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 Jul 5, 2026, the Mebane Faber Ivy Portfolio returned 13.73% Year-To-Date and 8.25% of annualized return in the last 10 years.
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.00% | -1.33% | 9.11% | 9.32% | 19.17% | 18.87% | 11.45% | 13.53% |
Portfolio Mebane Faber Ivy Portfolio | 0.33% | -2.08% | 13.31% | 13.73% | 19.83% | 14.02% | 7.87% | 8.25% |
| Portfolio components: | ||||||||
GSG iShares S&P GSCI Commodity-Indexed Trust | 0.14% | -12.41% | 22.97% | 23.03% | 26.31% | 13.39% | 11.78% | 6.09% |
IEF iShares 7-10 Year Treasury Bond ETF | 0.10% | 0.33% | -0.12% | -0.20% | 3.21% | 3.03% | -1.23% | 0.47% |
VEU Vanguard FTSE All-World ex-US ETF | 0.31% | -1.11% | 11.79% | 13.50% | 26.34% | 18.51% | 8.81% | 9.99% |
VNQ Vanguard Real Estate ETF | 1.24% | 2.90% | 12.90% | 12.94% | 13.10% | 9.37% | 2.98% | 5.09% |
VTI Vanguard Total Stock Market ETF | -0.14% | -0.95% | 10.31% | 10.65% | 21.11% | 20.19% | 11.92% | 14.97% |
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 +0.54%. At this rate, an investment would double in approximately 10.7 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% | -0.12% | 13.73% | |||||
| 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 -0.36%, 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 77.98% 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
- -0.36%
- Beta
- 0.67
- R²
- 0.80
- Upside Capture
- 66.63%
- Downside Capture
- 77.98%
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 93 for risk / return — in the top 93% 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 | 2.65 | 1.62 | +1.03 |
| Sortino ratioReturn per unit of downside risk | 3.60 | 2.23 | +1.37 |
| Omega ratioGain probability vs. loss probability | 1.48 | 1.29 | +0.19 |
| Calmar ratioReturn relative to maximum drawdown | 6.28 | 2.23 | +4.06 |
| Martin ratioReturn relative to average drawdown | 20.51 | 9.69 | +10.82 |
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 | 36 | 1.13 | 1.64 | 1.21 | 1.38 | 5.19 |
IEF iShares 7-10 Year Treasury Bond ETF | 19 | 0.60 | 0.92 | 1.10 | 0.70 | 1.87 |
VEU Vanguard FTSE All-World ex-US ETF | 59 | 1.62 | 2.25 | 1.30 | 2.33 | 8.84 |
VNQ Vanguard Real Estate ETF | 32 | 0.96 | 1.40 | 1.17 | 1.59 | 5.01 |
VTI Vanguard Total Stock Market ETF | 65 | 1.74 | 2.39 | 1.31 | 2.49 | 10.92 |
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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 | 3.90% | 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 | 2.55% | 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 | 1.06% | 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 2.15%.
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
The gist
The portfolio is a clean five-sleeve bet on the usual macro axes: U.S. equities, foreign equities, REITs, bonds, and commodities. It is diversified in the mechanical sense, though the equity side still hangs together more than the sleeve list suggests.
The numbers
- Diversification ratio is 1.88 over 1Y, 86.8th percentile on the platform; that is strong for a five-position portfolio.
- The longer windows are lower at 1.53 (3Y), 1.46 (5Y), and 1.34 since inception, which says the diversification benefit is real but not magical.
- Effective asset count is 5.0 of 5, so concentration is not the issue; correlation structure is.
The good
- IEF (government bonds) sits in its own lane, with -0.27 correlation to VTI and -0.22 to VEU; that is the portfolio’s main stabilizer.
- GSG (commodities) is also meaningfully separate from the equity cluster, so the portfolio has at least one sleeve tied to inflation and supply shocks rather than earnings cycles.
- The weights are even, which keeps any single factor from becoming the whole story.
The bad
- VTI, VEU, and VNQ form a cluster, and the strongest pair, VTI/VEU, is 0.83 correlated; in some sense, that is one equity bet wearing three labels.
- VNQ looks less like a separate asset class than a somewhat different equity beta, with 0.67 correlation to VTI and 0.76 position-to-portfolio correlation.
- The incept DR of 1.34 is respectable, but the recent 1.88 says the portfolio’s cross-asset offsets have been working much better lately than over the full history.
The ugly
- In an inflationary equity selloff where rates rise and growth weakens together, the bond hedge can fail to be a hedge, while REITs and equities can all lean the same way.
- The portfolio’s correlation structure is most vulnerable when commodities stop behaving like a separate shock absorber and start behaving like another cyclic risk sleeve.
Next steps
- Portfolios with this structure are often understood as a blend of equity beta plus a few distinct macro hedges, rather than as five independent return engines.
- The clustering suggests that the real diversification comes mostly from IEF and GSG, not from splitting equities across VTI, VEU, and VNQ.
- The shorter-horizon DR being higher than the long-run figures is the sort of thing that usually means the recent regime has been unusually friendly to 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. 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 | 1.88 | 1.53 | 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 | 0.63 |
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