6.84 | -21.11 | 40 | 60 | 0 | ||
|
Golden Butterfly |
+7.66 | 7.52 | -17.79 | 40 | 40 | 20 | ||
|
All Weather Portfolio Ray Dalio |
+7.19 | 7.18 | -20.19 | 30 | 55 | 15 | ||
|
GAA Global Asset Allocation Mebane Faber |
+6.96 | 7.92 | -24.91 | 40.5 | 49.5 | 10 | ||
Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and High Risk categorization.
Swipe left to see all data
30 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
|
Stocks/Bonds 60/40 Momentum |
+9.38 | 9.41 | -32.52 | 60 | 40 | 0 | ||
|
Simple Path to Wealth JL Collins |
+8.61 | 11.61 | -38.53 | 75 | 25 | 0 | ||
|
Late Sixties and Beyond Burton Malkiel |
+8.34 | 11.59 | -41.80 | 71 | 29 | 0 | ||
|
Yale Endowment David Swensen |
+8.23 | 10.84 | -39.48 | 70 | 30 | 0 | ||
|
Seven Value Scott Burns |
+8.14 | 11.26 | -41.22 | 71.5 | 28.5 | 0 | ||
