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

Asset Allocation


IEF 20%GSG 20%VTI 20%VEU 20%VNQ 20%BondBondCommodityCommodityEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
GSG
iShares S&P GSCI Commodity-Indexed Trust
Commodities
20%
IEF
iShares 7-10 Year Treasury Bond ETF
Government Bonds
20%
VEU
Vanguard FTSE All-World ex-US ETF
Foreign Large Cap Equities
20%
VNQ
Vanguard Real Estate ETF
REIT
20%
VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities
20%

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 Quarterly


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
7.34%
11.47%
Mebane Faber Ivy Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 8, 2007, corresponding to the inception date of VEU

Returns By Period

As of Nov 6, 2024, the Mebane Faber Ivy Portfolio returned 10.45% Year-To-Date and 5.45% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
21.24%0.55%11.47%32.45%13.43%11.05%
Mebane Faber Ivy Portfolio10.45%-1.19%7.34%18.47%7.42%5.45%
VTI
Vanguard Total Stock Market ETF
21.49%0.90%11.98%34.31%14.56%12.51%
IEF
iShares 7-10 Year Treasury Bond ETF
0.63%-2.03%3.40%7.07%-1.19%0.88%
GSG
iShares S&P GSCI Commodity-Indexed Trust
7.28%-2.14%-2.32%-0.65%6.96%-2.29%
VEU
Vanguard FTSE All-World ex-US ETF
10.48%-2.96%4.84%20.26%6.05%5.39%
VNQ
Vanguard Real Estate ETF
11.15%0.28%18.55%30.02%4.79%6.11%

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
2024-0.22%1.84%2.79%-3.39%2.66%1.30%2.49%1.91%1.86%-2.12%10.45%
20235.88%-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%
20210.74%3.41%1.22%4.91%1.45%2.03%1.61%0.74%-1.90%4.39%-3.53%4.76%21.31%
2020-1.86%-5.18%-14.19%4.03%5.34%3.07%3.57%3.17%-2.47%-2.37%9.33%3.91%4.26%
20197.39%1.80%2.14%1.78%-3.53%3.95%0.18%-0.31%1.34%1.54%0.66%2.67%21.06%
20181.65%-4.26%0.91%1.04%1.39%0.88%0.52%1.14%0.10%-5.02%-0.29%-5.19%-7.24%
20170.90%1.87%-0.62%0.37%0.61%0.35%2.23%0.18%1.18%1.35%1.47%1.44%11.89%
2016-3.33%-0.64%5.91%2.12%0.88%2.04%0.58%-0.44%0.78%-2.57%-0.20%2.76%7.83%
2015-0.08%2.08%-1.27%1.95%-0.57%-2.17%-1.14%-4.09%-1.48%3.96%-2.10%-2.09%-7.04%
2014-0.78%4.11%0.17%1.32%1.55%1.51%-1.85%1.74%-4.01%1.71%-0.72%-2.55%1.94%
20132.99%-0.59%1.80%1.75%-2.35%-1.94%3.33%-2.02%2.58%2.28%-0.71%0.73%7.89%

Expense Ratio

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


Expense ratio chart for GSG: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for IEF: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for VNQ: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VEU: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
Expense ratio chart for VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Mebane Faber Ivy Portfolio is 33, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of Mebane Faber Ivy Portfolio is 3333
Combined Rank
The Sharpe Ratio Rank of Mebane Faber Ivy Portfolio is 2929Sharpe Ratio Rank
The Sortino Ratio Rank of Mebane Faber Ivy Portfolio is 3737Sortino Ratio Rank
The Omega Ratio Rank of Mebane Faber Ivy Portfolio is 3131Omega Ratio Rank
The Calmar Ratio Rank of Mebane Faber Ivy Portfolio is 2020Calmar Ratio Rank
The Martin Ratio Rank of Mebane Faber Ivy Portfolio is 4747Martin 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.


Mebane Faber Ivy Portfolio
Sharpe ratio
The chart of Sharpe ratio for Mebane Faber Ivy Portfolio, currently valued at 2.05, compared to the broader market0.002.004.002.05
Sortino ratio
The chart of Sortino ratio for Mebane Faber Ivy Portfolio, currently valued at 3.03, compared to the broader market-2.000.002.004.006.003.03
Omega ratio
The chart of Omega ratio for Mebane Faber Ivy Portfolio, currently valued at 1.37, compared to the broader market0.801.001.201.401.601.801.37
Calmar ratio
The chart of Calmar ratio for Mebane Faber Ivy Portfolio, currently valued at 1.50, compared to the broader market0.002.004.006.008.0010.0012.0014.001.50
Martin ratio
The chart of Martin ratio for Mebane Faber Ivy Portfolio, currently valued at 14.09, compared to the broader market0.0010.0020.0030.0040.0050.0014.09
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.70, compared to the broader market0.002.004.002.70
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.58, compared to the broader market-2.000.002.004.006.003.58
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.801.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.49, compared to the broader market0.002.004.006.008.0010.0012.0014.003.49
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.22, compared to the broader market0.0010.0020.0030.0040.0050.0017.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTI
Vanguard Total Stock Market ETF
2.783.681.513.6817.71
IEF
iShares 7-10 Year Treasury Bond ETF
0.901.331.160.292.73
GSG
iShares S&P GSCI Commodity-Indexed Trust
-0.040.061.01-0.01-0.13
VEU
Vanguard FTSE All-World ex-US ETF
1.612.291.291.429.48
VNQ
Vanguard Real Estate ETF
1.662.411.300.916.34

Sharpe Ratio

The current Mebane Faber Ivy Portfolio Sharpe ratio is 2.05. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 2.02 to 2.81, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Mebane Faber Ivy Portfolio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.05
2.70
Mebane Faber Ivy Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Mebane Faber Ivy Portfolio provided a 2.30% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio2.30%2.32%2.13%1.54%1.69%2.07%2.46%2.08%2.30%2.15%2.19%2.10%
VTI
Vanguard Total Stock Market ETF
1.31%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
IEF
iShares 7-10 Year Treasury Bond ETF
3.48%2.91%1.96%0.83%1.08%2.08%2.24%1.82%1.81%1.90%2.05%1.77%
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
2.89%3.32%3.12%3.07%2.00%3.10%3.27%2.66%2.96%2.95%3.52%2.66%
VNQ
Vanguard Real Estate ETF
3.82%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%

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.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.37%
-1.40%
Mebane Faber Ivy Portfolio
Benchmark (^GSPC)
Portfolio components

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 1.37%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-48.9%May 20, 2008200Mar 5, 2009540Apr 26, 2011740
-27.66%Jan 21, 202044Mar 23, 2020174Nov 27, 2020218
-19.67%Jul 2, 2014407Feb 11, 2016393Sep 1, 2017800
-18.65%Mar 31, 2022137Oct 14, 2022364Mar 28, 2024501
-16.23%May 2, 2011108Oct 3, 201198Feb 23, 2012206

Volatility

Volatility Chart

The current Mebane Faber Ivy Portfolio volatility is 1.98%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
1.98%
3.19%
Mebane Faber Ivy Portfolio
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

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

IEFGSGVNQVEUVTI
IEF1.00-0.20-0.09-0.26-0.30
GSG-0.201.000.180.410.34
VNQ-0.090.181.000.580.69
VEU-0.260.410.581.000.84
VTI-0.300.340.690.841.00
The correlation results are calculated based on daily price changes starting from Mar 9, 2007