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 2024-07-25 (11y 1m 20d)

Returns (annualized)

Portfolio	4.54%
Benchmark	6.52%

Risk (annualized)

Portfolio	8.18%
Benchmark	10.15%

Sharpe (annualized)

Portfolio	0.41
Benchmark	0.54

Excess Return (annualized)

-1.99%

Tracking Error (annualized)

3.04%

Risk Free Rate (annualized)

1.41%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

11.93

Skew

-0.86

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark
Risk Free	-0.2170	-0.2170
Market Factor	0.4706	0.4706
Credit Factor	0.1361	0.1361
Duration Factor	0.4685	0.4685
Inflation Factor	0.0401	0.0401

Adjusted R²

Portfolio	0.98
Benchmark	0.99

Intercept

Portfolio	-0.00
Benchmark	0.00