Mebane Faber Ivy vs US Stocks Momentum Portfolio Comparison

Last Update: 31 March 2024

The Mebane Faber Ivy Portfolio obtained a 7.10% compound annual return, with a 11.56% standard deviation, in the last 30 Years.

The US Stocks Momentum Portfolio obtained a 12.95% compound annual return, with a 15.35% standard deviation, in the last 30 Years.

Summary

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Mebane Faber Ivy Portfolio US Stocks Momentum Portfolio
Portfolio Risk Very High Very High
Asset Allocation Stocks 60% 100%
Fixed Income 20% 0%
Commodities 20% 0%
30 Years Stats Return +7.10% +12.95%
Std Dev 11.56% 15.35%
Max Drawdown -47.39% -53.85%
All time Stats
(Since Jan 1982)		 Return +9.07% +13.78%
Std Dev 10.74% 15.37%
Max Drawdown -47.39% -53.85%
Last Update: 31 March 2024

Historical Returns as of Mar 31, 2024

Comparison period starts from January 1982

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1M 6M 1Y 5Y 10Y 30Y MAX
Mebane Faber Ivy Portfolio +2.57 +11.64 +12.46 +7.09 +4.89 +7.10 +9.07
US Stocks Momentum Portfolio +2.91 +34.54 +36.11 +12.19 +13.40 +12.95 +13.78
Return over 1 year are annualized.

Capital Growth as of Mar 31, 2024

Mebane Faber Ivy Portfolio: an investment of 1$, since April 1994, now would be worth 7.83$, with a total return of 682.92% (7.10% annualized).

US Stocks Momentum Portfolio: an investment of 1$, since April 1994, now would be worth 38.63$, with a total return of 3762.72% (12.95% annualized).

Mebane Faber Ivy Portfolio: an investment of 1$, since January 1982, now would be worth 39.12$, with a total return of 3812.11% (9.07% annualized).

US Stocks Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 233.67$, with a total return of 23266.82% (13.78% annualized).

Drawdowns

Drawdown comparison chart since April 1994.

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Mebane Faber Ivy Portfolio
US Stocks Momentum Portfolio
Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index		 Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index
-53.85% Nov 2007 Feb 2009 (16) Jan 2013 (63) 26.01
-47.39% Jun 2008 Feb 2009 (9) Jan 2013 (56) 20.27
-43.19% Sep 2000 Sep 2002 (25) Jul 2005 (59) 24.89
-30.16% Nov 2021 Sep 2022 (11) Mar 2024 (29) 20.09
-21.77% Jan 2020 Mar 2020 (3) Dec 2020 (12) 10.50
-17.90% Feb 2020 Mar 2020 (2) Jun 2020 (5) 8.65
-16.46% Apr 2022 Sep 2022 (6) Mar 2024 (24) 8.12
-15.89% Jul 2014 Feb 2016 (20) Jul 2017 (37) 7.01
-15.44% Oct 2018 Dec 2018 (3) Jun 2019 (9) 7.83
-13.25% Apr 1998 Aug 1998 (5) Apr 1999 (13) 5.92
-11.51% Aug 1998 Aug 1998 (1) Oct 1998 (3) 6.32
-11.43% Feb 2001 Oct 2001 (9) May 2003 (28) 6.71
-11.00% Oct 2018 Dec 2018 (3) Apr 2019 (7) 5.09
-7.82% Sep 2020 Oct 2020 (2) Nov 2020 (3) 4.35
-7.78% Aug 2015 Sep 2015 (2) May 2016 (10) 3.71
-6.40% Jan 2000 Feb 2000 (2) Mar 2000 (3) 4.05
-6.08% Nov 2007 Jan 2008 (3) Apr 2008 (6) 3.80
-5.89% Apr 2004 Apr 2004 (1) Sep 2004 (6) 3.24
-5.03% Sep 1994 Nov 1994 (3) Apr 1995 (8) 2.56
-5.01% Apr 2000 May 2000 (2) Aug 2000 (5) 3.38

Drawdown comparison chart since January 1982.

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Mebane Faber Ivy Portfolio
US Stocks Momentum Portfolio
Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index		 Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index
-53.85% Nov 2007 Feb 2009 (16) Jan 2013 (63) 26.01
-47.39% Jun 2008 Feb 2009 (9) Jan 2013 (56) 20.27
-43.19% Sep 2000 Sep 2002 (25) Jul 2005 (59) 24.89
-30.55% Sep 1987 Nov 1987 (3) Jul 1989 (23) 18.49
-30.16% Nov 2021 Sep 2022 (11) Mar 2024 (29) 20.09
-21.77% Jan 2020 Mar 2020 (3) Dec 2020 (12) 10.50
-17.90% Feb 2020 Mar 2020 (2) Jun 2020 (5) 8.65
-16.46% Apr 2022 Sep 2022 (6) Mar 2024 (24) 8.12
-15.89% Jul 2014 Feb 2016 (20) Jul 2017 (37) 7.01
-15.44% Oct 2018 Dec 2018 (3) Jun 2019 (9) 7.83
-13.25% Apr 1998 Aug 1998 (5) Apr 1999 (13) 5.92
-12.56% Jun 1990 Sep 1990 (4) Jan 1991 (8) 7.07
-12.00% Jul 1983 Jul 1984 (13) Jan 1985 (19) 5.40
-11.51% Aug 1998 Aug 1998 (1) Oct 1998 (3) 6.32
-11.43% Feb 2001 Oct 2001 (9) May 2003 (28) 6.71
-11.40% Sep 1987 Nov 1987 (3) Jun 1988 (10) 5.94
-11.00% Oct 2018 Dec 2018 (3) Apr 2019 (7) 5.09
-7.82% Sep 2020 Oct 2020 (2) Nov 2020 (3) 4.35
-7.79% Sep 1986 Sep 1986 (1) Nov 1986 (3) 4.08
-7.78% Aug 2015 Sep 2015 (2) May 2016 (10) 3.71

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
+4.31%
 -0.27%
+19.52%
 0.00%
2023
+10.72%
 -7.72%
+9.16%
 -6.59%
2022
-10.08%
 -16.46%
-18.26%
 -26.94%
2021
+22.27%
 -4.02%
+13.37%
 -4.41%
2020
+2.25%
 -21.77%
+29.85%
 -17.90%
2019
+21.16%
 -3.82%
+27.26%
 -2.20%
2018
-7.88%
 -11.00%
-1.66%
 -15.44%
2017
+12.20%
 -0.65%
+37.50%
 0.00%
2016
+7.80%
 -4.52%
+5.00%
 -5.03%
2015
-7.10%
 -9.47%
+8.93%
 -7.78%
2014
+2.25%
 -5.17%
+14.61%
 -4.38%
2013
+9.20%
 -3.80%
+34.58%
 -2.81%
2012
+11.11%
 -6.84%
+14.94%
 -6.80%
2011
+0.04%
 -15.74%
+5.93%
 -14.50%
2010
+14.19%
 -9.36%
+18.02%
 -12.13%
2009
+22.28%
 -18.34%
+17.45%
 -19.56%
2008
-31.26%
 -38.00%
-40.96%
 -41.23%
2007
+8.59%
 -3.39%
+17.64%
 -2.82%
2006
+15.77%
 -2.05%
+10.56%
 -3.64%
2005
+11.34%
 -3.60%
+19.14%
 -1.25%
2004
+17.00%
 -5.89%
+16.70%
 -2.66%
2003
+28.11%
 -2.13%
+25.99%
 -4.14%
2002
+3.82%
 -5.15%
-12.28%
 -22.85%
2001
-8.45%
 -11.43%
-17.35%
 -26.75%
2000
+12.26%
 -2.94%
-9.61%
 -13.35%
1999
+17.97%
 -2.78%
+40.42%
 -1.57%
1998
-0.93%
 -13.25%
+48.76%
 -11.51%
1997
+8.87%
 -3.23%
+36.86%
 -4.89%
1996
+19.40%
 -2.64%
+29.83%
 -3.81%
1995
+18.09%
 -1.03%
+42.32%
 -0.02%
1994
+0.77%
 -6.49%
-1.09%
 -7.23%
1993
+11.51%
 -5.04%
+13.22%
 -2.14%
1992
+4.09%
 -3.09%
+4.32%
 -3.35%
1991
+17.33%
 -3.31%
+36.90%
 -4.00%
1990
-1.70%
 -7.21%
+1.49%
 -12.56%
1989
+20.35%
 -1.48%
+42.76%
 -1.57%
1988
+18.35%
 -1.99%
+7.07%
 -5.33%
1987
+10.95%
 -11.40%
+2.34%
 -30.55%
1986
+22.86%
 -3.01%
+22.70%
 -7.79%
1985
+26.65%
 -0.47%
+32.38%
 -3.74%
1984
+8.40%
 -3.66%
-0.83%
 -10.30%
1983
+19.70%
 -1.57%
+16.95%
 -3.61%
1982
+16.68%
 -4.00%
+30.44%
 -4.93%