Global Market Portfolio

Portfolio Specification

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%

Policy

Rebalancing Interval Annually
Weights Algorithm Constant Weights

Benchmark

Simple 60/40

This portfolio is listed on the Community Portfolios page.

Portfolio 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 (12y 5m 29d)

Returns (annualized)

Portfolio 5.31%
Benchmark 7.39%

Risk (annualized)

Portfolio 8.16%
Benchmark 10.15%

Sharpe (annualized)

Portfolio 0.47
Benchmark 0.59

Excess Return (annualized)

-2.09%

Tracking Error (annualized)

3.05%

Information Ratio

-0.68
Statistic Portfolio Benchmark
Downside Volatility 8.72% 10.84%
Sortino Ratio 0.44 0.55
Calmar Ratio 0.16 0.27
Ulcer Index 15.29 15.34
Max Drawdown 23.39% 22.16%
VaR (99% Confidence) $-1,898 $-2,360
VaR (99.9% Confidence) $-2,521 $-3,135
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

11.71

Skew

-0.74
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Risk Free -0.1516 -0.0953 -0.0562
Market Factor 0.4668 0.6025 -0.1357
Credit Factor 0.1361 0.0833 0.0528
Duration Factor 0.4701 0.3025 0.1676
Inflation Factor 0.0397 0.0207 0.0190

Adjusted R2

Portfolio 0.98
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution