Dynamic 60/40 Income vs Mebane Faber GAA Global Asset Allocation Portfolio Comparison

Last Update: 29 February 2024

The Dynamic 60/40 Income Portfolio obtained a 6.98% compound annual return, with a 9.36% standard deviation, in the last 30 Years.

The Mebane Faber GAA Global Asset Allocation Portfolio obtained a 6.82% compound annual return, with a 8.05% standard deviation, in the last 30 Years.

Summary

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Dynamic 60/40 Income Portfolio Mebane Faber GAA Global Asset Allocation Portfolio
Portfolio Risk High High
Asset Allocation Stocks 60% 40.5%
Fixed Income 40% 49.5%
Commodities 0% 10%
30 Years Stats Return +6.98% +6.82%
Std Dev 9.36% 8.05%
Max Drawdown -41.44% -24.91%
All time Stats
(Since Jan 1992)
Return +7.40% +7.06%
Std Dev 9.11% 7.95%
Max Drawdown -41.44% -24.91%
Last Update: 29 February 2024

Historical Returns as of Feb 29, 2024

Comparison period starts from January 1992

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1M 6M 1Y 5Y 10Y 30Y MAX
Dynamic 60/40 Income Portfolio +1.62 +7.29 +10.32 +5.29 +5.40 +6.98 +7.40
Mebane Faber GAA Global Asset Allocation Portfolio +0.89 +5.56 +10.27 +5.04 +4.60 +6.82 +7.06
Return over 1 year are annualized.

Capital Growth as of Feb 29, 2024

Dynamic 60/40 Income Portfolio: an investment of 1$, since March 1994, now would be worth 7.57$, with a total return of 657.27% (6.98% annualized).

Mebane Faber GAA Global Asset Allocation Portfolio: an investment of 1$, since March 1994, now would be worth 7.23$, with a total return of 623.49% (6.82% annualized).

Dynamic 60/40 Income Portfolio: an investment of 1$, since January 1992, now would be worth 9.93$, with a total return of 893.13% (7.40% annualized).

Mebane Faber GAA Global Asset Allocation Portfolio: an investment of 1$, since January 1992, now would be worth 8.97$, with a total return of 796.99% (7.06% annualized).

Drawdowns

Drawdown comparison chart since March 1994.

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Dynamic 60/40 Income Portfolio
Mebane Faber GAA Global Asset Allocation Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-41.44% Jun 2007 Feb 2009 (21) Sep 2010 (40) 16.67
-24.91% Jun 2008 Feb 2009 (9) Mar 2010 (22) 12.59
-20.65% Jan 2022 Sep 2022 (9) In progress (26) 11.92
-18.21% Jan 2022 Sep 2022 (9) In progress (26) 11.41
-14.24% Feb 2020 Mar 2020 (2) Nov 2020 (10) 5.81
-10.41% Jun 2011 Sep 2011 (4) Jan 2012 (8) 4.57
-9.35% Feb 2020 Mar 2020 (2) Jul 2020 (6) 4.11
-7.02% Jul 1998 Aug 1998 (2) Dec 1998 (6) 3.48
-6.80% Sep 2018 Dec 2018 (4) Feb 2019 (6) 3.15
-6.74% Mar 2015 Jan 2016 (11) Jun 2016 (16) 3.79
-6.46% Feb 2018 Dec 2018 (11) Mar 2019 (14) 3.04
-6.25% May 1998 Aug 1998 (4) Oct 1998 (6) 2.57
-6.19% Apr 2002 Oct 2002 (7) Apr 2003 (13) 2.86
-6.05% Mar 1994 Nov 1994 (9) Mar 1995 (13) 3.45
-5.98% Feb 2001 Sep 2001 (8) Apr 2003 (27) 3.04
-5.48% May 2013 Jun 2013 (2) Dec 2013 (8) 2.83
-4.46% Aug 2016 Nov 2016 (4) Apr 2017 (9) 2.01
-4.42% Apr 2015 Sep 2015 (6) Mar 2016 (12) 2.43
-4.36% Apr 2004 Apr 2004 (1) Sep 2004 (6) 2.72
-4.29% Apr 2004 Apr 2004 (1) Sep 2004 (6) 2.49

Drawdown comparison chart since January 1992.

