Global Market Portfolio

Specification

Policy

Rebalancing Interval	Annually
Weights Algorithm	Constant Weights

Assets

ISHARES MSCI ACWI ETF (ACWI)	38.00%
SPDR Dow Jones Global Real Estate ETF (RWO)	7.00%
iShares 3-7 Year Treasury Bond ETF (IEI)	7.50%
iShares 7-10 Year Treasury Bond ETF (IEF)	7.50%
iShares International Treasury Bond ETF (IGOV)	14.00%
iShares iBoxx USD Investment Grade Corporate Bond ETF (LQD)	10.00%
Vanguard Total International Bond ETF (BNDX)	10.00%
iShares J.P. Morgan USD Emerging Markets Bond ETF (EMB)	3.00%
iShares TIPS Bond ETF (TIP)	3.00%

Benchmark

Simple 60/40

Description

Inspired by an episode of The Meb Faber Show podcast where the host breaks down the allocation to major asset classes to match the market capitalization weight of the world’s assets.

Policy Report

Backtest Report

From 2013-06-05 to 2024-04-19 (10y 10m 14d)

Returns (annualized)

Portfolio	4.16%
Benchmark	6.12%

Risk (annualized)

Portfolio	8.21%
Benchmark	10.21%

Sharpe (annualized)

Portfolio	0.38
Benchmark	0.50

Excess Return (annualized)

-1.96%

Tracking Error (annualized)

3.07%

Risk Free Rate (annualized)

1.32%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

12.06

Skew

-0.86

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark
Risk Free	-0.2481	-0.2481
Market Factor	0.4707	0.4707
Credit Factor	0.1358	0.1358
Duration Factor	0.4679	0.4679
Inflation Factor	0.0402	0.0402

Adjusted R²

Portfolio	0.98
Benchmark	0.99

Intercept

Portfolio	-0.00
Benchmark	0.00