Mebane Faber Ivy Portfolio To EUR: ETF allocation and returns

Data Source: from January 1975 to April 2024 (~49 years)
Consolidated Returns as of 30 April 2024
Currency: EUR

The Mebane Faber Ivy Portfolio To EUR is a Very High Risk portfolio and can be implemented with 4 ETFs.

It's exposed for 60% on the Stock Market and for 20% on Commodities.

In the last 30 Years, the Mebane Faber Ivy Portfolio To EUR obtained a 7.08% compound annual return, with a 11.00% standard deviation.

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Asset Allocation and ETFs

The Mebane Faber Ivy Portfolio To EUR has the following asset allocation:

60% Stocks
20% Fixed Income
20% Commodities

The Mebane Faber Ivy Portfolio To EUR can be implemented with the following ETFs:

Weight
(%)
Investment Themes (Orig.Currency) ETF
Ticker
ETF
Currency
ETF Name
40.00 Equity, Global, Large Cap (Mix)
IUSQ.DE
EUR iShares MSCI ACWI
20.00 Real Estate, U.S. (USD)
IQQ7.DE
EUR iShares US Property Yield
20.00 Bond, U.S., All-Term (USD)
EUNX.DE
EUR iShares US Aggregate Bond
20.00 Commodity, Broad Diversified (USD)
UIQK.DE
EUR UBS CMCI Composite SF

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 Apr 30, 2024

The Mebane Faber Ivy Portfolio To EUR guaranteed the following returns.

Returns are calculated in EUR, assuming:
MEBANE FABER IVY PORTFOLIO TO EUR
Consolidated returns as of 30 April 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Apr 30, 2024
  1 Day Time ET(*) May 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~49Y)
Mebane Faber Ivy Portfolio To EUR n.a. n.a. -1.03 11.82 12.71 7.71 7.80 7.08 9.83
Euro Inflation Adjusted return -1.60 10.48 10.09 3.86 5.37 4.91 7.09
Components
IUSQ.DE
EUR iShares MSCI ACWI n.a. - n.a. -1.69 19.44 22.29 10.65 11.01 6.68 9.97
IQQ7.DE
EUR iShares US Property Yield n.a. - n.a. -4.65 13.08 4.46 1.97 6.74 8.10 11.83
EUNX.DE
EUR iShares US Aggregate Bond n.a. - n.a. -1.44 3.45 1.65 0.56 3.61 4.48 6.74
UIQK.DE
EUR UBS CMCI Composite SF n.a. - n.a. 4.17 3.07 12.13 11.99 4.09 5.10 6.64
Returns over 1 year are annualized | Available data source: since Jan 1975
(*) Eastern Time (ET - America/New York)
Euro Inflation is updated to Apr 2024. Current inflation (annualized) is 1Y: 2.38% , 5Y: 3.70% , 10Y: 2.30% , 30Y: 2.07%

Capital Growth as of Apr 30, 2024

An investment of 1€, since May 1994, now would be worth 7.79€, with a total return of 679.38% (7.08% annualized).

The Inflation Adjusted Capital now would be 4.22€, with a net total return of 321.72% (4.91% annualized).
An investment of 1€, since January 1975, now would be worth 101.94€, with a total return of 10094.37% (9.83% annualized).

The Inflation Adjusted Capital now would be 29.31€, with a net total return of 2831.11% (7.09% annualized).

Portfolio Metrics as of Apr 30, 2024

Metrics of Mebane Faber Ivy Portfolio To EUR, updated as of 30 April 2024.

Metrics are calculated based on monthly returns, assuming:
MEBANE FABER IVY PORTFOLIO TO EUR
Advanced Metrics
Data Source: 1 January 1975 - 30 April 2024 (~49 years)
Swipe left to see all data
Metrics as of Apr 30, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~49Y)
Investment Return (%) -1.03 3.17 11.82 12.71 7.82 7.71 7.80 6.44 7.08 9.83
Infl. Adjusted Return (%) details -1.60 1.17 10.48 10.09 2.13 3.86 5.37 4.24 4.91 7.09
Euro Inflation (%) 0.58 1.98 1.21 2.38 5.57 3.70 2.30 2.11 2.07 2.56
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -4.15 -10.22 -17.00 -17.00 -37.43 -37.43 -37.43
Start to Recovery (# months) details 5 22 14 14 43 43 43
Start (yyyy mm) 2023 08 2022 05 2020 01 2020 01 2007 06 2007 06 2007 06
Start to Bottom (# months) 3 8 3 3 22 22 22
Bottom (yyyy mm) 2023 10 2022 12 2020 03 2020 03 2009 03 2009 03 2009 03
Bottom to End (# months) 2 14 11 11 21 21 21
End (yyyy mm) 2023 12 2024 02 2021 02 2021 02 2010 12 2010 12 2010 12
Longest Drawdown Depth (%)
same as
deepest

same as
deepest
-10.22 -10.22
same as
deepest
-26.14 -26.14
Start to Recovery (# months) details 22 22 56 56
Start (yyyy mm) 2023 08 2022 05 2022 05 2022 05 2007 06 2000 11 2000 11
Start to Bottom (# months) 3 8 8 8 22 29 29
Bottom (yyyy mm) 2023 10 2022 12 2022 12 2022 12 2009 03 2003 03 2003 03
Bottom to End (# months) 2 14 14 14 21 27 27
End (yyyy mm) 2023 12 2024 02 2024 02 2024 02 2010 12 2005 06 2005 06
Longest negative period (# months) details 5 24 24 60 68 113 113
Period Start (yyyy mm) 2023 06 2021 11 2021 11 2015 04 2006 02 2000 09 2000 09
Period End (yyyy mm) 2023 10 2023 10 2023 10 2020 03 2011 09 2010 01 2010 01
Annualized Return (%) -0.30 -0.22 -0.22 -0.20 -0.10 -0.18 -0.18
Deepest Drawdown Depth (%) -5.06 -15.56 -17.40 -17.40 -40.08 -40.08 -40.08
Start to Recovery (# months) details 5 24* 13 13 66 66 66
Start (yyyy mm) 2023 08 2022 05 2020 02 2020 02 2007 02 2007 02 2007 02
Start to Bottom (# months) 3 18 2 2 26 26 26
Bottom (yyyy mm) 2023 10 2023 10 2020 03 2020 03 2009 03 2009 03 2009 03
Bottom to End (# months) 2 6 11 11 40 40 40
End (yyyy mm) 2023 12 - 2021 02 2021 02 2012 07 2012 07 2012 07
Longest Drawdown Depth (%)
same as
deepest

same as
deepest
-15.56 -15.56
same as
deepest

same as
deepest

same as
deepest
Start to Recovery (# months) details 24* 24*
Start (yyyy mm) 2023 08 2022 05 2022 05 2022 05 2007 02 2007 02 2007 02
Start to Bottom (# months) 3 18 18 18 26 26 26
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2009 03 2009 03 2009 03
Bottom to End (# months) 2 6 6 6 40 40 40
End (yyyy mm) 2023 12 - - - 2012 07 2012 07 2012 07
Longest negative period (# months) details 6 32* 32* 62 76 140 140
Period Start (yyyy mm) 2023 05 2021 09 2021 09 2015 02 2005 08 1997 08 1997 08
Period End (yyyy mm) 2023 10 2024 04 2024 04 2020 03 2011 11 2009 03 2009 03
Annualized Return (%) -0.70 -0.39 -0.39 -0.26 -0.03 -0.62 -0.62
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 6.62 9.66 10.98 10.16 10.56 11.00 12.03
Sharpe Ratio 1.12 0.53 0.53 0.64 0.48 0.44 0.48
Sortino Ratio 1.46 0.75 0.68 0.86 0.65 0.60 0.67
Ulcer Index 1.28 4.90 5.77 5.35 8.68 9.47 8.60
Ratio: Return / Standard Deviation 1.92 0.81 0.70 0.77 0.61 0.64 0.82
Ratio: Return / Deepest Drawdown 3.06 0.77 0.45 0.46 0.17 0.19 0.26
% Positive Months details 66% 58% 60% 61% 60% 60% 61%
Positive Months 8 21 36 74 145 218 362
Negative Months 4 15 24 46 95 142 230
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 7.80 10.74 11.07 21.75
Worst 10 Years Return (%) - Annualized 4.04 1.00 1.00
Best 10 Years Return (%) - Annualized 5.37 9.31 9.31 16.92
Worst 10 Years Return (%) - Annualized 2.56 -1.03 -1.03
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 47.49 23.65 21.53 11.07 8.83 7.08
Worst Rolling Return (%) - Annualized -30.82 -13.12 -3.72 1.00 3.51
% Positive Periods 72% 83% 96% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 78.58 26.59 16.57 8.51 5.02 6.79
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.57 5.18
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 45.33 21.57 19.57 9.31 6.89 4.91
Worst Rolling Return (%) - Annualized -31.63 -14.85 -5.68 -1.03 1.89
% Positive Periods 67% 80% 84% 95% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 78.58 26.59 16.57 8.51 5.02 6.79
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.57 5.18
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1975 - Apr 2024)
Best Rolling Return (%) - Annualized 55.53 37.04 31.25 21.75 14.69 12.09
Worst Rolling Return (%) - Annualized -30.82 -13.12 -3.72 1.00 3.51 6.52
% Positive Periods 75% 88% 98% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 78.58 26.59 16.57 8.51 5.02 5.58
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.57 4.10
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 51.21 32.96 26.07 16.92 11.82 9.08
Worst Rolling Return (%) - Annualized -31.63 -14.85 -5.68 -1.03 1.89 4.34
% Positive Periods 70% 85% 90% 97% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 78.58 26.59 16.57 8.51 5.02 5.58
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.57 4.10
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 30 April 2024
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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 IVY PORTFOLIO TO EUR
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 May 1994 - 30 April 2024 (30 Years)
Data Source: 1 January 1975 - 30 April 2024 (~49 years)
Inflation Adjusted:
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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 IVY PORTFOLIO TO EUR
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 May 1994 - 30 April 2024 (30 Years)
Data Source: 1 January 1975 - 30 April 2024 (~49 years)
Inflation Adjusted:

If you need a deeper detail about rolling returns, please refer to the Mebane Faber Ivy Portfolio To EUR: Rolling Returns page.

Seasonality

In which months is it better to invest in Mebane Faber Ivy Portfolio To EUR?

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.
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Monthly Returns

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

MEBANE FABER IVY PORTFOLIO TO EUR
Monthly Returns Distribution
Data Source: 1 May 1994 - 30 April 2024 (30 Years)
Data Source: 1 January 1975 - 30 April 2024 (~49 years)
218 Positive Months (61%) - 142 Negative Months (39%)
362 Positive Months (61%) - 230 Negative Months (39%)
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Investment Returns, up to May 2014, 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.

Returns are calculated based on the performance of the original US asset, adjusted for actual currency exchange rates.

In particular, the series derived from equivalent datasets are:
  • IUSQ.DE - iShares MSCI ACWI (IUSQ.DE), up to March 2012
  • IQQ7.DE - iShares US Property Yield (IQQ7.DE), up to March 2007
  • EUNX.DE - iShares US Aggregate Bond (EUNX.DE), up to January 2012
  • UIQK.DE - UBS CMCI Composite SF (UIQK.DE), up to May 2014
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