Global Market Portfolio

Specification

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 (10y 8m 25d )

Returns (annualized)

Portfolio 4.46%
Benchmark 6.44%

Risk (annualized)

Portfolio 8.23%
Benchmark 10.24%

Sharpe (annualized)

Portfolio 0.42
Benchmark 0.54

Excess Return (annualized)

-1.99%

Tracking Error (annualized)

3.08%

Risk Free Rate (annualized)

1.27%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

12.11

Skew

-0.87
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Risk Free 0.1007 0.1007
Market Factor 0.4676 0.4676
Credit Factor 0.1427 0.1427
Duration Factor 0.4188 0.4188
Inflation Factor 0.0403 0.0403

Adjusted R2

Portfolio 0.98
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution