Mebane Faber GAA Global Asset Allocation Portfolio: ETF allocation and returns

Data Source: from January 1985 to January 2024 (~39 years)
Consolidated Returns as of 31 January 2024
Live Update: Feb 27 2024, 01:00PM Eastern Time
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.08%
1 Day
Feb 27 2024, 01:00PM Eastern Time
0.55%
Current Month
February 2024

The Mebane Faber GAA Global Asset Allocation Portfolio is a High Risk portfolio and can be implemented with 10 ETFs.

It's exposed for 40.5% on the Stock Market and for 10% on Commodities.

In the last 30 Years, the Mebane Faber GAA Global Asset Allocation Portfolio obtained a 6.69% compound annual return, with a 8.07% standard deviation.

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Asset Allocation and ETFs

The Mebane Faber GAA Global Asset Allocation Portfolio has the following asset allocation:

40.5% Stocks
49.5% Fixed Income
10% Commodities

The Mebane Faber GAA Global Asset Allocation Portfolio can be implemented with the following ETFs:

Weight (%) Ticker Currency ETF Name Investment Themes
18.00
VV
USD Vanguard Large-Cap Equity, U.S., Large Cap
13.50
VEA
USD Vanguard FTSE Developed Markets Equity, EAFE, Large Cap
4.50
EEM
USD iShares MSCI Emerging Markets Equity, Emerging Markets, Large Cap
4.50
VNQ
USD Vanguard Real Estate Real Estate, U.S.
19.80
LQD
USD iShares Investment Grade Corporate Bond Bond, U.S., All-Term
14.40
BNDX
USD Vanguard Total International Bond Bond, Developed Markets, All-Term
13.50
TLT
USD iShares 20+ Year Treasury Bond Bond, U.S., Long-Term
1.80
TIP
USD iShares TIPS Bond Bond, U.S., All-Term
5.00
GLD
USD SPDR Gold Trust Commodity, Gold
5.00
GSG
USD 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 Jan 31, 2024

The Mebane Faber GAA Global Asset Allocation Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming: February 2024 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.
MEBANE FABER GAA GLOBAL ASSET ALLOCATION PORTFOLIO
Consolidated returns as of 31 January 2024
Live Update: Feb 27 2024, 01:00PM Eastern Time
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Jan 31, 2024
  1 Day Time ET(*) Feb 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~39Y)
Mebane Faber GAA Global Asset Allocation Portfolio -0.08 0.55 -0.58 2.53 5.20 5.03 4.81 6.69 8.64
US Inflation Adjusted return -0.88 0.86 2.03 0.83 1.97 4.06 5.69
Components
VV
USD Vanguard Large-Cap -0.17 12:59PM, Feb 27 2024 4.56 1.77 6.76 21.57 14.18 12.47 10.13 11.43
VEA
USD Vanguard FTSE Developed Markets 0.06 01:00PM, Feb 27 2024 2.93 -1.09 1.47 7.00 6.66 4.96 4.84 7.90
EEM
USD iShares MSCI Emerging Markets 0.24 01:00PM, Feb 27 2024 5.54 -4.53 -6.72 -4.65 -0.02 2.27 3.80 8.57
VNQ
USD Vanguard Real Estate 0.41 01:00PM, Feb 27 2024 0.39 -5.06 0.56 -3.87 3.85 6.36 8.40 9.15
LQD
USD iShares Investment Grade Corporate Bond -0.11 01:00PM, Feb 27 2024 -1.98 -0.44 4.41 3.57 2.03 2.75 5.10 6.73
BNDX
USD Vanguard Total International Bond -0.18 12:59PM, Feb 27 2024 -0.80 -0.59 4.35 5.65 0.60 2.20 4.69 6.61
TLT
USD iShares 20+ Year Treasury Bond -0.50 01:00PM, Feb 27 2024 -3.35 -2.25 -1.57 -6.91 -2.46 1.26 5.04 7.28
TIP
USD iShares TIPS Bond -0.07 12:59PM, Feb 27 2024 -1.62 0.33 2.02 1.51 2.41 1.92 4.90 6.73
GLD
USD SPDR Gold Trust 0.01 12:59PM, Feb 27 2024 -0.13 -1.42 3.35 5.04 8.60 4.61 5.48 4.73
GSG
USD iShares S&P GSCI Commodity Indexed Trust 0.67 12:59PM, Feb 27 2024 1.19 4.39 -3.06 -1.27 6.63 -3.99 1.66 4.11
Returns over 1 year are annualized | Available data source: since Jan 1985
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Jan 2024. Current inflation (annualized) is 1Y: 3.11% , 5Y: 4.16% , 10Y: 2.79% , 30Y: 2.53%

In 2023, the Mebane Faber GAA Global Asset Allocation Portfolio granted a 3.16% dividend yield. If you are interested in getting periodic income, please refer to the Mebane Faber GAA Global Asset Allocation Portfolio: Dividend Yield page.

Capital Growth as of Jan 31, 2024

An investment of 1$, since February 1994, now would be worth 6.99$, with a total return of 598.69% (6.69% annualized).

The Inflation Adjusted Capital now would be 3.30$, with a net total return of 230.07% (4.06% annualized).
An investment of 1$, since January 1985, now would be worth 25.51$, with a total return of 2451.25% (8.64% annualized).

The Inflation Adjusted Capital now would be 8.69$, with a net total return of 769.13% (5.69% annualized).

Portfolio Metrics as of Jan 31, 2024

Metrics of Mebane Faber GAA Global Asset Allocation Portfolio, updated as of 31 January 2024.

Metrics are calculated based on monthly returns, assuming:
MEBANE FABER GAA GLOBAL ASSET ALLOCATION PORTFOLIO
Advanced Metrics
Data Source: 1 January 1985 - 31 January 2024 (~39 years)
Swipe left to see all data
Metrics as of Jan 31, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~39Y)
Investment Return (%) -0.58 11.36 2.53 5.20 0.74 5.03 4.81 6.14 6.69 8.64
Infl. Adjusted Return (%) details -0.88 10.59 0.86 2.03 -4.66 0.83 1.97 3.47 4.06 5.69
US Inflation (%) 0.31 0.70 1.66 3.11 5.66 4.16 2.79 2.57 2.53 2.79
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -7.93 -20.65 -20.65 -20.65 -24.91 -24.91 -24.91
Start to Recovery (# months) details 5 25* 25* 25* 22 22 22
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2008 06 2008 06 2008 06
Start to Bottom (# months) 3 9 9 9 9 9 9
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 2 16 16 16 13 13 13
End (yyyy mm) 2023 12 - - - 2010 03 2010 03 2010 03
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest
-20.65 -5.98 -5.98
Start to Recovery (# months) details 25* 27 27
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2022 01 2001 02 2001 02
Start to Bottom (# months) 3 9 9 9 9 8 8
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09 2001 09 2001 09
Bottom to End (# months) 2 16 16 16 16 19 19
End (yyyy mm) 2023 12 - - - - 2003 04 2003 04
Longest negative period (# months) details 9 34 39 39 45 45 45
Period Start (yyyy mm) 2023 02 2021 02 2020 08 2020 08 2005 06 2005 06 2005 06
Period End (yyyy mm) 2023 10 2023 11 2023 10 2023 10 2009 02 2009 02 2009 02
Annualized Return (%) -7.31 -0.62 -1.13 -1.13 -0.05 -0.05 -0.05
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -8.79 -25.97 -25.97 -25.97 -26.11 -26.11 -26.11
Start to Recovery (# months) details 5 29* 29* 29* 33 33 33
Start (yyyy mm) 2023 08 2021 09 2021 09 2021 09 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 13 13 13 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 2 16 16 16 17 17 17
End (yyyy mm) 2023 12 - - - 2010 07 2010 07 2010 07
Longest Drawdown Depth (%) -4.13
same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest
Start to Recovery (# months) details 6
Start (yyyy mm) 2023 02 2021 09 2021 09 2021 09 2007 11 2007 11 2007 11
Start to Bottom (# months) 1 13 13 13 16 16 16
Bottom (yyyy mm) 2023 02 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 5 16 16 16 17 17 17
End (yyyy mm) 2023 07 - - - 2010 07 2010 07 2010 07
Longest negative period (# months) details 10 36* 57 105 105 105 105
Period Start (yyyy mm) 2023 02 2021 02 2019 02 2015 02 2015 02 2015 02 2015 02
Period End (yyyy mm) 2023 11 2024 01 2023 10 2023 10 2023 10 2023 10 2023 10
Annualized Return (%) -1.71 -4.66 -1.24 -0.04 -0.04 -0.04 -0.04
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 11.44 11.74 10.91 8.75 8.76 8.07 8.16
Sharpe Ratio 0.01 -0.12 0.30 0.42 0.55 0.55 0.57
Sortino Ratio 0.01 -0.18 0.40 0.57 0.72 0.73 0.76
Ulcer Index 3.06 10.14 8.04 6.01 5.85 4.98 4.49
Ratio: Return / Standard Deviation 0.45 0.06 0.46 0.55 0.70 0.83 1.06
Ratio: Return / Deepest Drawdown 0.66 0.04 0.24 0.23 0.25 0.27 0.35
% Positive Months details 50% 52% 61% 64% 66% 66% 67%
Positive Months 6 19 37 77 159 239 317
Negative Months 6 17 23 43 81 121 152
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 4.81 8.80 9.49 13.18
Worst 10 Years Return (%) - Annualized 3.74 3.74 3.74
Best 10 Years Return (%) - Annualized 1.97 6.91 6.91 9.25
Worst 10 Years Return (%) - Annualized 0.93 0.93 0.93
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 32.05 18.54 13.63 9.49 8.48 6.69
Worst Rolling Return (%) - Annualized -23.45 -3.09 1.83 3.74 5.91
% Positive Periods 84% 96% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 86.01 29.65 19.66 11.20 7.24 6.22
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 1.03 3.74 4.34
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 29.27 15.77 11.33 6.91 6.09 4.06
Worst Rolling Return (%) - Annualized -24.44 -5.92 -1.37 0.93 3.25
% Positive Periods 79% 89% 96% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 86.01 29.65 19.66 11.20 7.24 6.22
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 1.03 3.74 4.34
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1985 - Jan 2024)
Best Rolling Return (%) - Annualized 40.72 20.88 18.63 13.18 11.32 9.94
Worst Rolling Return (%) - Annualized -23.45 -3.09 1.83 3.74 5.91 6.43
% Positive Periods 86% 97% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 86.01 29.65 19.66 11.20 7.24 6.22
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 1.03 3.74 4.27
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 38.52 17.35 14.44 9.25 8.04 7.05
Worst Rolling Return (%) - Annualized -24.44 -5.92 -1.37 0.93 3.25 3.81
% Positive Periods 80% 92% 97% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 86.01 29.65 19.66 11.20 7.24 6.22
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 1.03 3.74 4.27
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
  • Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
  • Longest negative period: it's the maximum period for which an overall negative return has been observed.
  • 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).
  • Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
  • Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
  • Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

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.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 31 January 2024
Swipe left to see all data
Asset
VV
VEA
EEM
VNQ
LQD
BNDX
TLT
TIP
GLD
GSG
VV
-
0.92
0.86
0.88
0.88
0.75
0.85
0.75
0.33
0.04
VEA
0.92
-
0.90
0.92
0.90
0.76
0.87
0.81
0.34
0.10
EEM
0.86
0.90
-
0.83
0.80
0.68
0.72
0.69
0.44
0.23
VNQ
0.88
0.92
0.83
-
0.86
0.78
0.85
0.70
0.26
-0.06
LQD
0.88
0.90
0.80
0.86
-
0.95
0.97
0.93
0.49
-0.13
BNDX
0.75
0.76
0.68
0.78
0.95
-
0.95
0.91
0.59
-0.34
TLT
0.85
0.87
0.72
0.85
0.97
0.95
-
0.92
0.42
-0.26
TIP
0.75
0.81
0.69
0.70
0.93
0.91
0.92
-
0.61
-0.11
GLD
0.33
0.34
0.44
0.26
0.49
0.59
0.42
0.61
-
-0.13
GSG
0.04
0.10
0.23
-0.06
-0.13
-0.34
-0.26
-0.11
-0.13
-
Asset
VV
VEA
EEM
VNQ
LQD
BNDX
TLT
TIP
GLD
GSG
VV
-
0.90
0.72
0.85
0.69
0.57
0.21
0.63
0.25
0.42
VEA
0.90
-
0.85
0.84
0.72
0.54
0.21
0.59
0.29
0.53
EEM
0.72
0.85
-
0.67
0.67
0.47
0.21
0.47
0.36
0.46
VNQ
0.85
0.84
0.67
-
0.73
0.63
0.37
0.68
0.28
0.39
LQD
0.69
0.72
0.67
0.73
-
0.89
0.74
0.83
0.45
0.10
BNDX
0.57
0.54
0.47
0.63
0.89
-
0.72
0.84
0.40
-0.07
TLT
0.21
0.21
0.21
0.37
0.74
0.72
-
0.69
0.41
-0.37
TIP
0.63
0.59
0.47
0.68
0.83
0.84
0.69
-
0.48
0.07
GLD
0.25
0.29
0.36
0.28
0.45
0.40
0.41
0.48
-
-0.05
GSG
0.42
0.53
0.46
0.39
0.10
-0.07
-0.37
0.07
-0.05
-
Asset
VV
VEA
EEM
VNQ
LQD
BNDX
TLT
TIP
GLD
GSG
VV
-
0.88
0.69
0.75
0.58
0.44
0.10
0.51
0.11
0.40
VEA
0.88
-
0.83
0.70
0.63
0.41
0.11
0.51
0.19
0.50
EEM
0.69
0.83
-
0.56
0.60
0.35
0.15
0.45
0.31
0.43
VNQ
0.75
0.70
0.56
-
0.70
0.59
0.40
0.63
0.20
0.23
LQD
0.58
0.63
0.60
0.70
-
0.86
0.73
0.82
0.42
0.07
BNDX
0.44
0.41
0.35
0.59
0.86
-
0.74
0.79
0.36
-0.15
TLT
0.10
0.11
0.15
0.40
0.73
0.74
-
0.69
0.42
-0.39
TIP
0.51
0.51
0.45
0.63
0.82
0.79
0.69
-
0.49
0.07
GLD
0.11
0.19
0.31
0.20
0.42
0.36
0.42
0.49
-
0.02
GSG
0.40
0.50
0.43
0.23
0.07
-0.15
-0.39
0.07
0.02
-
Asset
VV
VEA
EEM
VNQ
LQD
BNDX
TLT
TIP
GLD
GSG
VV
-
0.84
0.73
0.62
0.33
0.16
-0.10
0.21
0.05
0.33
VEA
0.84
-
0.81
0.61
0.36
0.19
-0.10
0.20
0.18
0.45
EEM
0.73
0.81
-
0.53
0.30
0.15
-0.10
0.19
0.26
0.39
VNQ
0.62
0.61
0.53
-
0.45
0.30
0.10
0.33
0.14
0.25
LQD
0.33
0.36
0.30
0.45
-
0.69
0.67
0.74
0.26
0.09
BNDX
0.16
0.19
0.15
0.30
0.69
-
0.52
0.62
0.24
0.05
TLT
-0.10
-0.10
-0.10
0.10
0.67
0.52
-
0.67
0.20
-0.21
TIP
0.21
0.20
0.19
0.33
0.74
0.62
0.67
-
0.34
0.21
GLD
0.05
0.18
0.26
0.14
0.26
0.24
0.20
0.34
-
0.22
GSG
0.33
0.45
0.39
0.25
0.09
0.05
-0.21
0.21
0.22
-
Asset
VV
VEA
EEM
VNQ
LQD
BNDX
TLT
TIP
GLD
GSG
VV
-
0.72
0.69
0.61
0.33
0.21
0.00
0.25
-0.03
0.24
VEA
0.72
-
0.67
0.54
0.33
0.22
-0.01
0.22
0.14
0.33
EEM
0.69
0.67
-
0.49
0.28
0.20
0.00
0.21
0.11
0.24
VNQ
0.61
0.54
0.49
-
0.40
0.28
0.13
0.30
0.09
0.19
LQD
0.33
0.33
0.28
0.40
-
0.75
0.73
0.81
0.16
0.05
BNDX
0.21
0.22
0.20
0.28
0.75
-
0.59
0.72
0.15
0.01
TLT
0.00
-0.01
0.00
0.13
0.73
0.59
-
0.73
0.13
-0.20
TIP
0.25
0.22
0.21
0.30
0.81
0.72
0.73
-
0.20
0.13
GLD
-0.03
0.14
0.11
0.09
0.16
0.15
0.13
0.20
-
0.22
GSG
0.24
0.33
0.24
0.19
0.05
0.01
-0.20
0.13
0.22
-

