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% |
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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 Jun 13, 2026, the Mebane Faber Ivy Portfolio returned 14.94% Year-To-Date and 8.62% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.50% | 0.31% | 8.56% | 8.85% | 24.33% | 19.37% | 11.84% | 13.61% |
Portfolio Mebane Faber Ivy Portfolio | 0.15% | 0.04% | 14.94% | 15.47% | 23.00% | 14.81% | 8.13% | 8.62% |
| Portfolio components: | ||||||||
GSG iShares S&P GSCI Commodity-Indexed Trust | -1.23% | -9.95% | 32.61% | 33.30% | 32.73% | 16.62% | 13.86% | 6.89% |
IEF iShares 7-10 Year Treasury Bond ETF | -0.17% | 0.25% | -0.47% | -0.18% | 3.78% | 2.86% | -1.24% | 0.59% |
VEU Vanguard FTSE All-World ex-US ETF | 0.40% | 1.10% | 14.08% | 15.91% | 30.59% | 18.67% | 8.56% | 10.41% |
VNQ Vanguard Real Estate ETF | 0.92% | 3.35% | 12.51% | 12.32% | 14.02% | 10.14% | 2.55% | 5.65% |
VTI Vanguard Total Stock Market ETF | 0.57% | -0.28% | 9.62% | 9.69% | 26.27% | 20.60% | 12.20% | 15.02% |
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 +0.55%. At this rate, an investment would double in approximately 10.5 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% | -0.55% | 14.94% | ||||||
| 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 -0.28%, 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 77.62% 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
- -0.28%
- Beta
- 0.67
- R²
- 0.80
- Upside Capture
- 66.63%
- Downside Capture
- 77.62%
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.
Return for Risk
Risk / Return Rank
Mebane Faber Ivy Portfolio ranks 95 for risk / return — in the top 95% 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.
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 | 3.09 | 1.86 | +1.23 |
| Sortino ratioReturn per unit of downside risk | 4.21 | 2.53 | +1.68 |
| Omega ratioGain probability vs. loss probability | 1.58 | 1.34 | +0.24 |
| Calmar ratioReturn relative to maximum drawdown | 7.16 | 2.53 | +4.63 |
| Martin ratioReturn relative to average drawdown | 26.71 | 11.37 | +15.33 |
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 | 55 | 1.58 | 2.14 | 1.29 | 3.05 | 9.32 |
IEF iShares 7-10 Year Treasury Bond ETF | 21 | 0.72 | 1.10 | 1.12 | 0.84 | 2.35 |
VEU Vanguard FTSE All-World ex-US ETF | 59 | 1.79 | 2.48 | 1.33 | 2.53 | 9.70 |
VNQ Vanguard Real Estate ETF | 31 | 0.96 | 1.39 | 1.17 | 1.56 | 4.90 |
VTI Vanguard Total Stock Market ETF | 67 | 1.97 | 2.67 | 1.35 | 2.79 | 12.52 |
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Dividends
Dividend yield
Mebane Faber Ivy Portfolio provided a 2.22% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.22% | 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 | 3.89% | 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 | 2.62% | 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 | 3.54% | 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 | 1.03% | 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.
The current Mebane Faber Ivy Portfolio drawdown is 1.11%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -48.90%Mar 2009 | 9mo 19d | 2y 1mo | 2y 11moMay 2008 - Apr 2011 |
COVID crash2020 | -27.66%Mar 2020 | 2mo 2d | 8mo 15d | 10mo 17dJan 2020 - Dec 2020 |
2016 correction2016 | -19.67%Feb 2016 | 1y 7mo | 1y 6mo | 3y 2moJul 2014 - Sep 2017 |
Bear market2022 | -18.65%Oct 2022 | 6mo 17d | 1y 5mo | 1y 12moMar 2022 - Mar 2024 |
2011 correction2011 | -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
Thesis
The portfolio is a five-way 20/20/20/20/20 bet on global growth, real assets, and duration, with the U.S. and foreign equity sleeves doing most of the moving together and the bond sleeve standing politely to the side.
The numbers
- The diversification ratio is 1.93 over 1Y, 87.3th percentile on the platform; that is real diversification, not the decorative kind.
- Over longer windows the DR settles to 1.52 (3Y), 1.46 (5Y), 1.38 (10Y), and 1.34 incept, so the portfolio has diversified, though less dramatically than the recent year suggests.
- Effective asset count is 5.0 of 5, so the weights are evenly spread; the issue is correlation, not concentration.
What works
- IEF (Government Bonds) is structurally useful here: its -0.27 correlation with VTI and -0.22 with VEU gives the portfolio a real offset when equities wobble.
- GSG (Commodities) has a different driver set from stocks and REITs, which is why its low-to-moderate correlations matter more than its headline weight suggests.
- To be fair, the equal weights keep any single sleeve from dominating the portfolio’s risk budget.
What does not
- VTI, VEU (Foreign Large Cap Equities), and VNQ (REIT) form a familiar equity-ish cluster; their 0.83 and 0.67 correlations mean the portfolio is less “five assets” than “three growth-sensitive sleeves plus two diversifiers.”
- VNQ is not very far from equities here, so the real estate sleeve behaves more like an equity cousin than a separate source of risk.
Stress Scenario
- In an inflation scare with rising real yields, the bond offset from IEF can weaken just as VNQ and the broad equity sleeves reprice together; the nice negative correlations tend to become less nice.
Worth knowing
- The 1Y DR being far above the incept DR suggests the cross-asset hedge has worked better recently than in the full history.
- Portfolios with this correlation profile are usually strongest when the bond sleeve retains its negative equity link; once that link fades, the whole construction starts looking more like a single macro bet.
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 | 1.91 | 1.52 | 1.46 | 1.38 | 1.34 |
The portfolio has a diversification ratio of 1.34, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
Mebane Faber Ivy Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.62 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.72 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.77 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.79 |
Correlation (All Time) Calculated using the full available price history since Mar 8, 2007 | 0.84 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while IEF has the lowest at -0.27.
Asset Correlations Table
Find what Mebane Faber Ivy Portfolio is missing
See which holdings overlap, where Mebane Faber Ivy Portfolio is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification