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 6.08% compound annual return, with a 10.04% standard deviation (Last Update: August 2019).
Asset Allocation and ETFs
The Mebane Faber Ivy Portfolio has the following asset allocation:
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 |
Returns, capital growth, stats are calculated assuming a rebalancing of the portfolio at the beginning of each year (i.e. at every January 1st).
Historical Returns
Mebane Faber Ivy Portfolio - Historical returns and stats:
| Range | Returns Aug 2019 |
Standard Deviation * |
Max Drawdown |
Months Pos - Neg |
|---|---|---|---|---|
|
1M
|
-0.55%
|
-0.55%
Aug 2019 - Aug 2019
|
0 - 1 | |
|
YTD
|
+13.47%
|
-3.82%
May 2019 - May 2019
|
6 - 2 | |
|
1Y
|
+1.28%
|
12.48%
|
-11.00%
Oct 2018 - Dec 2018
|
7 - 5 |
|
3Y
|
+5.85%
annualized
|
8.32%
|
-11.00%
Oct 2018 - Dec 2018
|
28 - 8 |
|
5Y
|
+2.22%
annualized
|
8.52%
|
-15.69%
Sep 2014 - Feb 2016
|
37 - 23 |
|
10Y
|
+6.08%
annualized
|
10.04%
|
-15.88%
Jul 2014 - Feb 2016
|
77 - 43 |
|
MAX
Dec 2006
|
+3.36%
annualized
|
13.08%
|
-47.40%
Jun 2008 - Feb 2009
|
95 - 57 |
* Annualized St.Dev. of monthly returns
Best Very High Risk Porftolios, ordered by 10Y annualized return.
| Portfolio | 10Y Return ▾ | #ETF | Stocks | Bonds | Comm. | |
|---|---|---|---|---|---|---|
| US Stocks |
+13.36% | 1 | 100 | 0 | 0 | |
| Warren Buffett |
+12.24% | 2 | 90 | 10 | 0 | |
| Core Four Rick Ferri |
+9.60% | 4 | 80 | 20 | 0 | |
| Four Funds Bogleheads |
+9.06% | 4 | 80 | 20 | 0 | |
| Three Funds Bogleheads |
+9.06% | 3 | 80 | 20 | 0 |
Capital Growth
Drawdowns
Rolling Returns
Mebane Faber Ivy Portfolio: annualized rolling and average returns
| Return (*) | |||
|---|---|---|---|
| Rolling Period | Average | Best | Worst |
| 1 Year |
+4.08% |
+47.92% Mar 2009 - Feb 2010 |
-42.92% Mar 2008 - Feb 2009 |
| 2 Years |
+3.71% |
+33.83% Mar 2009 - Feb 2011 |
-22.66% Mar 2007 - Feb 2009 |
| 3 Years |
+4.47% |
+22.45% Mar 2009 - Feb 2012 |
-5.54% Jul 2007 - Jun 2010 |
| 5 Years |
+4.58% |
+16.42% Mar 2009 - Feb 2014 |
-0.06% Jun 2007 - May 2012 |
| 7 Years |
+4.72% |
+9.57% Apr 2009 - Mar 2016 |
+1.84% Jun 2008 - May 2015 |
| 10 Years |
+4.29% |
+9.17% Mar 2009 - Feb 2019 |
+2.30% Nov 2007 - Oct 2017 |
* Annualized rolling and average returns over full calendar month periods
Yearly Returns - Monthly Returns Heatmap
| Months | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Return | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| 2019 |
+13.47% | 7.5 | 1.9 | 2.0 | 1.9 | -3.8 | 4.0 | 0.2 | -0.6 | ||||
| 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