If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.

Drawdowns

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.

MEBANE FABER GAA GLOBAL ASSET ALLOCATION PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1985 - 31 January 2024 (~39 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-24.91% Jun 2008 Feb 2009 9 Mar 2010 13 22 12.59
-20.65% Jan 2022 Sep 2022 9 in progress 16 25 12.09
-9.35% Feb 2020 Mar 2020 2 Jul 2020 4 6 4.11
-6.74% Mar 2015 Jan 2016 11 Jun 2016 5 16 3.79
-6.46% Feb 2018 Dec 2018 11 Mar 2019 3 14 3.04
-6.39% Feb 1994 Nov 1994 10 May 1995 6 16 4.42
-6.25% May 1998 Aug 1998 4 Oct 1998 2 6 2.57
-5.98% Feb 2001 Sep 2001 8 Apr 2003 19 27 3.04
-5.48% May 2013 Jun 2013 2 Dec 2013 6 8 2.83
-4.46% Aug 2016 Nov 2016 4 Apr 2017 5 9 2.01
-4.36% Apr 2004 Apr 2004 1 Sep 2004 5 6 2.72
-4.21% May 2011 Sep 2011 5 Oct 2011 1 6 1.83
-3.58% May 2010 May 2010 1 Jul 2010 2 3 2.40
-3.30% Aug 1997 Aug 1997 1 Sep 1997 1 2 1.90
-3.02% May 2012 May 2012 1 Jul 2012 2 3 1.58
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 142 2.5 Months 39.34%
 
DD = 0% 39.34%
 
0% < DD <= -5% 166 2.2 Months 45.98%
 
DD <= -5% 85.32%
 
-5% < DD <= -10% 26 13.9 Months 7.20%
 
DD <= -10% 92.52%
 
-10% < DD <= -15% 17 21.2 Months 4.71%
 
DD <= -15% 97.23%
 
-15% < DD <= -20% 4 90.3 Months 1.11%
 
DD <= -20% 98.34%
 
-20% < DD <= -25% 6 60.2 Months 1.66%
 
DD <= -25% 100.00%
 
-25% < DD <= -30% 0 - 0.00%
 
DD <= -30% 100.00%
 
-30% < DD <= -35% 0 - 0.00%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-26.11% Nov 2007 Feb 2009 16 Jul 2010 17 33 11.82
-25.97% Sep 2021 Sep 2022 13 in progress 16 29 17.25
-9.09% Feb 2020 Mar 2020 2 Jun 2020 3 5 4.11
-8.57% Feb 1994 Nov 1994 10 Jul 1995 8 18 5.71
-7.90% Feb 2018 Dec 2018 11 Jun 2019 6 17 3.63
-7.89% Sep 2000 Sep 2001 13 May 2003 20 33 4.91
-7.65% Mar 2015 Jan 2016 11 Jul 2016 6 17 4.45
-6.93% May 1998 Aug 1998 4 Nov 1998 3 7 2.79
-5.74% May 2013 Jun 2013 2 Feb 2014 8 10 2.90
-5.27% May 2011 Sep 2011 5 Jan 2012 4 9 2.10
-5.22% Aug 2016 Nov 2016 4 May 2017 6 10 2.58
-4.51% Apr 2004 Apr 2004 1 Oct 2004 6 7 3.08
-3.54% Aug 1997 Aug 1997 1 Feb 1998 6 7 1.86
-3.32% Sep 2020 Oct 2020 2 Nov 2020 1 3 1.83
-3.17% Dec 1996 Mar 1997 4 May 1997 2 6 1.61
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 108 3.3 Months 29.92%
 
DD = 0% 29.92%
 
0% < DD <= -5% 167 2.2 Months 46.26%
 
DD <= -5% 76.18%
 
-5% < DD <= -10% 53 6.8 Months 14.68%
 
DD <= -10% 90.86%
 
-10% < DD <= -15% 3 120.3 Months 0.83%
 
DD <= -15% 91.69%
 
-15% < DD <= -20% 17 21.2 Months 4.71%
 
DD <= -20% 96.40%
 
-20% < DD <= -25% 10 36.1 Months 2.77%
 
DD <= -25% 99.17%
 
-25% < DD <= -30% 3 120.3 Months 0.83%
 
DD <= -30% 100.00%
 
-30% < DD <= -35% 0 - 0.00%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-24.91% Jun 2008 Feb 2009 9 Mar 2010 13 22 12.59
-20.65% Jan 2022 Sep 2022 9 in progress 16 25 12.09
-9.35% Feb 2020 Mar 2020 2 Jul 2020 4 6 4.11
-9.34% Sep 1987 Nov 1987 3 Jun 1988 7 10 4.59
-7.50% Jan 1990 Apr 1990 4 Jul 1990 3 7 3.96
-6.74% Mar 2015 Jan 2016 11 Jun 2016 5 16 3.79
-6.46% Feb 2018 Dec 2018 11 Mar 2019 3 14 3.04
-6.39% Feb 1994 Nov 1994 10 May 1995 6 16 4.42
-6.25% May 1998 Aug 1998 4 Oct 1998 2 6 2.57
-6.16% Aug 1990 Sep 1990 2 Jan 1991 4 6 3.42
-5.98% Feb 2001 Sep 2001 8 Apr 2003 19 27 3.04
-5.48% May 2013 Jun 2013 2 Dec 2013 6 8 2.83
-4.46% Aug 2016 Nov 2016 4 Apr 2017 5 9 2.01
-4.36% Apr 2004 Apr 2004 1 Sep 2004 5 6 2.72
-4.21% May 2011 Sep 2011 5 Oct 2011 1 6 1.83
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 204 2.3 Months 43.40%
 
DD = 0% 43.40%
 
0% < DD <= -5% 207 2.3 Months 44.04%
 
DD <= -5% 87.45%
 
-5% < DD <= -10% 32 14.7 Months 6.81%
 
DD <= -10% 94.26%
 
-10% < DD <= -15% 17 27.6 Months 3.62%
 
DD <= -15% 97.87%
 
-15% < DD <= -20% 4 117.5 Months 0.85%
 
DD <= -20% 98.72%
 
-20% < DD <= -25% 6 78.3 Months 1.28%
 
DD <= -25% 100.00%
 
-25% < DD <= -30% 0 - 0.00%
 
DD <= -30% 100.00%
 
-30% < DD <= -35% 0 - 0.00%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-26.11% Nov 2007 Feb 2009 16 Jul 2010 17 33 11.82
-25.97% Sep 2021 Sep 2022 13 in progress 16 29 17.25
-10.20% Sep 1987 Nov 1987 3 Jan 1989 14 17 4.61
-10.16% Jan 1990 Sep 1990 9 Apr 1991 7 16 5.91
-9.09% Feb 2020 Mar 2020 2 Jun 2020 3 5 4.11
-8.57% Feb 1994 Nov 1994 10 Jul 1995 8 18 5.71
-7.90% Feb 2018 Dec 2018 11 Jun 2019 6 17 3.63
-7.89% Sep 2000 Sep 2001 13 May 2003 20 33 4.91
-7.65% Mar 2015 Jan 2016 11 Jul 2016 6 17 4.45
-6.93% May 1998 Aug 1998 4 Nov 1998 3 7 2.79
-5.74% May 2013 Jun 2013 2 Feb 2014 8 10 2.90
-5.27% May 2011 Sep 2011 5 Jan 2012 4 9 2.10
-5.22% Aug 2016 Nov 2016 4 May 2017 6 10 2.58
-4.51% Apr 2004 Apr 2004 1 Oct 2004 6 7 3.08
-4.40% Jan 1992 Mar 1992 3 Jul 1992 4 7 2.41
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Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 156 3.0 Months 33.19%
 
DD = 0% 33.19%
 
0% < DD <= -5% 216 2.2 Months 45.96%
 
DD <= -5% 79.15%
 
-5% < DD <= -10% 63 7.5 Months 13.40%
 
DD <= -10% 92.55%
 
-10% < DD <= -15% 5 94.0 Months 1.06%
 
DD <= -15% 93.62%
 
-15% < DD <= -20% 17 27.6 Months 3.62%
 
DD <= -20% 97.23%
 
-20% < DD <= -25% 10 47.0 Months 2.13%
 
DD <= -25% 99.36%
 
-25% < DD <= -30% 3 156.7 Months 0.64%
 
DD <= -30% 100.00%
 
-30% < DD <= -35% 0 - 0.00%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 

Rolling Returns

( more details)

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

MEBANE FABER GAA GLOBAL ASSET ALLOCATION PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1985 - 31 January 2024 (~39 years)
Inflation Adjusted:
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -23.45 03/2008
02/2009
0.76$ -0.15 0.99$ 8.65 1.08$ 13.79 1.13$ 32.05 03/2009
02/2010
1.32$ 5.20 15.19%
2Y -9.38 03/2007
02/2009
0.82$ 1.44 1.02$ 8.17 1.17$ 11.80 1.24$ 23.24 03/2009
02/2011
1.51$ -2.02 11.28%
3Y -3.09 03/2006
02/2009
0.91$ 3.19 1.09$ 7.40 1.23$ 11.25 1.37$ 18.54 03/2009
02/2012
1.66$ 0.74 3.08%
5Y 1.83 03/2004
02/2009
1.09$ 4.90 1.27$ 6.66 1.38$ 10.01 1.61$ 13.63 03/2009
02/2014
1.89$ 5.03 0.00%
7Y 3.59 10/2016
09/2023
1.27$ 5.69 1.47$ 7.11 1.61$ 8.51 1.77$ 9.74 03/2009
02/2016
1.91$ 5.16 0.00%
10Y 3.74 11/2013
10/2023
1.44$ 5.63 1.72$ 7.29 2.02$ 8.66 2.29$ 9.49 01/1995
12/2004
2.47$ 4.81 0.00%
15Y 4.44 11/2007
10/2022
1.91$ 6.42 2.54$ 7.34 2.89$ 7.89 3.12$ 8.41 12/1994
11/2009
3.35$ 7.03 0.00%
20Y 5.91 11/2003
10/2023
3.15$ 6.71 3.66$ 7.13 3.96$ 7.71 4.41$ 8.48 02/1995
01/2015
5.09$ 6.14 0.00%
30Y 6.69 02/1994
01/2024
6.98$ 6.69 6.98$ 6.69 6.98$ 6.69 6.98$ 6.69 02/1994
01/2024
6.98$ 6.69 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -24.44 11/2021
10/2022
0.75$ -1.90 0.98$ 5.86 1.05$ 10.70 1.10$ 29.27 03/2009
02/2010
1.29$ 2.03 20.06%
2Y -12.93 11/2021
10/2023
0.75$ -0.59 0.98$ 5.59 1.11$ 8.85 1.18$ 20.66 03/2009
02/2011
1.45$ -6.44 17.21%
3Y -5.92 11/2020
10/2023
0.83$ 1.03 1.03$ 5.24 1.16$ 8.23 1.26$ 15.77 03/2009
02/2012
1.55$ -4.66 10.15%
5Y -1.37 10/2017
09/2022
0.93$ 2.70 1.14$ 4.43 1.24$ 7.37 1.42$ 11.33 03/2009
02/2014
1.71$ 0.83 3.99%
7Y 0.07 10/2016
09/2023
1.00$ 3.71 1.29$ 4.90 1.39$ 5.81 1.48$ 8.03 03/2009
02/2016
1.71$ 1.61 0.00%
10Y 0.93 11/2013
10/2023
1.09$ 3.76 1.44$ 5.16 1.65$ 6.04 1.79$ 6.91 03/2009
02/2019
1.95$ 1.97 0.00%
15Y 2.01 11/2007
10/2022
1.34$ 4.09 1.82$ 5.00 2.07$ 5.40 2.20$ 5.86 02/2003
01/2018
2.34$ 4.36 0.00%
20Y 3.25 11/2003
10/2023
1.89$ 4.24 2.29$ 4.85 2.57$ 5.36 2.83$ 6.09 02/1995
01/2015
3.26$ 3.47 0.00%
30Y 4.06 02/1994
01/2024
3.30$ 4.06 3.30$ 4.06 3.30$ 4.06 3.30$ 4.06 02/1994
01/2024
3.30$ 4.06 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -23.45 03/2008
02/2009
0.76$ 1.22 1.01$ 9.05 1.09$ 15.76 1.15$ 40.72 05/1985
04/1986
1.40$ 5.20 13.10%
2Y -9.38 03/2007
02/2009
0.82$ 2.31 1.04$ 8.95 1.18$ 12.63 1.26$ 29.82 03/1985
02/1987
1.68$ -2.02 8.52%
3Y -3.09 03/2006
02/2009
0.91$ 3.65 1.11$ 8.61 1.28$ 12.30 1.41$ 20.88 03/1985
02/1988
1.76$ 0.74 2.30%
5Y 1.83 03/2004
02/2009
1.09$ 5.22 1.28$ 7.93 1.46$ 11.40 1.71$ 18.63 01/1985
12/1989
2.34$ 5.03 0.00%
7Y 3.59 10/2016
09/2023
1.27$ 5.95 1.49$ 7.97 1.71$ 10.61 2.02$ 16.25 01/1985
12/1991
2.86$ 5.16 0.00%
10Y 3.74 11/2013
10/2023
1.44$ 5.99 1.78$ 8.08 2.17$ 10.39 2.68$ 13.18 01/1985
12/1994
3.44$ 4.81 0.00%
15Y 4.44 11/2007
10/2022
1.91$ 6.64 2.62$ 7.80 3.08$ 9.37 3.83$ 12.72 01/1985
12/1999
6.02$ 7.03 0.00%
20Y 5.91 11/2003
10/2023
3.15$ 6.92 3.81$ 7.94 4.61$ 9.47 6.11$ 11.32 01/1985
12/2004
8.53$ 6.14 0.00%
30Y 6.43 11/1993
10/2023
6.49$ 7.18 8.00$ 8.07 10.27$ 8.59 11.83$ 9.94 01/1985
12/2014
17.16$ 6.69 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -24.44 11/2021
10/2022
0.75$ -1.38 0.98$ 6.47 1.06$ 12.78 1.12$ 38.52 05/1985
04/1986
1.38$ 2.03 19.43%
2Y -12.93 11/2021
10/2023
0.75$ 0.62 1.01$ 5.91 1.12$ 9.63 1.20$ 26.59 03/1985
02/1987
1.60$ -6.44 13.00%
3Y -5.92 11/2020
10/2023
0.83$ 1.93 1.05$ 5.87 1.18$ 8.70 1.28$ 17.35 03/1985
02/1988
1.61$ -4.66 7.60%
5Y -1.37 10/2017
09/2022
0.93$ 3.25 1.17$ 5.29 1.29$ 8.06 1.47$ 14.44 01/1985
12/1989
1.96$ 0.83 2.93%
7Y 0.07 10/2016
09/2023
1.00$ 4.05 1.32$ 5.31 1.43$ 7.26 1.63$ 11.85 01/1985
12/1991
2.19$ 1.61 0.00%
10Y 0.93 11/2013
10/2023
1.09$ 4.03 1.48$ 5.51 1.70$ 6.96 1.95$ 9.25 01/1985
12/1994
2.42$ 1.97 0.00%
15Y 2.01 11/2007
10/2022
1.34$ 4.48 1.92$ 5.27 2.16$ 6.42 2.54$ 9.25 01/1985
12/1999
3.76$ 4.36 0.00%
20Y 3.25 11/2003
10/2023
1.89$ 4.61 2.46$ 5.32 2.82$ 6.25 3.35$ 8.04 01/1985
12/2004
4.69$ 3.47 0.00%
30Y 3.81 11/1993
10/2023
3.07$ 4.57 3.81$ 5.48 4.95$ 5.84 5.49$ 7.05 03/1985
02/2015
7.71$ 4.06 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods

If you need a deeper detail about rolling returns, please refer to the Mebane Faber GAA Global Asset Allocation Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Mebane Faber GAA Global Asset Allocation 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.
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
0.48
40%
-1.27
20%
-0.39
60%
0.90
80%
0.21
60%
1.00
80%
2.34
100%
-0.49
60%
-2.97
20%
0.41
60%
3.64
80%
1.65
80%
Best 6.0
2023
0.9
2019
3.2
2023
5.2
2020
2.6
2020
4.0
2019
4.1
2020
2.1
2019
0.2
2019
3.1
2021
7.0
2023
4.7
2023
Worst -3.0
2022
-3.8
2023
-7.5
2020
-5.7
2022
-1.8
2023
-5.0
2022
0.2
2019
-4.1
2022
-7.3
2022
-2.2
2023
-1.4
2021
-2.6
2022
Monthly Seasonality over the period Feb 1985 - Jan 2024
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
1.12
60%
-0.33
50%
0.24
70%
0.81
80%
0.40
70%
0.67
70%
1.57
90%
-0.19
60%
-1.81
30%
0.13
60%
1.74
70%
0.75
60%
Best 6.0
2023
2.9
2014
4.1
2016
5.2
2020
2.6
2020
4.0
2019
4.1
2020
2.3
2014
0.3
2017
3.1
2015
7.0
2023
4.7
2023
Worst -3.0
2022
-3.8
2023
-7.5
2020
-5.7
2022
-1.8
2023
-5.0
2022
-0.9
2014
-4.1
2022
-7.3
2022
-4.0
2018
-2.2
2016
-2.6
2022
Monthly Seasonality over the period Feb 1985 - Jan 2024
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
0.86
63%
0.33
62%
0.60
67%
1.08
87%
0.70
62%
0.54
69%
1.15
67%
0.36
67%
-0.10
54%
0.39
69%
1.10
67%
1.65
79%
Best 6.0
1987
6.7
1986
6.5
1986
5.2
2020
5.9
1985
4.4
1986
5.5
2009
5.3
1986
4.2
1998
4.7
2011
7.0
2023
8.6
2008
Worst -6.7
2009
-5.9
2009
-7.5
2020
-5.7
2022
-3.6
2010
-5.0
2022
-2.5
2002
-5.2
1998
-7.3
2022
-11.5
2008
-2.7
1993
-2.6
2022
Monthly Seasonality over the period Feb 1985 - Jan 2024

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Mebane Faber GAA Global Asset Allocation Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

MEBANE FABER GAA GLOBAL ASSET ALLOCATION PORTFOLIO
Monthly Returns Distribution
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1985 - 31 January 2024 (~39 years)
239 Positive Months (66%) - 121 Negative Months (34%)
317 Positive Months (68%) - 152 Negative Months (32%)
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(Scroll down to see all data)
Investment Returns, up to December 2013, have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can find additional information on extended Data Sources here.

In particular, the series derived from equivalent datasets are:
  • VV - Vanguard Large-Cap (VV), up to December 2004
  • VEA - Vanguard FTSE Developed Markets (VEA), up to December 2007
  • EEM - iShares MSCI Emerging Markets (EEM), up to December 2003
  • VNQ - Vanguard Real Estate (VNQ), up to December 2004
  • LQD - iShares Investment Grade Corporate Bond (LQD), up to December 2002
  • BNDX - Vanguard Total International Bond (BNDX), up to December 2013
  • TLT - iShares 20+ Year Treasury Bond (TLT), up to December 2002
  • TIP - iShares TIPS Bond (TIP), up to December 2003
  • GLD - SPDR Gold Trust (GLD), up to December 2004
  • GSG - iShares S&P GSCI Commodity Indexed Trust (GSG), up to December 2006

Portfolio efficiency

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 Author Return Dev.Std Drawdown Stocks Bonds Comm
Shield Strategy Aim Ways +8.63 8.85 -19.36 42 38 20
Stocks/Bonds 40/60 Momentum +7.86 7.02 -21.11 40 60 0
In Saecula Saeculorum Fulvio Marchese +7.58 7.84 -20.39 45 45 10
Golden Butterfly Tyler +7.47 7.74 -17.79 40 40 20
Aim comfortable trip Aim Ways +7.34 7.60 -20.15 40 45 15
All Weather Portfolio Ray Dalio +7.22 7.43 -20.58 30 55 15
PISI Portfolio Davide Pisicchio +6.90 6.50 -18.36 30 60 10
Stocks/Bonds 40/60 +6.88 7.01 -19.17 40 60 0
Simplified Permanent Portfolio +6.77 6.90 -16.43 25 50 25
GAA Global Asset Allocation Mebane Faber +6.69 8.07 -24.91 40.5 49.5 10

Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and High Risk categorization.

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30 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Stocks/Bonds 60/40 Momentum +9.48 9.58 -32.52 60 40 0
Simple Path to Wealth JL Collins +8.83 11.77 -38.53 75 25 0
Shield Strategy Aim Ways +8.63 8.85 -19.36 42 38 20
Aim Bold Strategy Aim Ways +8.16 9.93 -30.09 45 40 15
Talmud Portfolio Roger Gibson +8.07 10.85 -40.17 66.7 33.3 0
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