Global Market Portfolio
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Annually |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
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 4m 4d)
Returns (annualized)
| Portfolio | 5.27% |
| Benchmark | 7.36% |
Risk (annualized)
| Portfolio | 8.18% |
| Benchmark | 10.17% |
Sharpe (annualized)
| Portfolio | 0.46 |
| Benchmark | 0.58 |
Excess Return (annualized)
| -2.10% |
Tracking Error (annualized)
| 3.05% |
Information Ratio
| -0.69 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 8.73% | 10.85% |
| Sortino Ratio | 0.43 | 0.55 |
| Calmar Ratio | 0.16 | 0.27 |
| Ulcer Index | 15.28 | 15.33 |
| Max Drawdown | 23.39% | 22.16% |
| VaR (99% Confidence) | $-1,902 | $-2,364 |
| VaR (99.9% Confidence) | $-2,527 | $-3,141 |
| 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
| 11.74 |
Skew
| -0.74 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Risk Free | -0.1571 | -0.0953 | -0.0618 |
| Market Factor | 0.4673 | 0.6025 | -0.1352 |
| Credit Factor | 0.1359 | 0.0834 | 0.0525 |
| Duration Factor | 0.4698 | 0.3025 | 0.1674 |
| Inflation Factor | 0.0395 | 0.0207 | 0.0189 |
Adjusted R2
| Portfolio | 0.98 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |