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Mebane Faber Ivy Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


Performance

Performance Chart


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The earliest data available for this chart is May 5, 2025, corresponding to the inception date of GSG

Returns By Period

As of May 11, 2025, the Mebane Faber Ivy Portfolio returned 1.92% Year-To-Date and 5.51% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.77%5.53%-5.60%8.37%14.61%10.35%
Mebane Faber Ivy PortfolioN/AN/AN/AN/AN/AN/A
VTI
Vanguard Total Stock Market ETF
N/AN/AN/AN/AN/AN/A
IEF
iShares 7-10 Year Treasury Bond ETF
3.34%1.23%2.07%5.84%-2.84%0.91%
GSG
iShares S&P GSCI Commodity-Indexed Trust
N/AN/AN/AN/AN/AN/A
VEU
Vanguard FTSE All-World ex-US ETF
N/AN/AN/AN/AN/AN/A
VNQ
Vanguard Real Estate ETF
N/AN/AN/AN/AN/AN/A
*Annualized

Monthly Returns

The table below presents the monthly returns of Mebane Faber Ivy Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20250.40%0.40%

Expense Ratio

Mebane Faber Ivy Portfolio has an expense ratio of 0.22%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.


Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Mebane Faber Ivy Portfolio is 56, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Mebane Faber Ivy Portfolio is 5656
Overall Rank
The Sharpe Ratio Rank of Mebane Faber Ivy Portfolio is 5050
Sharpe Ratio Rank
The Sortino Ratio Rank of Mebane Faber Ivy Portfolio is 5151
Sortino Ratio Rank
The Omega Ratio Rank of Mebane Faber Ivy Portfolio is 5353
Omega Ratio Rank
The Calmar Ratio Rank of Mebane Faber Ivy Portfolio is 5858
Calmar Ratio Rank
The Martin Ratio Rank of Mebane Faber Ivy Portfolio is 6969
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTI
Vanguard Total Stock Market ETF
IEF
iShares 7-10 Year Treasury Bond ETF
0.841.251.140.281.76
GSG
iShares S&P GSCI Commodity-Indexed Trust
VEU
Vanguard FTSE All-World ex-US ETF
VNQ
Vanguard Real Estate ETF

There isn't enough data available to calculate the Sharpe ratio for Mebane Faber Ivy Portfolio. This metric is based on the past 12 months of trading data. Please check back later for updated information.


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Dividends

Dividend yield

Mebane Faber Ivy Portfolio provided a 2.41% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.41%0.72%0.58%0.39%0.17%0.22%0.42%0.45%0.36%0.36%0.38%0.41%
VTI
Vanguard Total Stock Market ETF
1.35%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IEF
iShares 7-10 Year Treasury Bond ETF
3.71%3.62%2.91%1.96%0.83%1.08%2.08%2.24%1.82%1.81%1.90%2.05%
GSG
iShares S&P GSCI Commodity-Indexed Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VEU
Vanguard FTSE All-World ex-US ETF
2.90%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VNQ
Vanguard Real Estate ETF
4.07%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


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Worst Drawdowns

The table below displays the maximum drawdowns of the Mebane Faber Ivy Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Mebane Faber Ivy Portfolio was 0.20%, occurring on May 7, 2025. Recovery took 2 trading sessions.

The current Mebane Faber Ivy Portfolio drawdown is 2.47%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-0.2%May 6, 20252May 7, 20252May 9, 20254

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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Diversification

Diversification Metrics


Number of Effective Assets

The portfolio contains 5 assets, with an effective number of assets of 5.00, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

^GSPCVNQVTIGSGIEFVEUPortfolio
^GSPC1.000.201.000.20-0.40-0.600.00
VNQ0.201.000.20-0.600.000.200.40
VTI1.000.201.000.20-0.40-0.600.00
GSG0.20-0.600.201.00-0.800.200.40
IEF-0.400.00-0.40-0.801.00-0.40-0.80
VEU-0.600.20-0.600.20-0.401.000.80
Portfolio0.000.400.000.40-0.800.801.00
The correlation results are calculated based on daily price changes starting from May 6, 2025

AI Insight on Diversification


The portfolio is moderately diversified with a mix of asset classes that exhibit varying degrees of correlation. The correlation matrix reveals that certain positions, particularly VEU (international equities) and VTI (U.S. equities), have a very high correlation of 0.84, and both are strongly correlated with the portfolio at 0.85. VNQ (real estate) also shows a high correlation with VTI (0.69) and VEU (0.58), and a strong correlation with the portfolio (0.77). These high correlations among equity-related assets suggest some concentration risk within the equity segment, which could reduce diversification benefits.

On the other hand, IEF (U.S. Treasury bonds) has low to negative correlations with most other positions, ranging from -0.29 with VTI to -0.08 with VNQ, and a modest negative correlation with the portfolio at -0.15. This low and negative correlation helps to provide diversification and reduce portfolio volatility, serving as a stabilizing component.

GSG (commodities) has moderate positive correlations with equity positions (around 0.34 to 0.41) and a correlation of 0.6 with the portfolio, indicating it contributes some diversification but is somewhat aligned with equity movements.

The portfolio’s strongest correlations are with VTI and VEU, indicating these two positions dominate the portfolio’s behavior and likely represent the largest weights or most influential assets. The presence of IEF with negative correlations adds a valuable diversification layer, but the clustering of equity and real estate assets with high inter-correlations suggests the portfolio leans toward equity risk factors.

Overall, the portfolio is not highly concentrated but shows moderate concentration in equity-related assets. It benefits from diversification through fixed income (IEF) and commodities (GSG), but the strong correlations among equity and real estate holdings limit the breadth of diversification. This structure can lead to higher sensitivity to equity market movements despite some risk mitigation from bonds and commodities.

Last updated May 11, 2025