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Mebane Faber Ivy Portfolio

Last updated Nov 29, 2022
Expense Ratio

Rank 49 of 54

0.22%
0.00%0.94%
Dividend Yield

Rank 31 of 54

2.11%
0.00%4.59%
10Y Annualized Return

Rank 46 of 54

5.88%
3.43%53.98%
Sharpe Ratio

Rank 31 of 54

-0.74
-1.170.32
Maximum Drawdown

Rank 29 of 54

-30.71%
-91.88%-19.55%

Mebane Faber Ivy PortfolioAsset Allocation


Mebane Faber Ivy PortfolioPerformance

The chart shows the growth of $10,000 invested in Mebane Faber Ivy Portfolio in Jan 2010 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $20,437 for a total return of roughly 104.37%. All prices are adjusted for splits and dividends. The portfolio is rebalanced Quarterly


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovember
-9.34%
-5.25%
Mebane Faber Ivy Portfolio
Benchmark (^GSPC)
Portfolio components

Mebane Faber Ivy PortfolioReturns

As of Nov 29, 2022, the Mebane Faber Ivy Portfolio returned -17.56% Year-To-Date and 5.88% of annualized return in the last 10 years.


1M6MYTD1Y5Y10Y
Benchmark1.45%-4.82%-16.96%-13.86%8.56%10.84%
Mebane Faber Ivy Portfolio2.36%-9.10%-9.72%-6.47%5.40%4.88%
VTI
Vanguard Total Stock Market ETF
1.53%-3.92%-16.94%-14.72%9.81%12.59%
IEF
iShares 7-10 Year Treasury Bond ETF
2.22%-6.38%-14.64%-14.77%-0.22%0.55%
GSG
iShares S&P GSCI Commodity-Indexed Trust
-3.87%-16.32%23.50%27.98%6.30%-4.24%
VEU
Vanguard FTSE All-World ex-US ETF
9.95%-5.53%-15.47%-12.66%1.63%4.48%
VNQ
Vanguard Real Estate ETF
1.97%-14.08%-25.31%-19.02%3.94%6.96%

Mebane Faber Ivy PortfolioSharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current Mebane Faber Ivy Portfolio Sharpe ratio is -0.74. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

The chart below displays rolling 12-month Sharpe Ratio.


-1.00-0.500.000.50JulyAugustSeptemberOctoberNovember
-0.42
-0.63
Mebane Faber Ivy Portfolio
Benchmark (^GSPC)
Portfolio components

Mebane Faber Ivy PortfolioDividends

Mebane Faber Ivy Portfolio granted a 2.10% dividend yield in the last twelve months.


PeriodTTM202120202019201820172016201520142013201220112010

Dividend yield

2.10%1.56%1.76%2.21%2.71%2.38%2.71%2.61%2.73%2.72%2.76%3.10%2.92%

Mebane Faber Ivy PortfolioDrawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%2022FebruaryMarchAprilMayJuneJulyAugustSeptemberOctoberNovember
-12.67%
-17.49%
Mebane Faber Ivy Portfolio
Benchmark (^GSPC)
Portfolio components

Mebane Faber Ivy PortfolioWorst Drawdowns

The table below shows the maximum drawdowns of the Mebane Faber Ivy Portfolio. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the Mebane Faber Ivy Portfolio is 27.66%, recorded on Mar 23, 2020. It took 174 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-27.66%Jan 21, 202044Mar 23, 2020174Nov 27, 2020218
-19.67%Jul 2, 2014407Feb 11, 2016393Sep 1, 2017800
-18.65%Mar 31, 2022137Oct 14, 2022
-16.23%May 2, 2011108Oct 3, 201198Feb 23, 2012206
-13.12%Aug 30, 201880Dec 24, 201859Mar 21, 2019139
-10.97%Apr 15, 201037Jun 7, 201077Sep 24, 2010114
-8.47%May 2, 201223Jun 4, 201252Aug 16, 201275
-8.13%May 22, 201323Jun 24, 201382Oct 18, 2013105
-7.8%Jan 20, 201014Feb 8, 201021Mar 10, 201035
-7.39%Jan 29, 20189Feb 8, 2018138Aug 27, 2018147

Mebane Faber Ivy PortfolioVolatility Chart

Current Mebane Faber Ivy Portfolio volatility is 19.03%. The chart below shows the rolling 10-day volatility. Volatility is a statistical measure showing how big price swings are in either direction. The higher asset volatility, the riskier it is, because the price movements are less predictable.


10.00%15.00%20.00%25.00%30.00%35.00%JulyAugustSeptemberOctoberNovember
10.31%
13.39%
Mebane Faber Ivy Portfolio
Benchmark (^GSPC)
Portfolio components