Consolidated Returns as of 30 June 2024
Holding the Mebane Faber Ivy Portfolio, how long should you stay invested to have high probability to obtain a positive return?
Considering all the available data source (~55 years), the longest period with a negative return lasted 93 months (from June 2008 to February 2016).
This means that every rolling period of 94 months or above has always granted a positive return.
To obtain comprehensive information, please consult the Mebane Faber Ivy Portfolio: ETF allocation and returns page.
Previous vs subsequent Returns
Considering all 10-year rolling periods, is there a relationship between past and future returns, at a given date?
In the following chart, we show how past returns (x-axis) and subsequent returns (y-axis) are related.
Neighboring data is aggregated and occurrences are indicated. It is possible to zoom by clicking or drawing the desired area
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The annualized return of the last 10 years has been 4.53% (updated at Jun 30, 2024).
Rolling Returns
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.
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Annualized Rolling Returns - 1 Year (12 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +10.84% |
+47.92%
Mar 2009 - Feb 2010 |
-42.92%
Mar 2008 - Feb 2009 |
16.17%
104 out of 643 |
US Inflation Adjusted | +6.70% |
+44.81%
Mar 2009 - Feb 2010 |
-42.92%
Mar 2008 - Feb 2009 |
24.42%
157 out of 643 |
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Annualized Rolling Returns - 2 Years (24 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +10.40% |
+33.83%
Mar 2009 - Feb 2011 |
-22.66%
Mar 2007 - Feb 2009 |
9.35%
59 out of 631 |
US Inflation Adjusted | +5.83% |
+31.03%
Mar 2009 - Feb 2011 |
-24.22%
Mar 2007 - Feb 2009 |
20.13%
127 out of 631 |
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Annualized Rolling Returns - 3 Years (36 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +9.57% |
+27.90%
Aug 1984 - Jul 1987 |
-11.80%
Mar 2006 - Feb 2009 |
5.82%
36 out of 619 |
US Inflation Adjusted | +5.40% |
+24.16%
Aug 1984 - Jul 1987 |
-13.68%
Mar 2006 - Feb 2009 |
14.86%
92 out of 619 |
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Annualized Rolling Returns - 4 Years (48 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +10.00% |
+23.38%
Aug 1982 - Jul 1986 |
-6.05%
Mar 2005 - Feb 2009 |
3.46%
21 out of 607 |
US Inflation Adjusted | +5.31% |
+19.85%
Aug 1982 - Jul 1986 |
-8.38%
Mar 2005 - Feb 2009 |
11.04%
67 out of 607 |
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Annualized Rolling Returns - 5 Years (60 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +9.84% |
+24.05%
Aug 1982 - Jul 1987 |
-2.73%
Mar 2004 - Feb 2009 |
0.84%
5 out of 595 |
US Inflation Adjusted | +5.11% |
+20.27%
Aug 1982 - Jul 1987 |
-5.23%
Mar 2004 - Feb 2009 |
5.71%
34 out of 595 |
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Annualized Rolling Returns - 6 Years (72 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +10.19% |
+20.21%
Oct 1981 - Sep 1987 |
-0.49%
Apr 2014 - Mar 2020 |
0.17%
1 out of 583 |
US Inflation Adjusted | +5.27% |
+16.35%
Aug 1982 - Jul 1988 |
-1.96%
Apr 2014 - Mar 2020 |
1.03%
6 out of 583 |
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Annualized Rolling Returns - 7 Years (84 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +9.72% |
+20.24%
Aug 1982 - Jul 1989 |
+0.72%
Apr 2013 - Mar 2020 |
0.00%
0 out of 571 |
US Inflation Adjusted | +5.35% |
+16.12%
Aug 1982 - Jul 1989 |
-0.79%
Apr 2013 - Mar 2020 |
0.35%
2 out of 571 |
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Annualized Rolling Returns - 8 Years (96 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +9.87% |
+18.16%
Oct 1981 - Sep 1989 |
+0.90%
Mar 2008 - Feb 2016 |
0.00%
0 out of 559 |
US Inflation Adjusted | +5.72% |
+13.92%
Aug 1982 - Jul 1990 |
-0.51%
Mar 2001 - Feb 2009 |
1.79%
10 out of 559 |
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Annualized Rolling Returns - 9 Years (108 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +9.99% |
+17.39%
Mar 1978 - Feb 1987 |
+1.26%
Nov 2007 - Oct 2016 |
0.00%
