European Stocks vs Mebane Faber GAA Global Asset Allocation Portfolio Comparison

Last Update: 31 March 2024

The European Stocks Portfolio obtained a 7.14% compound annual return, with a 17.87% standard deviation, in the last 30 Years.

The Mebane Faber GAA Global Asset Allocation Portfolio obtained a 7.02% compound annual return, with a 8.02% standard deviation, in the last 30 Years.

Summary

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European Stocks Portfolio Mebane Faber GAA Global Asset Allocation Portfolio
Portfolio Risk Very High High
Asset Allocation Stocks 100% 40.5%
Fixed Income 0% 49.5%
Commodities 0% 10%
30 Years Stats Return +7.14% +7.02%
Std Dev 17.87% 8.02%
Max Drawdown -59.77% -24.91%
All time Stats
(Since Jan 1985)		 Return +9.93% +8.69%
Std Dev 17.87% 8.14%
Max Drawdown -59.77% -24.91%
Last Update: 31 March 2024

Historical Returns as of Mar 31, 2024

Comparison period starts from January 1985

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1M 6M 1Y 5Y 10Y 30Y MAX
European Stocks Portfolio +3.82 +17.73 +14.41 +8.17 +4.70 +7.14 +9.93
Mebane Faber GAA Global Asset Allocation Portfolio +2.40 +12.53 +9.38 +5.07 +4.83 +7.02 +8.69
Return over 1 year are annualized.

Capital Growth as of Mar 31, 2024

European Stocks Portfolio: an investment of 1$, since April 1994, now would be worth 7.91$, with a total return of 690.82% (7.14% annualized).

Mebane Faber GAA Global Asset Allocation Portfolio: an investment of 1$, since April 1994, now would be worth 7.67$, with a total return of 666.52% (7.02% annualized).

European Stocks Portfolio: an investment of 1$, since January 1985, now would be worth 41.04$, with a total return of 4004.20% (9.93% annualized).

Mebane Faber GAA Global Asset Allocation Portfolio: an investment of 1$, since January 1985, now would be worth 26.36$, with a total return of 2535.69% (8.69% annualized).

Drawdowns

Drawdown comparison chart since April 1994.

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European Stocks 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
-59.77% Nov 2007 Feb 2009 (16) Apr 2014 (78) 30.21
-45.88% Apr 2000 Sep 2002 (30) Dec 2004 (57) 25.84
-30.98% Sep 2021 Sep 2022 (13) Dec 2023 (28) 12.78
-25.65% Jan 2020 Mar 2020 (3) Nov 2020 (11) 13.06
-24.91% Jun 2008 Feb 2009 (9) Mar 2010 (22) 12.59
-20.91% Jun 2014 Feb 2016 (21) May 2017 (36) 11.28
-20.65% Jan 2022 Sep 2022 (9) In progress (27) 11.72
-19.44% Feb 2018 Dec 2018 (11) Dec 2019 (23) 9.54
-16.03% Aug 1998 Sep 1998 (2) Apr 1999 (9) 7.40
-9.35% Feb 2020 Mar 2020 (2) Jul 2020 (6) 4.11
-7.18% Jan 2000 Jan 2000 (1) Mar 2000 (3) 3.76
-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
-5.98% Feb 2001 Sep 2001 (8) Apr 2003 (27) 3.04
-5.68% Aug 1997 Aug 1997 (1) Sep 1997 (2) 3.28
-5.48% May 2013 Jun 2013 (2) Dec 2013 (8) 2.83
-5.18% May 1994 Jun 1994 (2) Aug 1994 (4) 2.96
-4.95% Oct 1997 Oct 1997 (1) Jan 1998 (4) 2.75
-4.90% May 1999 May 1999 (1) Oct 1999 (6) 2.35

Drawdown comparison chart since January 1985.

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European Stocks 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
-59.77% Nov 2007 Feb 2009 (16) Apr 2014 (78) 30.21
-45.88% Apr 2000 Sep 2002 (30) Dec 2004 (57) 25.84
-30.98% Sep 2021 Sep 2022 (13) Dec 2023 (28) 12.78
-25.65% Jan 2020 Mar 2020 (3) Nov 2020 (11) 13.06
-24.91% Jun 2008 Feb 2009 (9) Mar 2010 (22) 12.59
-23.15% Oct 1987 Nov 1987 (2) Jul 1989 (22) 13.00
-20.91% Jun 2014 Feb 2016 (21) May 2017 (36) 11.28
-20.65% Jan 2022 Sep 2022 (9) In progress (27) 11.72
-20.21% Aug 1990 Sep 1990 (2) May 1992 (22) 10.46
-19.44% Feb 2018 Dec 2018 (11) Dec 2019 (23) 9.54
-16.03% Aug 1998 Sep 1998 (2) Apr 1999 (9) 7.40
-12.85% Jun 1992 Nov 1992 (6) Aug 1993 (15) 7.00
-9.35% Feb 2020 Mar 2020 (2) Jul 2020 (6) 4.11
-9.34% Sep 1987 Nov 1987 (3) Jun 1988 (10) 4.59
-8.83% May 1986 May 1986 (1) Aug 1986 (4) 5.18
-7.50% Jan 1990 Apr 1990 (4) Jul 1990 (7) 3.96
-7.18% Jan 2000 Jan 2000 (1) Mar 2000 (3) 3.76
-7.00% Feb 1994 Jun 1994 (5) Aug 1994 (7) 4.30
-6.85% Oct 1989 Oct 1989 (1) Dec 1989 (3) 3.53
-6.74% Mar 2015 Jan 2016 (11) Jun 2016 (16) 3.79

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
+5.01%
 -1.23%
+2.71%
 -0.58%
2023
+20.21%
 -11.19%
+12.13%
 -7.93%
2022
-16.00%
 -30.58%
-16.44%
 -20.65%
2021
+16.88%
 -5.48%
+8.69%
 -2.47%
2020
+6.11%
 -25.65%
+11.18%
 -9.35%
2019
+24.86%
 -5.67%
+19.10%
 -1.28%
2018
-14.91%
 -19.44%
-5.13%
 -6.46%
2017
+26.99%
 -0.51%
+13.30%
 0.00%
2016
-0.37%
 -8.60%
+6.40%
 -4.46%
2015
-1.94%
 -11.47%
-3.07%
 -6.44%
2014
-7.10%
 -11.75%
+7.67%
 -2.74%
2013
+24.38%
 -4.42%
+4.79%
 -5.48%
2012
+21.57%
 -14.17%
+11.31%
 -3.02%
2011
-11.64%
 -27.74%
+6.44%
 -4.21%
2010
+6.05%
 -17.10%
+12.24%
 -3.58%
2009
+31.33%
 -22.78%
+15.95%
 -12.21%
2008
-44.71%
 -48.36%
-13.28%
 -21.38%
2007
+13.24%
 -5.77%
+9.54%
 -1.32%
2006
+33.06%
 -2.93%
+11.66%
 -1.77%
2005
+9.26%
 -4.49%
+8.99%
 -2.35%
2004
+20.86%
 -3.93%
+11.55%
 -4.36%
2003
+38.70%
 -9.25%
+19.76%
 -1.64%
2002
-17.95%
 -25.96%
+3.07%
 -3.96%
2001
-20.30%
 -27.21%
-2.12%
 -5.98%
2000
-8.21%
 -14.23%
+5.03%
 -2.40%
1999
+16.66%
 -4.90%
+12.08%
 -2.46%
1998
+28.86%
 -16.03%
+10.04%
 -6.25%
1997
+24.23%
 -5.68%
+7.28%
 -3.30%
1996
+21.25%
 -1.20%
+9.53%
 -1.45%
1995
+22.28%
 -3.97%
+20.68%
 -0.02%
1994
+1.88%
 -7.00%
-2.55%
 -6.39%
1993
+29.13%
 -2.19%
+18.89%
 -2.72%
1992
-3.32%
 -12.85%
+3.70%
 -3.77%
1991
+12.40%
 -12.16%
+22.21%
 -2.63%
1990
-3.87%
 -20.21%
-0.08%
 -7.50%
1989
+28.18%
 -6.85%
+21.05%
 -0.43%
1988
+13.69%
 -6.81%
+13.71%
 -2.08%
1987
+7.05%
 -23.15%
+5.70%
 -9.34%
1986
+40.96%
 -8.83%
+24.35%
 -3.30%
1985
+78.72%
 0.00%
+29.87%
 -1.43%