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 (11y 4m 26d)

Returns (annualized)

Portfolio 4.72%
Benchmark 6.69%

Risk (annualized)

Portfolio 8.16%
Benchmark 10.12%

Sharpe (annualized)

Portfolio 0.43
Benchmark 0.54

Excess Return (annualized)

-1.96%

Tracking Error (annualized)

3.03%

Information Ratio

-0.65
Statistic Portfolio Benchmark
Downside Volatility 8.75% 10.82%
Sortino Ratio 0.40 0.51
Calmar Ratio 0.15 0.25
Ulcer Index 15.25 15.31
Max Drawdown 23.39% 22.16%
VaR (99% Confidence) $-1,897 $-2,352
VaR (99.9% Confidence) $-2,520 $-3,125
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

11.81

Skew

-0.85
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Risk Free -0.1992 -0.1992
Market Factor 0.4699 0.4699
Credit Factor 0.1368 0.1368
Duration Factor 0.4693 0.4693
Inflation Factor 0.0399 0.0399

Adjusted R2

Portfolio 0.98
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution