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

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 (11y 10m 19d)

Returns (annualized)

Portfolio 4.65%
Benchmark 6.46%

Risk (annualized)

Portfolio 8.26%
Benchmark 10.29%

Sharpe (annualized)

Portfolio 0.40
Benchmark 0.51

Excess Return (annualized)

-1.81%

Tracking Error (annualized)

3.08%

Information Ratio

-0.59
Statistic Portfolio Benchmark
Downside Volatility 8.82% 10.97%
Sortino Ratio 0.37 0.47
Calmar Ratio 0.14 0.23
Ulcer Index 15.26 15.32
Max Drawdown 23.39% 22.16%
VaR (99% Confidence) $-1,922 $-2,392
VaR (99.9% Confidence) $-2,553 $-3,177
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

11.66

Skew

-0.74
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Risk Free -0.1706 -0.1706
Market Factor 0.4675 0.4675
Credit Factor 0.1366 0.1366
Duration Factor 0.4679 0.4679
Inflation Factor 0.0376 0.0376

Adjusted R2

Portfolio 0.98
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution