Data Source: from January 1972 to October 2022 (~51 years)
Consolidated Returns as of 31 October 2022
Live Update: Nov 29 2022, 04:00PM Eastern Time
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.66%
1 Day
Nov 29 2022, 04:00PM Eastern Time
3.25%
Current Month
November 2022
The Mebane Faber Ivy Portfolio is a Very High Risk portfolio and can be implemented with 5 ETFs.
It's exposed for 60% on the Stock Market and for 20% on Commodities.
In the last 30 Years, the Mebane Faber Ivy Portfolio obtained a 7.01% compound annual return, with a 11.42% standard deviation.
Asset Allocation and ETFs
The Mebane Faber Ivy Portfolio has the following asset allocation:
The Mebane Faber Ivy Portfolio can be implemented with the following ETFs:
| Weight | Ticker | ETF Name | Investment Themes | |
|---|---|---|---|---|
| 20.00 % | VTI | Vanguard Total Stock Market | Equity, U.S., Large Cap | |
| 20.00 % | VEU | Vanguard FTSE All-World ex-US | Equity, Global ex-US, Large Cap | |
| 20.00 % | VNQ | Vanguard Real Estate | Real Estate, U.S. | |
| 20.00 % | BND | Vanguard Total Bond Market | Bond, U.S., All-Term | |
| 20.00 % | 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 Oct 31, 2022
The Mebane Faber Ivy 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 IVY PORTFOLIO RETURNS
Consolidated returns as of 31 October 2022
Live Update: Nov 29 2022, 04:00PM Eastern Time
Swipe left to see all data
| Chg (%) | Return (%) | Return (%) as of Oct 31, 2022 |
||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | Nov 2022 | 1M | 6M | 1Y | 5Y | 10Y | 30Y |
MAX
(~51Y) |
|
| Mebane Faber Ivy Portfolio | 0.66 | 3.25 | 4.12 | -10.14 | -10.61 | 4.95 | 4.76 | 7.01 | 9.46 | |
| US Inflation Adjusted return | 3.70 | -12.83 | -17.04 | 1.06 | 2.14 | 4.40 | 5.28 | |||
| Components | ||||||||||
|
VTI Vanguard Total Stock Market |
-0.15 |
03:59PM Nov 29 2022 |
2.04 | 8.11 | -5.43 | -16.87 | 9.80 | 12.41 | 9.79 | 10.34 |
|
VEU Vanguard FTSE All-World ex-US |
0.79 |
03:59PM Nov 29 2022 |
10.81 | 3.40 | -13.38 | -24.31 | -0.30 | 3.59 | 5.18 | 6.31 |
|
VNQ Vanguard Real Estate |
1.59 |
04:00PM Nov 29 2022 |
3.71 | 3.51 | -18.78 | -21.44 | 4.00 | 6.69 | 9.03 | 10.60 |
|
BND Vanguard Total Bond Market |
-0.37 |
04:00PM Nov 29 2022 |
2.87 | -1.16 | -6.55 | -15.59 | -0.50 | 0.65 | 4.32 | 6.25 |
|
GSG iShares S&P GSCI Commodity Indexed Trust |
1.44 |
03:59PM Nov 29 2022 |
-3.20 | 6.17 | -7.73 | 22.41 | 7.14 | -3.87 | 1.58 | 7.10 |
Returns over 1 year are annualized | Available data source: since Jan 1972
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Oct 2022. Current inflation (annualized) is 1Y: 7.75% , 5Y: 3.85% , 10Y: 2.57% , 30Y: 2.51%
Live update: World Markets and Indexes
Portfolio Metrics as of Oct 31, 2022
Metrics of Mebane Faber Ivy Portfolio, updated as of 31 October 2022.
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 IVY PORTFOLIO
Portfolio Metrics
Data Source: 1 January 1972 - 31 October 2022 (~51 years)
Swipe left to see all data
| Metrics as of Oct 31, 2022 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y |
MAX
(~51Y) |
|
| Portfolio Return (%) |
4.12 | -8.40 | -10.14 | -10.61 | 4.68 | 4.95 | 4.76 | 6.63 | 7.01 | 9.46 |
| US Inflation (%) | 0.41 | 0.59 | 3.08 | 7.75 | 5.01 | 3.85 | 2.57 | 2.52 | 2.51 | 3.97 |
| Infl. Adjusted Return (%) |
3.70 | -8.94 | -12.83 | -17.04 | -0.32 | 1.06 | 2.14 | 4.01 | 4.40 | 5.28 |
| Returns / Inflation rates over 1 year are annualized. | ||||||||||
| RISK INDICATORS | ||||||||||
| Standard Deviation (%) | 14.90 | 15.94 | 13.78 | 10.98 | 12.66 | 11.42 | 10.66 | |||
| Sharpe Ratio | -0.76 | 0.27 | 0.29 | 0.39 | 0.44 | 0.42 | 0.51 | |||
| Sortino Ratio | -1.04 | 0.33 | 0.36 | 0.49 | 0.55 | 0.53 | 0.66 | |||
| MAXIMUM DRAWDOWN | ||||||||||
| Drawdown Depth (%) | -16.46 | -21.77 | -21.77 | -21.77 | -47.39 | -47.39 | -47.39 | |||
| Start (yyyy mm) | 2022 04 | 2020 01 | 2020 01 | 2020 01 | 2008 06 | 2008 06 | 2008 06 | |||
| Bottom (yyyy mm) | 2022 09 | 2020 03 | 2020 03 | 2020 03 | 2009 02 | 2009 02 | 2009 02 | |||
| Start to Bottom (# months) | 6 | 3 | 3 | 3 | 9 | 9 | 9 | |||
| Start to Recovery (# months) in progress |
> 7
|
12
|
12
|
12
|
56
|
56
|
56
|
|||
| ROLLING PERIOD RETURNS - Annualized | ||||||||||
| Best Return (%) | 47.92 | 27.90 | 24.05 | 17.53 | 13.97 | 12.70 | ||||
| Worst Return (%) | -42.92 | -11.80 | -2.73 | 2.23 | 4.71 | 6.55 | ||||
| % Positive Periods | 84% | 94% | 99% | 100% | 100% | 100% | ||||
| MONTHS | ||||||||||
| Positive | 1 | 1 | 3 | 6 | 24 | 42 | 78 | 159 | 237 | 414 |
| Negative | 0 | 2 | 3 | 6 | 12 | 18 | 42 | 81 | 123 | 196 |
| % Positive | 100% | 33% | 50% | 50% | 67% | 70% | 65% | 66% | 66% | 68% |
| WITHDRAWAL RATES (WR) | ||||||||||
| Safe WR (%) | 36.22 | 21.57 | 11.58 | 8.66 | 7.03 | 6.33 | ||||
| Perpetual WR (%) | 0.00 | 1.05 | 2.09 | 3.86 | 4.21 | 5.01 | ||||
- 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 31 October 2022
Swipe left to see all data
|
|
|
|
|
|
||
|---|---|---|---|---|---|---|
| Asset | VTI | VEU | VNQ | BND | GSG | |
| VTI |
1.00
|
0.91
|
0.87
|
0.69
|
0.29
|
|
| VEU |
0.91
|
1.00
|
0.82
|
0.69
|
0.55
|
|
| VNQ |
0.87
|
0.82
|
1.00
|
0.54
|
0.34
|
|
| BND |
0.69
|
0.69
|
0.54
|
1.00
|
0.00
|
|
| GSG |
0.29
|
0.55
|
0.34
|
0.00
|
1.00
|
|
|
|
|
|
|
||
|---|---|---|---|---|---|---|
| Asset | VTI | VEU | VNQ | BND | GSG | |
| VTI |
1.00
|
0.90
|
0.82
|
0.39
|
0.52
|
|
| VEU |
0.90
|
1.00
|
0.74
|
0.36
|
0.64
|
|
| VNQ |
0.82
|
0.74
|
1.00
|
0.48
|
0.48
|
|
| BND |
0.39
|
0.36
|
0.48
|
1.00
|
-0.08
|
|
| GSG |
0.52
|
0.64
|
0.48
|
-0.08
|
1.00
|
|
|
|
|
|
|
||
|---|---|---|---|---|---|---|
| Asset | VTI | VEU | VNQ | BND | GSG | |
| VTI |
1.00
|
0.86
|
0.71
|
0.28
|
0.44
|
|
| VEU |
0.86
|
1.00
|
0.62
|
0.30
|
0.54
|
|
| VNQ |
0.71
|
0.62
|
1.00
|
0.52
|
0.23
|
|
| BND |
0.28
|
0.30
|
0.52
|
1.00
|
-0.15
|
|
| GSG |
0.44
|
0.54
|
0.23
|
-0.15
|
1.00
|
|
|
|
|
|
|
||
|---|---|---|---|---|---|---|
| Asset | VTI | VEU | VNQ | BND | GSG | |
| VTI |
1.00
|
0.82
|
0.62
|
0.11
|
0.36
|
|
| VEU |
0.82
|
1.00
|
0.58
|
0.11
|
0.46
|
|
| VNQ |
0.62
|
0.58
|
1.00
|
0.28
|
0.26
|
|
| BND |
0.11
|
0.11
|
0.28
|
1.00
|
0.00
|
|
| GSG |
0.36
|
0.46
|
0.26
|
0.00
|
1.00
|
|
|
|
|
|
|
||
|---|---|---|---|---|---|---|
| Asset | VTI | VEU | VNQ | BND | GSG | |
| VTI |
1.00
|
0.78
|
0.63
|
0.19
|
0.19
|
|
| VEU |
0.78
|
1.00
|
0.53
|
0.16
|
0.27
|
|
| VNQ |
0.63
|
0.53
|
1.00
|
0.21
|
0.16
|
|
| BND |
0.19
|
0.16
|
0.21
|
1.00
|
-0.05
|
|
| GSG |
0.19
|
0.27
|
0.16
|
-0.05
|
1.00
|
Portfolio Dividends
In 2021, the Mebane Faber Ivy Portfolio granted a 2.07% dividend yield. If you are interested in getting periodic income, please refer to the Mebane Faber Ivy Portfolio: Dividend Yield page.
Readings that may interest you
Capital Growth as of Oct 31, 2022
An investment of 1000$, since November 1992,
now would be worth 7643.58$, with a total return of 664.36% (7.01% annualized).
The Inflation Adjusted Capital now would be 3636.96$, with a net total return of 263.70% (4.40% annualized).
The Inflation Adjusted Capital now would be 3636.96$, with a net total return of 263.70% (4.40% annualized).
An investment of 1000$, since January 1972,
now would be worth 98961.09$, with a total return of 9796.11% (9.46% annualized).
The Inflation Adjusted Capital now would be 13648.11$, with a net total return of 1264.81% (5.28% annualized).
The Inflation Adjusted Capital now would be 13648.11$, with a net total return of 1264.81% (5.28% annualized).
Drawdowns
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
||||
|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months |
| -47.39% | Jun 2008 | Feb 2009 | 9 | Jan 2013 | 47 | 56 |
| -21.77% | Jan 2020 | Mar 2020 | 3 | Dec 2020 | 9 | 12 |
| -16.46% | Apr 2022 | Sep 2022 | 6 | in progress | 1 | 7 |
| -15.89% | Jul 2014 | Feb 2016 | 20 | Jul 2017 | 17 | 37 |
| -13.25% | Apr 1998 | Aug 1998 | 5 | Apr 1999 | 8 | 13 |
| -11.43% | Feb 2001 | Oct 2001 | 9 | May 2003 | 19 | 28 |
| -11.00% | Oct 2018 | Dec 2018 | 3 | Apr 2019 | 4 | 7 |
| -6.49% | Feb 1994 | Nov 1994 | 10 | May 1995 | 6 | 16 |
| -6.08% | Nov 2007 | Jan 2008 | 3 | Apr 2008 | 3 | 6 |
| -5.89% | Apr 2004 | Apr 2004 | 1 | Sep 2004 | 5 | 6 |
| -5.04% | Oct 1993 | Nov 1993 | 2 | Jan 1994 | 2 | 4 |
| -4.27% | Feb 2018 | Feb 2018 | 1 | Jul 2018 | 5 | 6 |
| -4.02% | Nov 2021 | Nov 2021 | 1 | Dec 2021 | 1 | 2 |
| -3.82% | May 2019 | May 2019 | 1 | Jun 2019 | 1 | 2 |
| -3.80% | May 2013 | Jun 2013 | 2 | Oct 2013 | 4 | 6 |
| -3.60% | Oct 2005 | Oct 2005 | 1 | Dec 2005 | 2 | 3 |
| -3.23% | Oct 1997 | Nov 1997 | 2 | Mar 1998 | 4 | 6 |
| -2.94% | Sep 2000 | Oct 2000 | 2 | Jan 2001 | 3 | 5 |
| -2.75% | Jun 2007 | Jul 2007 | 2 | Sep 2007 | 2 | 4 |
| -2.64% | Jul 1996 | Jul 1996 | 1 | Sep 1996 | 2 | 3 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
||||
|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months |
| -47.39% | Jun 2008 | Feb 2009 | 9 | Jan 2013 | 47 | 56 |
| -21.77% | Jan 2020 | Mar 2020 | 3 | Dec 2020 | 9 | 12 |
| -16.46% | Apr 2022 | Sep 2022 | 6 | in progress | 1 | 7 |
| -15.89% | Jul 2014 | Feb 2016 | 20 | Jul 2017 | 17 | 37 |
| -13.25% | Apr 1998 | Aug 1998 | 5 | Apr 1999 | 8 | 13 |
| -12.61% | Mar 1974 | Aug 1974 | 6 | Mar 1975 | 7 | 13 |
| -11.43% | Feb 2001 | Oct 2001 | 9 | May 2003 | 19 | 28 |
| -11.40% | Sep 1987 | Nov 1987 | 3 | Jun 1988 | 7 | 10 |
| -11.00% | Oct 2018 | Dec 2018 | 3 | Apr 2019 | 4 | 7 |
| -10.97% | Feb 1980 | Mar 1980 | 2 | Jun 1980 | 3 | 5 |
| -10.82% | Dec 1980 | Sep 1981 | 10 | Oct 1982 | 13 | 23 |
| -7.21% | Jan 1990 | Apr 1990 | 4 | Jan 1991 | 9 | 13 |
| -6.97% | Oct 1979 | Oct 1979 | 1 | Jan 1980 | 3 | 4 |
| -6.49% | Feb 1994 | Nov 1994 | 10 | May 1995 | 6 | 16 |
| -6.08% | Nov 2007 | Jan 2008 | 3 | Apr 2008 | 3 | 6 |
| -6.06% | Oct 1973 | Nov 1973 | 2 | Jan 1974 | 2 | 4 |
| -5.89% | Apr 2004 | Apr 2004 | 1 | Sep 2004 | 5 | 6 |
| -5.46% | Jul 1975 | Sep 1975 | 3 | Jan 1976 | 4 | 7 |
| -5.04% | Oct 1993 | Nov 1993 | 2 | Jan 1994 | 2 | 4 |
| -5.04% | Oct 1978 | Oct 1978 | 1 | Jan 1979 | 3 | 4 |
Rolling Returns ( more details)
Mebane Faber Ivy Portfolio: annualized rolling and average returns
Swipe left to see all data
| Rolling Period |
Return (*) | Negative Periods |
||
|---|---|---|---|---|
| Average (%) | Best (%) | Worst (%) | ||
| 1 Year |
10.32 |
47.92 Mar 2009 - Feb 2010 |
-42.92 Mar 2008 - Feb 2009 |
16.19% |
| 2 Years |
9.91 |
33.83 Mar 2009 - Feb 2011 |
-22.66 Mar 2007 - Feb 2009 |
9.20% |
| 3 Years |
9.74 |
27.90 Aug 1984 - Jul 1987 |
-11.80 Mar 2006 - Feb 2009 |
6.26% |
| 5 Years |
9.77 |
24.05 Aug 1982 - Jul 1987 |
-2.73 Mar 2004 - Feb 2009 |
0.91% |
| 7 Years |
9.78 |
20.24 Aug 1982 - Jul 1989 |
0.72 Apr 2013 - Mar 2020 |
0.00% |
| 10 Years |
9.86 |
17.53 Sep 1977 - Aug 1987 |
2.23 Dec 2006 - Nov 2016 |
0.00% |
| 15 Years |
9.93 |
15.77 Oct 1974 - Sep 1989 |
3.13 Oct 2007 - Sep 2022 |
0.00% |
| 20 Years |
9.90 |
13.97 Oct 1977 - Sep 1997 |
4.71 Apr 2000 - Mar 2020 |
0.00% |
| 30 Years |
9.86 |
12.70 Nov 1977 - Oct 2007 |
6.55 Apr 1990 - Mar 2020 |
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 Ivy Portfolio: Rolling Returns page.
Seasonality
In which months is it better to invest in Mebane Faber Ivy 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 |
1.30
60% |
-0.85
60% |
-1.57
80% |
2.00
80% |
0.94
80% |
0.59
80% |
1.96
100% |
0.09
60% |
-2.14
40% |
0.63
60% |
1.36
60% |
1.51
80% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
101.30
|
100.43
|
98.85
|
100.84
|
101.78
|
102.38
|
104.39
|
104.48
|
102.25
|
102.90
|
104.30
|
105.87
|
| Best |
7.5 2019 |
3.6 2021 |
3.3 2022 |
5.2 2020 |
4.6 2020 |
4.0 2019 |
3.9 2022 |
3.0 2020 |
1.5 2019 |
4.7 2021 |
9.1 2020 |
5.1 2021 |
| Worst |
-2.2 2020 |
-5.5 2020 |
-15.4 2020 |
-3.2 2022 |
-3.8 2019 |
-6.7 2022 |
0.2 2019 |
-3.9 2022 |
-8.5 2022 |
-5.2 2018 |
-4.0 2021 |
-5.5 2018 |
Monthly Seasonality over the period Nov 2017 - Oct 2022
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 |
0.52
50% |
0.26
60% |
-0.16
70% |
1.74
90% |
0.50
70% |
0.30
70% |
1.30
80% |
-0.44
50% |
-1.17
50% |
1.05
70% |
0.48
50% |
0.91
70% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
100.52
|
100.78
|
100.61
|
102.36
|
102.88
|
103.18
|
104.52
|
104.06
|
102.84
|
103.92
|
104.42
|
105.37
|
| Best |
7.5 2019 |
4.1 2014 |
6.2 2016 |
5.2 2020 |
4.6 2020 |
4.0 2019 |
3.9 2022 |
3.0 2020 |
2.6 2013 |
4.7 2021 |
9.1 2020 |
5.1 2021 |
| Worst |
-3.8 2016 |
-5.5 2020 |
-15.4 2020 |
-3.2 2022 |
-3.8 2019 |
-6.7 2022 |
-1.8 2014 |
-4.2 2015 |
-8.5 2022 |
-5.2 2018 |
-4.0 2021 |
-5.5 2018 |
Monthly Seasonality over the period Nov 2012 - Oct 2022
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 |
0.95
65% |
0.46
65% |
1.02
73% |
1.66
80% |
0.56
61% |
0.62
65% |
1.02
69% |
0.54
69% |
0.11
65% |
0.30
57% |
0.88
66% |
1.55
82% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
100.95
|
101.41
|
102.45
|
104.15
|
104.73
|
105.37
|
106.45
|
107.02
|
107.14
|
107.46
|
108.42
|
110.10
|
| Best |
7.5 2019 |
4.4 1991 |
6.2 2016 |
9.6 2009 |
8.9 2009 |
4.2 1986 |
8.5 1973 |
7.4 1979 |
6.2 2010 |
9.2 2011 |
9.1 2020 |
5.4 2010 |
| Worst |
-10.2 2009 |
-9.1 2009 |
-15.4 2020 |
-5.9 2004 |
-7.2 2010 |
-6.7 2022 |
-3.8 2008 |
-8.9 1998 |
-8.6 2011 |
-21.0 2008 |
-8.8 2008 |
-5.5 2018 |
Monthly Seasonality over the period Jan 1972 - Oct 2022
Monthly/Yearly Returns
Mebane Faber Ivy Portfolio data source starts from January 1972: 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 1972 - Oct 2022
414 Positive Months (68%) - 196 Negative Months (32%)
MONTHLY RETURNS TABLE
Jan 1972 - Oct 2022
(Scroll down to see all data)
Swipe left to see all data
Yearly Return(%) |
Monthly Return(%) |
|||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Total | Infl.Adj | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| 2022 |
-11.42 | -17.13 | -1.4 | 0.1 | 3.3 | -3.2 | 1.2 | -6.7 | 3.9 | -3.9 | -8.5 | 4.1 | ||
| 2021 |
+22.27 | +14.24 | 0.8 | 3.6 | 1.4 | 5.0 | 1.4 | 2.0 | 1.5 | 0.7 | -1.6 | 4.7 | -4.0 | 5.1 |
| 2020 |
+2.25 | +0.88 | -2.2 | -5.5 | -15.4 | 5.2 | 4.6 | 2.8 | 3.6 | 3.0 | -2.3 | -2.1 | 9.1 | 3.7 |
| 2019 |
+21.16 | +18.46 | 7.5 | 1.9 | 2.0 | 1.9 | -3.8 | 4.0 | 0.2 | -0.6 | 1.5 | 1.6 | 0.8 | 2.8 |
| 2018 |
-7.88 | -9.61 | 1.8 | -4.3 | 0.8 | 1.2 | 1.3 | 0.8 | 0.5 | 1.1 | 0.3 | -5.2 | -0.6 | -5.5 |
| 2017 |
+12.20 | +9.88 | 0.9 | 1.8 | -0.7 | 0.4 | 0.7 | 0.5 | 2.2 | 0.1 | 1.3 | 1.4 | 1.5 | 1.5 |
| 2016 |
+7.80 | +5.61 | -3.8 | -0.8 | 6.2 | 2.1 | 0.9 | 1.9 | 0.5 | -0.3 | 0.8 | -2.5 | 0.1 | 2.8 |
| 2015 |
-7.10 | -7.77 | -0.4 | 2.3 | -1.3 | 1.8 | -0.5 | -2.1 | -1.2 | -4.2 | -1.7 | 4.1 | -1.9 | -1.9 |
| 2014 |
+2.25 | +1.48 | -1.1 | 4.1 | 0.2 | 1.4 | 1.4 | 1.6 | -1.8 | 1.6 | -4.0 | 1.9 | -0.6 | -2.3 |
| 2013 |
+9.20 | +7.59 | 3.1 | -0.7 | 1.8 | 1.7 | -2.1 | -1.8 | 3.5 | -2.1 | 2.6 | 2.4 | -0.5 | 1.1 |
| 2012 |
+11.11 | +9.21 | 4.3 | 2.9 | 0.7 | 0.2 | -6.8 | 3.4 | 2.0 | 2.4 | 0.4 | -1.2 | 0.8 | 1.8 |
| 2011 |
+0.04 | -2.84 | 1.9 | 2.8 | 0.4 | 4.0 | -1.8 | -2.5 | 0.3 | -4.1 | -8.6 | 9.2 | -1.1 | 0.6 |
| 2010 |
+14.19 | +12.51 | -4.3 | 3.3 | 4.7 | 2.4 | -7.2 | -2.3 | 6.7 | -2.5 | 6.2 | 3.1 | -1.0 | 5.4 |
| 2009 |
+22.28 | +19.04 | -10.2 | -9.1 | 5.4 | 9.6 | 8.9 | -0.9 | 6.2 | 4.3 | 3.2 | -1.3 | 4.0 | 2.3 |
| 2008 |
-31.26 | -31.33 | -2.8 | 1.2 | 1.0 | 5.0 | 2.3 | -2.7 | -3.8 | -1.8 | -6.4 | -21.0 | -8.8 | 3.9 |
| 2007 |
+8.59 | +4.33 | 1.8 | 0.1 | 0.8 | 1.8 | 0.9 | -1.5 | -1.3 | 0.8 | 4.9 | 3.5 | -3.3 | -0.1 |
| 2006 |
+15.77 | +12.90 | 3.8 | -0.9 | 1.8 | 1.7 | -2.0 | 0.6 | 2.1 | 1.6 | -0.1 | 3.8 | 3.7 | -1.0 |
| 2005 |
+11.34 | +7.67 | -2.3 | 3.2 | -0.6 | -0.4 | 1.6 | 1.8 | 3.3 | 1.7 | 2.0 | -3.6 | 2.3 | 2.1 |
| 2004 |
+17.00 | +13.31 | 2.4 | 3.1 | 2.1 | -5.9 | 2.3 | 0.6 | -0.5 | 2.2 | 2.3 | 2.9 | 2.7 | 2.0 |
| 2003 |
+28.11 | +25.74 | -0.3 | 1.4 | -2.1 | 4.3 | 5.9 | 0.6 | 0.7 | 2.4 | 2.2 | 3.7 | 1.8 | 4.7 |
| 2002 |
+3.82 | +1.41 | -1.6 | 1.3 | 5.5 | -0.1 | -0.6 | -0.7 | -3.6 | 2.2 | -2.4 | 0.1 | 2.7 | 1.3 |
| 2001 |
-8.45 | -9.85 | 0.4 | -3.9 | -3.2 | 4.4 | -0.4 | -1.0 | -0.7 | -0.4 | -6.2 | -0.3 | 2.1 | 0.8 |
| 2000 |
+12.26 | +8.59 | -0.5 | 2.3 | 2.5 | -1.0 | 1.5 | 4.2 | -1.0 | 4.3 | -1.3 | -1.7 | 0.6 | 2.1 |
| 1999 |
+17.97 | +14.88 | 0.4 | -2.8 | 5.1 | 4.7 | -2.3 | 2.8 | -0.1 | 1.3 | 0.4 | 0.3 | 2.2 | 5.0 |
| 1998 |
-0.93 | -2.50 | 0.4 | 1.2 | 2.2 | -0.7 | -1.7 | 0.3 | -2.8 | -8.9 | 4.1 | 2.6 | 1.1 | 1.8 |
| 1997 |
+8.87 | +7.05 | 0.4 | -1.1 | -0.8 | 1.1 | 3.7 | 2.3 | 3.9 | -2.5 | 5.0 | -2.4 | -0.9 | 0.2 |
| 1996 |
+19.40 | +15.56 | 0.9 | 1.1 | 1.8 | 2.4 | 0.5 | 1.3 | -2.6 | 2.0 | 3.0 | 0.9 | 5.0 | 1.7 |
| 1995 |
+18.09 | +15.16 | -1.0 | 0.8 | 2.1 | 2.0 | 1.8 | 0.5 | 2.6 | 0.4 | 1.7 | -0.9 | 2.5 | 4.4 |
| 1994 |
+0.77 | -1.86 | 4.9 | -1.2 | -3.3 | 1.2 | 0.4 | -0.1 | 1.5 | 0.1 | -2.1 | 0.3 | -3.3 | 2.7 |
| 1993 |
+11.51 | +8.53 | 2.1 | 2.5 | 4.8 | 0.5 | 0.5 | -0.2 | 1.2 | 2.8 | 0.4 | -0.4 | -4.7 | 1.5 |
| 1992 |
+4.09 | +1.16 | 0.8 | -1.1 | -2.1 | 0.8 | 3.2 | -1.3 | 1.2 | 1.0 | 0.7 | -1.4 | 1.2 | 1.2 |
| 1991 |
+17.33 | +13.85 | 1.9 | 4.4 | 2.2 | 1.6 | 1.1 | -3.3 | 3.4 | 0.6 | 2.0 | 1.2 | -2.5 | 3.9 |
| 1990 |
-1.70 | -7.35 | -3.4 | -1.1 | -1.1 | -1.8 | 4.2 | 0.2 | 1.9 | -1.8 | 1.3 | 0.1 | -0.4 | 0.5 |
| 1989 |
+20.35 | +15.00 | 2.5 | 0.4 | 1.5 | 2.9 | 0.3 | 1.2 | 4.3 | 0.3 | 2.1 | -1.5 | 1.6 | 3.2 |
| 1988 |
+18.35 | +13.34 | 3.9 | 3.2 | 1.8 | 1.3 | -0.3 | 0.9 | 0.5 | -2.0 | 1.3 | 2.7 | 1.6 | 2.2 |
| 1987 |
+10.95 | +6.24 | 7.4 | 1.1 | 4.2 | 2.2 | 0.9 | 1.6 | 1.7 | 1.7 | -1.1 | -9.8 | -0.7 | 2.0 |
| 1986 |
+22.86 | +21.52 | -0.2 | 4.0 | 6.0 | 2.5 | -1.1 | 4.2 | 0.6 | 5.7 | -3.0 | -0.1 | 2.2 | 0.2 |
| 1985 |
+26.65 | +22.01 | 5.3 | 0.9 | 1.7 | 0.2 | 4.4 | 1.0 | 0.1 | 0.1 | -0.5 | 4.3 | 3.7 | 2.9 |
| 1984 |
+8.40 | +4.29 | 0.9 | -1.4 | 1.3 | 0.2 | -2.5 | 0.5 | -1.7 | 6.2 | 1.7 | 1.4 | 0.5 | 1.3 |
| 1983 |
+19.70 | +15.33 | 2.5 | 1.3 | 4.5 | 5.0 | 0.2 | 2.3 | -1.6 | 0.8 | 0.4 | -0.4 | 1.8 | 1.5 |
| 1982 |
+16.68 | +12.37 | 0.4 | -2.9 | -0.1 | 3.2 | -1.1 | -3.0 | 0.4 | 5.9 | 1.4 | 7.2 | 3.5 | 1.1 |
| 1981 |
-3.14 | -11.07 | -2.5 | -0.1 | 2.7 | -1.1 | 1.0 | -1.0 | 0.1 | -4.0 | -3.5 | 4.7 | 3.6 | -2.7 |
| 1980 |
+18.97 | +5.73 | 4.7 | -1.4 | -9.7 | 4.5 | 5.3 | 4.1 | 4.8 | 0.6 | 1.8 | 3.1 | 3.6 | -2.9 |
| 1979 |
+21.71 | +7.43 | 4.3 | 0.3 | 3.6 | 1.5 | -1.6 | 4.2 | 0.4 | 7.4 | 0.3 | -7.0 | 5.1 | 2.1 |
| 1978 |
+16.56 | +6.92 | -1.7 | 0.5 | 4.7 | 4.7 | 2.1 | -2.4 | 4.0 | 3.4 | 1.4 | -5.0 | 3.0 | 1.3 |
| 1977 |
+9.30 | +2.43 | -0.7 | 0.0 | 1.0 | 2.0 | -0.6 | 2.8 | -1.9 | 0.3 | 1.2 | -0.7 | 3.8 | 2.0 |
| 1976 |
+15.62 | +10.26 | 6.6 | 1.8 | 1.1 | 0.5 | -1.2 | 2.4 | -1.5 | 0.4 | -0.5 | -0.8 | 1.6 | 4.6 |
| 1975 |
+15.63 | +8.13 | 5.0 | 1.7 | 2.8 | 1.7 | 2.5 | 3.9 | -2.5 | 0.0 | -3.0 | 1.5 | 1.5 | -0.2 |
| 1974 |
-4.73 | -15.19 | 3.1 | 0.9 | -4.1 | -2.8 | -3.7 | 2.0 | 1.0 | -5.5 | 0.3 | 8.9 | -1.0 | -3.1 |
| 1973 |
+6.86 | -1.70 | 0.1 | -1.8 | -0.1 | -1.2 | 3.1 | -0.3 | 8.5 | -0.5 | 1.8 | -1.3 | -4.8 | 3.8 |
| 1972 |
+21.95 | +17.93 | 2.0 | 2.0 | 0.6 | 2.2 | -0.2 | 1.8 | 1.3 | 2.6 | 2.5 | 0.1 | 3.0 | 2.2 |
Portofolio Returns, up to December 2007, 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:
- VTI - Vanguard Total Stock Market: simulated historical serie, up to December 2001
- VEU - Vanguard FTSE All-World ex-US: simulated historical serie, up to December 2007
- VNQ - Vanguard Real Estate: simulated historical serie, up to December 2004
- BND - Vanguard Total Bond Market: simulated historical serie, up to December 2007
- GSG - iShares S&P GSCI Commodity Indexed Trust: simulated historical serie, up to December 2006
Portfolio efficiency
Compared to the Mebane Faber Ivy Portfolio, the following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.
Swipe left to see all data
30 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
|
Stocks/Bonds 80/20 Momentum |
+11.15 | 12.13 | -43.61 | 80 | 20 | 0 | ||
|
US Stocks Minimum Volatility |
+9.77 | 13.59 | -43.27 | 100 | 0 | 0 | ||
|
Stocks/Bonds 60/40 Momentum |
+9.67 | 9.35 | -32.52 | 60 | 40 | 0 | ||
|
Warren Buffett Portfolio Warren Buffett |
+9.34 | 13.41 | -45.52 | 90 | 10 | 0 | ||
|
Robust Alpha Architect |
+9.06 | 10.90 | -44.20 | 70 | 20 | 10 | ||
|
Stocks/Bonds 80/20 |
+8.97 | 12.23 | -41.09 | 80 | 20 | 0 | ||
|
Simple Path to Wealth JL Collins |
+8.74 | 11.50 | -38.53 | 75 | 25 | 0 | ||
|
Sheltered Sam 80/20 Bill Bernstein |
+8.56 | 11.99 | -45.06 | 77.6 | 20 | 2.4 | ||
|
Mid-Fifties Burton Malkiel |
+8.56 | 12.76 | -46.21 | 80 | 20 | 0 | ||
|
Seven Value Scott Burns |
+8.41 | 11.18 | -41.22 | 71.5 | 28.5 | 0 | ||
|
Late Sixties and Beyond Burton Malkiel |
+8.41 | 11.45 | -41.80 | 71 | 29 | 0 | ||
|
Yale Endowment David Swensen |
+8.35 | 10.67 | -39.48 | 70 | 30 | 0 | ||
|
Edge Select Aggressive Merrill Lynch |
+8.33 | 13.02 | -45.65 | 84 | 16 | 0 | ||
|
Talmud Portfolio Roger Gibson |
+8.27 | 10.53 | -40.17 | 66.7 | 33.3 | 0 | ||
|
Robo Advisor 80 Betterment |
+8.23 | 12.87 | -45.47 | 80 | 20 | 0 | ||
|
Six Ways from Sunday Scott Burns |
+8.16 | 10.79 | -39.14 | 66.7 | 33.3 | 0 | ||
|
Sheltered Sam 70/30 Bill Bernstein |
+8.10 | 10.51 | -39.73 | 67.9 | 30 | 2.1 | ||
|
Couch Potato Scott Burns |
+8.06 | 8.58 | -27.04 | 50 | 50 | 0 | ||
|
Stocks/Bonds 40/60 Momentum |
+8.04 | 6.77 | -21.11 | 40 | 60 | 0 | ||
|
Lazy Portfolio David Swensen |
+8.02 | 10.64 | -40.89 | 70 | 30 | 0 | ||
|
Family Taxable Portfolio Ted Aronson |
+8.00 | 11.40 | -38.46 | 70 | 30 | 0 | ||
|
Core Four Rick Ferri |
+8.00 | 11.94 | -44.44 | 80 | 20 | 0 | ||
|
Stocks/Bonds 60/40 |
+8.00 | 9.35 | -30.55 | 60 | 40 | 0 | ||
|
Edge Select Moderately Aggressive Merrill Lynch |
+7.87 | 10.89 | -38.23 | 69 | 31 | 0 | ||
|
Four Funds Bogleheads |
+7.84 | 12.22 | -44.08 | 80 | 20 | 0 | ||
|
Jane Bryant Quinn Portfolio Jane Bryant Quinn |
+7.82 | 10.53 | -39.55 | 70 | 30 | 0 | ||
|
Gone Fishin' Portfolio Alexander Green |
+7.82 | 11.89 | -43.02 | 65 | 30 | 5 | ||
|
Coffeehouse Bill Schultheis |
+7.78 | 9.41 | -33.93 | 60 | 40 | 0 | ||
|
Three Funds Bogleheads |
+7.72 | 12.15 | -43.68 | 80 | 20 | 0 | ||
|
Golden Butterfly |
+7.70 | 7.36 | -17.79 | 40 | 40 | 20 | ||
|
LifeStrategy Growth Fund Vanguard |
+7.68 | 12.18 | -44.18 | 80 | 20 | 0 | ||
|
Long Term Portfolio Ben Stein |
+7.67 | 12.23 | -45.92 | 80 | 20 | 0 | ||
|
No Brainer Portfolio Bill Bernstein |
+7.65 | 11.54 | -40.40 | 75 | 25 | 0 | ||
|
Sheltered Sam 60/40 Bill Bernstein |
+7.60 | 9.07 | -34.12 | 58.2 | 40 | 1.8 | ||
|
Perfect Portfolio Ben Stein |
+7.56 | 12.21 | -44.81 | 80 | 20 | 0 | ||
|
Five Fold Scott Burns |
+7.54 | 9.53 | -37.94 | 60 | 40 | 0 | ||
|
Robo Advisor 50 Betterment |
+7.53 | 9.11 | -30.72 | 49.9 | 50.1 | 0 | ||
|
Pinwheel |
+7.53 | 10.28 | -36.89 | 65 | 25 | 10 | ||
|
Tilt Toward Value Time Inc |
+7.53 | 9.16 | -34.63 | 60 | 40 | 0 | ||
|
Five Asset Roger Gibson |
+7.47 | 11.11 | -44.75 | 60 | 20 | 20 | ||
|
Dimensional 2030 Retirement Income DFA |
+7.46 | 9.06 | -31.78 | 55.9 | 44.1 | 0 | ||
|
Gretchen Tai Portfolio Gretchen Tai |
+7.44 | 11.46 | -41.80 | 70 | 30 | 0 | ||
|
Margaritaville Scott Burns |
+7.36 | 10.67 | -38.70 | 67 | 33 | 0 | ||
|
Marc Faber Portfolio Marc Faber |
+7.35 | 9.37 | -28.82 | 50 | 25 | 25 | ||
|
Nano Portfolio John Wasik |
+7.34 | 9.43 | -36.66 | 60 | 40 | 0 | ||
|
Simple Money Portfolio Tim Maurer |
+7.32 | 8.89 | -32.39 | 60 | 40 | 0 | ||
|
All Weather Portfolio Ray Dalio |
+7.29 | 7.01 | -20.19 | 30 | 55 | 15 | ||
|
Sandwich Portfolio Bob Clyatt |
+7.29 | 8.11 | -28.96 | 55 | 45 | 0 | ||
|
Edge Select Moderate Merrill Lynch |
+7.28 | 8.69 | -29.58 | 53 | 47 | 0 | ||
|
Simple and Cheap Time Inc |
+7.26 | 9.15 | -34.84 | 60 | 40 | 0 | ||
|
Coward's Portfolio Bill Bernstein |
+7.24 | 8.94 | -32.68 | 60 | 40 | 0 | ||
|
Ultimate Buy&Hold FundAdvice |
+7.24 | 9.09 | -34.23 | 60 | 40 | 0 | ||
|
Big Rocks Portfolio Larry Swedroe |
+7.17 | 8.97 | -33.80 | 60 | 40 | 0 | ||
|
Global Market Portfolio Credit Suisse |
+7.14 | 7.93 | -25.90 | 45 | 55 | 0 | ||
|
LifeStrategy Moderate Growth Vanguard |
+7.10 | 9.29 | -33.52 | 60 | 40 | 0 | ||
|
Dynamic 60/40 Income |
+7.10 | 9.11 | -41.44 | 60 | 40 | 0 | ||
|
Sheltered Sam 50/50 Bill Bernstein |
+7.08 | 7.68 | -28.23 | 48.5 | 50 | 1.5 | ||
|
One-Decision Portfolio Marvin Appel |
+7.07 | 8.15 | -31.96 | 50 | 50 | 0 | ||
|
Dynamic 40/60 Income |
+7.03 | 7.91 | -29.84 | 40 | 60 | 0 | ||
|
Ivy Portfolio Mebane Faber |
+7.01 | 11.42 | -47.39 | 60 | 20 | 20 | ||
Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and Very High Risk categorization.
Swipe left to see all data
30 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
|
Technology |
+13.06 | 23.81 | -81.08 | 100 | 0 | 0 | ||
|
US Stocks Momentum |
+12.44 | 15.06 | -53.85 | 100 | 0 | 0 | ||
|
Stocks/Bonds 80/20 Momentum |
+11.15 | 12.13 | -43.61 | 80 | 20 | 0 | ||
|
US Stocks |
+9.79 | 15.27 | -50.84 | 100 | 0 | 0 | ||
|
US Stocks Minimum Volatility |
+9.77 | 13.59 | -43.27 | 100 | 0 | 0 | ||