Mebane Faber Ivy Portfolio

Asset Allocation

Position	Category/Sector	Target Weight
IEF iShares 7-10 Year Treasury Bond ETF	Government Bonds	20%
GSG iShares S&P GSCI Commodity-Indexed Trust	Commodities	20%
VTI Vanguard Total Stock Market ETF	Large Cap Blend Equities	20%
VEU Vanguard FTSE All-World ex-US ETF	Foreign Large Cap Equities	20%
VNQ Vanguard Real Estate ETF	REIT	20%

Benchmark

S&P 500 Index

Rebalance

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Mebane Faber Ivy Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Every 3 months.

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Returns By Period

As of Jul 26, 2026, the Mebane Faber Ivy Portfolio returned 17.02% Year-To-Date and 8.59% of annualized return in the last 10 years.

Position	1D	1M	6M	YTD	1Y	3Y*	5Y*	10Y*	ALL TIME*
Benchmark S&P 500 Index	0.05%	0.74%	7.18%	8.28%	16.02%	17.51%	10.93%	13.07%	8.07%
Portfolio Mebane Faber Ivy Portfolio	0.17%	2.96%	13.32%	17.02%	22.08%	13.81%	8.37%	8.59%	6.01%
Portfolio components:
GSG iShares S&P GSCI Commodity-Indexed Trust	-1.12%	13.47%	32.35%	42.11%	46.16%	15.32%	15.35%	8.71%	-2.03%
IEF iShares 7-10 Year Treasury Bond ETF	0.19%	-1.53%	-1.14%	-1.36%	2.03%	2.60%	-1.71%	0.44%	3.35%
VEU Vanguard FTSE All-World ex-US ETF	-0.23%	-2.01%	6.01%	11.64%	22.53%	16.94%	8.74%	9.53%	5.38%
VNQ Vanguard Real Estate ETF	2.15%	3.72%	13.53%	16.16%	14.15%	9.58%	2.91%	5.10%	7.82%
VTI Vanguard Total Stock Market ETF	0.03%	0.51%	7.76%	9.46%	17.65%	18.70%	11.46%	14.45%	9.55%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Mar 8, 2007, Mebane Faber Ivy Portfolio's average daily return is +0.03%, while the average monthly return is +0.56%. At this rate, an investment would double in approximately 10.3 years.

Historically, 64% of months were positive and 36% were negative. The best month was Apr 2009 with a return of +10.4%, while the worst month was Oct 2008 at -20.8%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 6 months.

On a daily basis, Mebane Faber Ivy Portfolio closed higher 54% of trading days. The best single day was Oct 28, 2008 with a return of +6.9%, while the worst single day was Mar 16, 2020 at -8.6%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	4.02%	2.90%	0.94%	6.68%	0.27%	-1.47%	2.77%						17.02%
2025	2.43%	1.03%	-0.99%	-1.67%	2.57%	3.09%	0.86%	2.28%	1.69%	0.66%	0.86%	-0.26%	13.16%
2024	-0.22%	1.84%	2.79%	-3.39%	2.66%	1.30%	2.49%	1.91%	1.86%	-2.12%	2.18%	-2.67%	8.67%
2023	5.88%	-4.05%	1.26%	0.61%	-2.91%	4.01%	3.94%	-1.97%	-2.77%	-3.06%	6.01%	4.33%	11.00%
2022	-1.47%	0.20%	3.16%	-3.91%	0.68%	-6.33%	4.74%	-4.22%	-8.83%	3.93%	5.37%	-3.27%	-10.57%
2021	0.74%	3.41%	1.22%	4.91%	1.45%	1.97%	1.61%	0.74%	-1.90%	4.39%	-3.53%	4.76%	21.24%

Benchmark Metrics

Mebane Faber Ivy Portfolio has an annualized alpha of -0.17%, beta of 0.67, and R2 of 0.80 versus S&P 500 Index. Calculated based on daily prices since March 08, 2007.

This portfolio participated in 77.03% of S&P 500 Index downside but only 66.63% of its upside - more exposed to losses than it benefited from rallies.
Beta of 0.67 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.

Alpha: -0.17%

Beta: 0.67

R²: 0.80

Upside Capture: 66.63%

Downside Capture: 77.03%

See how alpha, beta & R² have trended over time →

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.

GSG

iShares S&P GSCI Commodity-Indexed Trust

IEF

iShares 7-10 Year Treasury Bond ETF

VNQ

Vanguard Real Estate ETF

VEU

Vanguard FTSE All-World ex-US ETF

VTI

Vanguard Total Stock Market ETF

Return for Risk

Risk / Return Rank

Mebane Faber Ivy Portfolio ranks 96 for risk / return — in the top 96% of Portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for Mebane Faber Ivy Portfolio and compares them with S&P 500 Index.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.92	1.31	+1.62
Sortino ratioReturn per unit of downside risk	3.99	1.84	+2.15
Omega ratioGain probability vs. loss probability	1.54	1.24	+0.31
Calmar ratioReturn relative to maximum drawdown	6.92	1.82	+5.10
Martin ratioReturn relative to average drawdown	22.19	7.79	+14.39

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
GSG iShares S&P GSCI Commodity-Indexed Trust	74	1.90	2.53	1.33	2.39	7.82
IEF iShares 7-10 Year Treasury Bond ETF	21	0.49	0.74	1.08	0.56	1.35
VEU Vanguard FTSE All-World ex-US ETF	57	1.34	1.89	1.25	1.96	7.22
VNQ Vanguard Real Estate ETF	43	1.01	1.48	1.18	1.71	5.39
VTI Vanguard Total Stock Market ETF	61	1.41	1.99	1.25	2.05	8.88

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk. Learn how to interpret the Sharpe ratio.

