Global Market Portfolio
Specification
Policy
Rebalancing Interval | Annually |
---|---|
Weights Algorithm | Constant Weights |
Assets
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 to (11y 4m 26d)
Returns (annualized)
Portfolio | 4.72% |
Benchmark | 6.69% |
Risk (annualized)
Portfolio | 8.16% |
Benchmark | 10.12% |
Sharpe (annualized)
Portfolio | 0.43 |
Benchmark | 0.54 |
Excess Return (annualized)
-1.96% |
Tracking Error (annualized)
3.03% |
Information Ratio
-0.65 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 8.75% | 10.82% |
Sortino Ratio | 0.40 | 0.51 |
Calmar Ratio | 0.15 | 0.25 |
Ulcer Index | 15.25 | 15.31 |
Max Drawdown | 23.39% | 22.16% |
VaR (99% Confidence) | $-1,897 | $-2,352 |
VaR (99.9% Confidence) | $-2,520 | $-3,125 |
Beta to Benchmark | 0.78 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
11.81 |
Skew
-0.85 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Risk Free | -0.1992 | -0.1992 |
Market Factor | 0.4699 | 0.4699 |
Credit Factor | 0.1368 | 0.1368 |
Duration Factor | 0.4693 | 0.4693 |
Inflation Factor | 0.0399 | 0.0399 |
Adjusted R2
Portfolio | 0.98 |
Benchmark | 0.99 |
Intercept
Portfolio | -0.00 |
Benchmark | 0.00 |