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Dynamic 60/40 Income Portfolio
Mebane Faber GAA Global Asset Allocation Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-41.44% Jun 2007 Feb 2009 (21) Sep 2010 (40) 16.67
-24.91% Jun 2008 Feb 2009 (9) Mar 2010 (22) 12.59
-20.65% Jan 2022 Sep 2022 (9) In progress (26) 11.92
-18.21% Jan 2022 Sep 2022 (9) In progress (26) 11.41
-14.24% Feb 2020 Mar 2020 (2) Nov 2020 (10) 5.81
-10.41% Jun 2011 Sep 2011 (4) Jan 2012 (8) 4.57
-9.35% Feb 2020 Mar 2020 (2) Jul 2020 (6) 4.11
-7.02% Jul 1998 Aug 1998 (2) Dec 1998 (6) 3.48
-6.80% Feb 1994 Nov 1994 (10) Apr 1995 (15) 3.87
-6.80% Sep 2018 Dec 2018 (4) Feb 2019 (6) 3.15
-6.74% Mar 2015 Jan 2016 (11) Jun 2016 (16) 3.79
-6.46% Feb 2018 Dec 2018 (11) Mar 2019 (14) 3.04
-6.39% Feb 1994 Nov 1994 (10) May 1995 (16) 4.42
-6.25% May 1998 Aug 1998 (4) Oct 1998 (6) 2.57
-6.19% Apr 2002 Oct 2002 (7) Apr 2003 (13) 2.86
-5.98% Feb 2001 Sep 2001 (8) Apr 2003 (27) 3.04
-5.48% May 2013 Jun 2013 (2) Dec 2013 (8) 2.83
-4.46% Aug 2016 Nov 2016 (4) Apr 2017 (9) 2.01
-4.42% Apr 2015 Sep 2015 (6) Mar 2016 (12) 2.43
-4.36% Apr 2004 Apr 2004 (1) Sep 2004 (6) 2.72

Yearly Returns

For each year, the following table provides the return and intra-year drawdown.
The highlighted returns represent the highest values for that specific year.
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Year Return Drawdown Return Drawdown
2024
+1.48%
-0.14%
+0.30%
-0.58%
2023
+12.28%
-6.45%
+12.13%
-7.93%
2022
-15.89%
-18.21%
-16.44%
-20.65%
2021
+15.27%
-2.58%
+8.69%
-2.47%
2020
+6.26%
-14.24%
+11.18%
-9.35%
2019
+18.59%
-1.55%
+19.10%
-1.28%
2018
-3.28%
-6.80%
-5.13%
-6.46%
2017
+8.11%
-0.39%
+13.30%
0.00%
2016
+7.39%
-2.92%
+6.40%
-4.46%
2015
+0.49%
-4.42%
-3.07%
-6.44%
2014
+11.87%
-2.32%
+7.67%
-2.74%
2013
+8.15%
-3.78%
+4.79%
-5.48%
2012
+12.84%
-3.09%
+11.31%
-3.02%
2011
+3.16%
-10.41%
+6.44%
-4.21%
2010
+14.75%
-5.96%
+12.24%
-3.58%
2009
+25.31%
-19.50%
+15.95%
-12.21%
2008
-21.78%
-30.14%
-13.28%
-21.38%
2007
-3.54%
-7.01%
+9.54%
-1.32%
2006
+14.28%
-1.89%
+11.66%
-1.77%
2005
+5.27%
-2.10%
+8.99%
-2.35%
2004
+12.11%
-4.29%
+11.55%
-4.36%
2003
+22.26%
0.00%
+19.76%
-1.64%
2002
-0.78%
-6.19%
+3.07%
-3.96%
2001
+5.55%
-3.29%
-2.12%
-5.98%
2000
+5.79%
-3.60%
+5.03%
-2.40%
1999
+4.89%
-3.30%
+12.08%
-2.46%
1998
+5.13%
-7.02%
+10.04%
-6.25%
1997
+16.74%
-0.91%
+7.28%
-3.30%
1996
+16.21%
-0.78%
+9.53%
-1.45%
1995
+20.42%
-0.12%
+20.68%
-0.02%
1994
-3.20%
-6.80%
-2.55%
-6.39%
1993
+14.00%
-1.75%
+18.89%
-2.72%
1992
+13.92%
-0.48%
+3.70%
-3.77%