The current Mebane Faber Ivy Portfolio Sharpe ratio is 2.92 as of Jul 26, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.09 to 1.91, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Mebane Faber Ivy Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

Mebane Faber Ivy Portfolio provided a 2.21% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.21%	2.38%	2.40%	2.32%	2.13%	1.54%	1.68%	2.07%	2.46%	2.08%	2.30%	2.15%
Portfolio components:
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%
IEF iShares 7-10 Year Treasury Bond ETF	3.95%	3.77%	3.62%	2.91%	1.96%	0.83%	1.08%	2.08%	2.24%	1.82%	1.81%	1.90%
VEU Vanguard FTSE All-World ex-US ETF	2.59%	3.09%	3.24%	3.32%	3.12%	3.08%	2.00%	3.10%	3.27%	2.66%	2.96%	2.95%
VNQ Vanguard Real Estate ETF	3.45%	3.92%	3.85%	3.95%	3.91%	2.56%	3.93%	3.39%	4.74%	4.23%	4.82%	3.92%
VTI Vanguard Total Stock Market ETF	1.07%	1.12%	1.27%	1.44%	1.66%	1.21%	1.42%	1.78%	2.04%	1.71%	1.92%	1.98%

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 48.90%, occurring on Mar 5, 2009. Recovery took 540 trading sessions.

Drawdown	Fall	Recovery	Underwater	Related event
-48.90%Mar 2009	9mo 19d	2y 1mo	2y 11moMay 2008 - Apr 2011	Financial crisis2007–2009
-27.66%Mar 2020	2mo 2d	8mo 15d	10mo 17dJan 2020 - Dec 2020	COVID crash2020
-19.67%Feb 2016	1y 7mo	1y 6mo	3y 2moJul 2014 - Sep 2017	—
-18.65%Oct 2022	6mo 17d	1y 5mo	1y 12moMar 2022 - Mar 2024	Bear market2022
-16.23%Oct 2011	5mo 4d	4mo 23d	9mo 27dMay 2011 - Feb 2012	—

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

AI Analysis

The gist

The portfolio is a five-way equal-weight bet on the classic “everything, but not quite everything” mix: U.S. equities, foreign equities, REITs, commodities, and Treasuries, with the equity sleeve still doing most of the moving together.

The numbers

The diversification ratio is 1.92 at 1Y, 87.8th percentile, which is strong; over longer windows it settles to 1.34-1.54, still respectable but less magical.
Effective asset count is 5.0 of 5, so concentration is not the issue; the issue is correlation, and some of it is very much alive.
The portfolio’s lowest pairwise correlation is -0.26 between VTI and IEF, while the highest is 0.83 between VTI and VEU, which is the sort of spread that creates diversification in theory and familiar co-movement in practice.

The good

IEF gives the portfolio a genuinely different return driver; its -0.13 correlation to the portfolio is doing real work.
GSG and VNQ are not redundant here, and the mean pairwise correlation of 0.22 is low enough to justify the multi-asset framing.
The 1Y DR is notably higher than the 10Y and inception figures, which suggests the mix has diversified better recently, at least in the platform’s recent sample.

The bad

VTI, VEU, and VNQ form a cluster, so three of the five sleeves are participating in the same equity-growth conversation.
The portfolio is balanced by weight, but not by factor exposure; a lot of the economic sensitivity still sits on global risk assets.
In some sense, the commodity sleeve is the least connected diversifier, but it is still not the sort of hedge that politely ignores drawdowns.

The ugly

In a broad risk-off episode that hits equities, REITs, and cyclicals together while bonds are flat or less helpful, the diversification ratio can compress fast, because the portfolio’s “different” sleeves are not all different in the same way.

Next steps

Portfolios with this correlation profile are usually complemented by exposures whose earnings drivers sit outside the equity and real-estate cycle.
The current structure already has real cross-asset variety; what it lacks is more separation inside the equity cluster.
The recent rise in diversification ratio is worth noting, because it means the portfolio has been getting more of its benefit from the correlation matrix and less from sheer hope.

AI-generated analysis. Not investment advice. Verify key facts independently.

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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. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	1.92	1.54	1.47	1.39	1.34

The portfolio has a diversification ratio of 1.34, in line with the typical range across portfolios.

Mebane Faber Ivy Portfolio correlation to the S&P 500 Index

Mebane Faber Ivy Portfolio has a 0.63 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.63
Correlation (3Y) Balances recent behavior with more history.	0.72
Correlation (5Y) Shows whether the relationship held over a longer period.	0.76
Correlation (10Y) Provides a long-term view across more market conditions.	0.79
Correlation (All Time) Calculated using the full available price history since Mar 8, 2007	0.84