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 to (11y 6m 14d)

Returns (annualized)

Portfolio 4.60%
Benchmark 6.63%

Risk (annualized)

Portfolio 8.15%
Benchmark 10.10%

Sharpe (annualized)

Portfolio 0.41
Benchmark 0.54

Excess Return (annualized)

-2.03%

Tracking Error (annualized)

3.02%

Information Ratio

-0.67
Statistic Portfolio Benchmark
Downside Volatility 8.75% 10.81%
Sortino Ratio 0.38 0.50
Calmar Ratio 0.14 0.24
Ulcer Index 15.25 15.31
Max Drawdown 23.39% 22.16%
VaR (99% Confidence) $-1,896 $-2,348
VaR (99.9% Confidence) $-2,518 $-3,119
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

11.75

Skew

-0.85
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Risk Free -0.2008 -0.2008
Market Factor 0.4698 0.4698
Credit Factor 0.1375 0.1375
Duration Factor 0.4701 0.4701
Inflation Factor 0.0388 0.0388

Adjusted R2

Portfolio 0.98
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution