Mebane Faber Ivy Portfolio: ETF allocation and returns

Last Update: 31 January 2020

The Mebane Faber Ivy Portfolio is exposed for 60% on the Stock Market and for 20% on Commodities.

It's a Very High Risk portfolio and it can be replicated with 5 ETFs.

In the last 10 years, the portfolio obtained a 6.16% compound annual return, with a 9.87% standard deviation.

Asset Allocation and ETFs

The Mebane Faber Ivy Portfolio has the following asset allocation:

        60% Stocks
      
        20% Fixed Income
      
        20% Commodities

The Mebane Faber Ivy Portfolio can be replicated 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

Historical Returns

Mebane Faber Ivy Portfolio - Historical returns and stats.

Returns, capital growth, stats are calculated assuming a rebalancing of the portfolio at the beginning of each year (i.e. at every January 1st).

MEBANE FABER IVY PORTFOLIO

Last Update: 31 January 2020

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Period	Returns Jan 2020	Standard Deviation *	Max Drawdown	Months Pos - Neg
1M	-2.17%		-2.17% Jan 2020 - Jan 2020	0 - 1
3M	+1.31%		-2.17% Jan 2020 - Jan 2020	2 - 1
6M	+3.88%		-2.17% Jan 2020 - Jan 2020	4 - 2
YTD	-2.17%		-2.17% Jan 2020 - Jan 2020	0 - 1
1Y	+10.28%	7.16%	-3.82% May 2019 - May 2019	9 - 3
3Y	+6.68% annualized	8.31%	-11.00% Oct 2018 - Dec 2018	28 - 8
5Y	+4.26% annualized	8.36%	-13.33% May 2015 - Feb 2016	40 - 20
10Y	+6.16% annualized	9.87%	-15.88% Jul 2014 - Feb 2016	78 - 42
MAX 01 Jan 2007	+3.59% annualized	12.92%	-47.40% Jun 2008 - Feb 2009	99 - 58

* Annualized St.Dev. of monthly returns

Best Very High Risk Porftolios, ordered by 10Y annualized return.

Portfolio	10Y Return ▾	#ETF	Stocks	Bonds
Technology	+18.98%	1	100	0
US Stocks	+13.83%	1	100	0
Warren Buffett	+12.70%	2	90	10
Second Grader's Starter Paul Farrell	+10.41%	3	90	10
Ultimate Buy and Hold Strategy Paul Merriman	+9.99%	10	100	0

See all portfolios

Capital Growth

Time Range:

Drawdowns

Time Range:

Worst drawdowns since January 2010.

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	Drawdown period			Recovery period		Total
Drawdown	Start	Bottom	#Months	End	#Months	#Months
-15.88%	Jul 2014	Feb 2016	20	Jul 2017	17	37
-15.74%	May 2011	Sep 2011	5	Sep 2012	12	17
-11.00%	Oct 2018	Dec 2018	3	Apr 2019	4	7
-9.35%	May 2010	Jun 2010	2	Sep 2010	3	5
-4.27%	Feb 2018	Feb 2018	1	Jul 2018	5	6
-3.82%	May 2019	May 2019	1	Jun 2019	1	2
-3.80%	May 2013	Jun 2013	2	Oct 2013	4	6
-2.17%	Jan 2020	Jan 2020	1	in progress	0	1
-1.19%	Oct 2012	Oct 2012	1	Dec 2012	2	3
-1.07%	Jan 2014	Jan 2014	1	Feb 2014	1	2
-1.05%	Nov 2010	Nov 2010	1	Dec 2010	1	2
-0.70%	Feb 2013	Feb 2013	1	Mar 2013	1	2
-0.55%	Aug 2019	Aug 2019	1	Sep 2019	1	2
-0.48%	Nov 2013	Nov 2013	1	Dec 2013	1	2

Worst drawdowns since December 2006.

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	Drawdown period			Recovery period		Total
Drawdown	Start	Bottom	#Months	End	#Months	#Months
-47.40%	Jun 2008	Feb 2009	9	Dec 2012	46	55
-15.88%	Jul 2014	Feb 2016	20	Jul 2017	17	37
-11.00%	Oct 2018	Dec 2018	3	Apr 2019	4	7
-6.08%	Nov 2007	Jan 2008	3	Apr 2008	3	6
-4.27%	Feb 2018	Feb 2018	1	Jul 2018	5	6
-3.82%	May 2019	May 2019	1	Jun 2019	1	2
-3.80%	May 2013	Jun 2013	2	Oct 2013	4	6
-2.75%	Jun 2007	Jul 2007	2	Sep 2007	2	4
-2.17%	Jan 2020	Jan 2020	1	in progress	0	1
-1.07%	Jan 2014	Jan 2014	1	Feb 2014	1	2
-0.70%	Feb 2013	Feb 2013	1	Mar 2013	1	2
-0.55%	Aug 2019	Aug 2019	1	Sep 2019	1	2
-0.48%	Nov 2013	Nov 2013	1	Dec 2013	1	2

Rolling Returns

Mebane Faber Ivy Portfolio: annualized rolling and average returns

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	*Return ()**			Negative Periods
Rolling Period	Average	Best	Worst	Negative Periods
1 Year	+4.32%	+47.92% Mar 2009 - Feb 2010	-42.92% Mar 2008 - Feb 2009	24.66%
2 Years	+3.76%	+33.83% Mar 2009 - Feb 2011	-22.66% Mar 2007 - Feb 2009	27.61%
3 Years	+4.58%	+22.45% Mar 2009 - Feb 2012	-5.54% Jul 2007 - Jun 2010	17.21%
5 Years	+4.54%	+16.42% Mar 2009 - Feb 2014	-0.06% Jun 2007 - May 2012	1.02%
7 Years	+4.71%	+9.57% Apr 2009 - Mar 2016	+1.84% Jun 2008 - May 2015	0.00%
10 Years	+4.51%	+9.17% Mar 2009 - Feb 2019	+2.30% Nov 2007 - Oct 2017	0.00%

* Annualized rolling and average returns over full calendar month periods

Yearly Returns - Monthly Returns Heatmap

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		Months
Year	Return	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2020	-2.17%	-2.2
2019	+21.16%	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%	1.8	-4.3	0.8	1.2	1.3	0.8	0.6	1.1	0.3	-5.2	-0.6	-5.5
2017	+12.20%	0.9	1.9	-0.7	0.4	0.7	0.5	2.2	0.1	1.3	1.4	1.5	1.5
2016	+7.80%	-3.8	-0.8	6.2	2.1	0.9	1.9	0.5	-0.4	0.8	-2.5	0.1	2.8
2015	-7.10%	-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%	-1.1	4.1	0.3	1.4	1.4	1.6	-1.8	1.6	-4.0	1.9	-0.6	-2.3
2013	+9.20%	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%	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%	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%	-4.3	3.3	4.7	2.4	-7.2	-2.3	6.7	-2.5	6.2	3.2	-1.1	5.4
2009	+22.28%	-10.2	-9.1	5.4	9.6	8.9	-0.9	6.2	4.3	3.2	-1.3	4.1	2.3
2008	-31.26%	-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%	1.8	0.1	0.8	1.8	0.9	-1.5	-1.3	0.9	4.9	3.5	-3.3	-0.1

* Note:
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:

VEU - Vanguard FTSE All-World ex-US: simulated historical serie, up to December 2007

BND - Vanguard Total Bond Market: simulated historical serie, up to December 2007