0 out of 547 |
US Inflation Adjusted | +5.86% |
+13.07%
Aug 1982 - Jul 1991 |
-0.35%
Mar 2007 - Feb 2016 |
0.91%
5 out of 547 |
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Annualized Rolling Returns - 10 Years (120 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +10.12% |
+17.53%
Sep 1977 - Aug 1987 |
+2.23%
Dec 2006 - Nov 2016 |
0.00%
0 out of 535 |
US Inflation Adjusted | +5.87% |
+12.06%
Aug 1982 - Jul 1992 |
+0.40%
Dec 2006 - Nov 2016 |
0.00%
0 out of 535 |
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Annualized Rolling Returns - 11 Years (132 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +9.94% |
+16.60%
Sep 1976 - Aug 1987 |
+1.92%
Jan 2008 - Dec 2018 |
0.00%
0 out of 523 |
US Inflation Adjusted | +5.96% |
+12.04%
Aug 1982 - Jul 1993 |
+0.28%
Jan 2008 - Dec 2018 |
0.00%
0 out of 523 |
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Annualized Rolling Returns - 12 Years (144 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +10.04% |
+16.41%
Oct 1977 - Sep 1989 |
+1.37%
Apr 2008 - Mar 2020 |
0.00%
0 out of 511 |
US Inflation Adjusted | +5.87% |
+11.01%
Oct 1981 - Sep 1993 |
-0.23%
Apr 2008 - Mar 2020 |
0.39%
2 out of 511 |
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Annualized Rolling Returns - 13 Years (156 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +9.98% |
+16.44%
Sep 1974 - Aug 1987 |
+1.64%
Apr 2007 - Mar 2020 |
0.00%
0 out of 499 |
US Inflation Adjusted | +5.87% |
+10.62%
Aug 1984 - Jul 1997 |
-0.14%
Apr 2007 - Mar 2020 |
0.20%
1 out of 499 |
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Annualized Rolling Returns - 14 Years (168 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +9.95% |
+15.69%
Jan 1976 - Dec 1989 |
+2.45%
Apr 2006 - Mar 2020 |
0.00%
0 out of 487 |
US Inflation Adjusted | +5.89% |
+10.65%
Jul 1982 - Jun 1996 |
+0.59%
Apr 2006 - Mar 2020 |
0.00%
0 out of 487 |
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Annualized Rolling Returns - 15 Years (180 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +9.87% |
+15.77%
Oct 1974 - Sep 1989 |
+3.10%
Jun 2008 - May 2023 |
0.00%
0 out of 475 |
US Inflation Adjusted | +6.18% |
+11.15%
Aug 1982 - Jul 1997 |
+0.75%
Oct 2007 - Sep 2022 |
0.00%
0 out of 475 |
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Annualized Rolling Returns - 16 Years (192 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +10.04% |
+14.92%
Aug 1971 - Jul 1987 |
+3.09%
Nov 2007 - Oct 2023 |
0.00%
0 out of 463 |
US Inflation Adjusted | +6.62% |
+10.37%
Jul 1982 - Jun 1998 |
+0.64%
Nov 2007 - Oct 2023 |
0.00%
0 out of 463 |
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Annualized Rolling Returns - 17 Years (204 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +10.06% |
+15.42%
Jul 1970 - Jun 1987 |
+3.78%
Nov 2006 - Oct 2023 |
0.00%
0 out of 451 |
US Inflation Adjusted | +6.69% |
+9.92%
Jul 1982 - Jun 1999 |
+1.24%
Nov 2006 - Oct 2023 |
0.00%
0 out of 451 |
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Annualized Rolling Returns - 18 Years (216 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +10.31% |
+14.75%
Jul 1970 - Jun 1988 |
+4.48%
Oct 2005 - Sep 2023 |
0.00%
0 out of 439 |
US Inflation Adjusted | +6.73% |
+10.20%
Jul 1982 - Jun 2000 |
+1.98%
Oct 2005 - Sep 2023 |
0.00%
0 out of 439 |
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Annualized Rolling Returns - 19 Years (228 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +10.51% |
+14.82%
Jul 1970 - Jun 1989 |
+4.88%
Nov 2004 - Oct 2023 |
0.00%
0 out of 427 |
US Inflation Adjusted | +6.60% |
+9.56%
Oct 1981 - Sep 2000 |
+2.27%
Nov 2004 - Oct 2023 |
0.00%
0 out of 427 |
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Annualized Rolling Returns - 20 Years (240 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +10.58% |
+14.41%
Jul 1970 - Jun 1990 |
+4.71%
Apr 2000 - Mar 2020 |
0.00%
0 out of 415 |
US Inflation Adjusted | +6.67% |
+8.84%
Apr 1980 - Mar 2000 |
+2.57%
Apr 2000 - Mar 2020 |
0.00%
0 out of 415 |
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To obtain comprehensive information, please consult the Mebane Faber Ivy Portfolio: ETF allocation and returns page.