Meb Faber Portfolios: Backed By Solid Research

Meb- faber-portfolios

Meb Faber Portfolios: Backed By Solid Research

This is the article detailing the investment portfolios of Meb Faber and that of his investment firm Cambria Investments. Here you will find asset allocation as well as performance for the many portfolios Meb Faber has constructed.

Who is Meb Faber?

Meb Faber (Mebane Faber) is a quant and productivity-meister galore who regularly backtests portfolios. In his fantastic book Global Asset Allocation: A Survey of the World’s Top Asset Allocation Strategies, he has collected a host of different portfolios playing on the same theme – well-diversified portfolios from some of the top money managers.

His paper on tactical asset allocation A Quantitative Approach to Tactical Asset Allocation has revived trend-following and is a fantastic primer on how to implement trend following into your portfolio. Trend following is not designed to deliver market-beating returns but instead to mitigate risk while delivering market like returns.

His book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets shows how you can mirror the portfolios of the top-endowment funds like Yale and Harvard. You can check out our post Meb Faber’s Ivy 10 Portfolio: Expand And Conquer Yale And Harvard.

We love Meb Faber around here. This is because he is a numbers guy who doesn’t seem to fret about the small stuff in investing. He keeps his horizon long and his feet very close to reality. He is not afraid to call people out on bullshit or dubious claims. He just seems relaxed about investing, surfs (yay!), and really enjoys talking about asset classes, investing and all that jive.

We have gotten a lot of good ideas from Meb Faber’s writings.

Meb Faber is also a fan of trend following which he calls his “desert island” strategy. We here at Portfolioeinstein.com are also fans of trend following as a diversifier and a mitigator of risk. We have an article lined up about just that.

Much of Meb Faber’s work is all about figuring out how others have done well. His books, articles, and podcast reflect this. His book Invest With The House: Hacking The Top Hedge Funds looked at hedge fund strategies and proposed ways to mirror them.

invest-with-the-house

What is special about Meb Faber’s portfolios?

Meb Faber uses two strategies in his portfolios. They are either market timing strategies (trend following) or globally diversified portfolios which span many asset classes. We do not currently track his excellent trend following strategies.

Meb Faber has also a definite bias towards value and momentum asset classes. Both of those have done great historically.

Meb Faber’s Ivy 20, for example, make use of 20 asset classes!

Be sure to visit Meb Faber’s site.

His Ivy league portfolios featured in The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets are examples of his intent on broad diversification while keeping it simple. It is also a fantastic read by the way.

the-ivy-portfolio

Market Timing Meb

In his paper, A Quantitative Approach to Tactical Asset AllocationMeb Faber lays forward his tactical asset allocation. It may sound scary but it is easily explained. It means that instead of having a buy-and-hold strategy like almost all of the portfolios on portfolioeinstein.com, the tactical portfolio changes its portfolio. In Meb Faber’s tactical asset allocation portfolio the changes are determined by a 10-month average.

Example: If the price of S&P500 is above its 10-month average you should buy an S&P500 ETF. If it is below the 10-month average you should sell.

Mebane Faber uses more than one asset class in his tactical portfolio however and I suggest you read his paper. It is very easy to understand without the usual academic lingo so it should be accessible for most people.

One thing to remember about trend following is needed to underscore, which Meb Faber also stresses: Trend following is primarily meant to decrease risk not increase returns.

Meb has included market timing in his most recent ETF – the Trinity portfolio ETF (TRTY). Read Meb Faber’s paper on that here.

Performance of Meb Faber’s portfolios

Portfolio NameNumber of asset classes1 year return 2019YTD (incl. December 2019)10 year returnDrawdownRisk LevelMarket CorrelationDollar Value
S&P 500 (Benchmark)131.25%31.25%12.97%-37.71%5 - very high risk0.99$167,045.76
Meb Faber Ivy 5 Portfolio520.58%20.58%6.01%-31.56%4 - high risk0.79$77,175.93
Meb Faber Ivy 10 Portfolio918.52%18.52%6.25%-33.41%4 - high risk0.73$93,889.37
Meb Faber Risk Parity Portfolio715.12%15.12%5.28%-7.82%1 - very low risk0.6$71,945.61
Meb Faber GTAA Conservative1117.84%17.84%6.10%-21.92%3 - medium risk0.73$103,537.79
Meb Faber GTAA Moderate1120.00%20.00%6.57%-32.09%4 - high risk0.74$110,802.81
Meb Faber GAA1018.97%18.97%6.80%-15.98%2 - low risk0.84$88,903.62
Meb Faber IVY 20 portfolio1618.89%18.89%6.73%-34.34%5 - very high risk0.76$102,050.67

Asset Allocation of Meb Faber’s portfolios

Meb Faber’s Global Asset Allocation Portfolio (GAA)                     

  • 18.00%  US Large Cap      (VV)
  • 4.50%    REITs     (VNQ)
  • 13.50%  International Developed Blend      (VEA)
  • 4.50%    Emerging Markets           (VWO)
  • 13.50%  Long Term Treasuries        (TLT)
  • 19.80%  Corporate Bonds              (LQD)
  • 5.00%    Commodities     (DBC / GSG)
  • 5.00%    Gold      (IAU)
  • 1.80%    TIPS       (VTIP)
  • 14.40%  Non-US Bonds   (BNDX)

Meb Faber’s Global Tactical Asset Allocation (GTAA) Conservative                          

  • 3.75%    US Large Cap Value         (VTV)
  • 3.75%    US Small Cap Value         (VIOV)
  • 15.00%  REITs     (VNQ)
  • 7.50%    International Developed Blend      (VEA)
  • 7.50%    Emerging Markets           (VWO)
  • 10.00%  Long Term Treasuries        (TLT)
  • 10.00%  Intermediate-Term Treasuries       (VGIT)
  • 10.00%  Corporate Bonds              (LQD)
  • 15.00%  Commodities     (DBC / GSG)
  • 10.00%  Non-US Bonds   (BNDX)
  • 7.50%    Momentum Factor          (MTUM)

Meb Faber’s Global Tactical Asset Allocation (GTAA) Moderate                

  • 5.00%    US Large Cap Value         (VTV)
  • 5.00%    US Small Cap Value         (VIOV)
  • 20.00%  REITs     (VNQ)
  • 10.00%  International Developed Blend      (VEA)
  • 10.00%  Emerging Markets           (VWO)
  • 5.00%    Long Term Treasuries        (TLT)
  • 5.00%    Intermediate-Term Treasuries       (VGIT)
  • 5.00%    Corporate Bonds              (LQD)
  • 20.00%  Commodities     (DBC / GSG)
  • 5.00%    Non-US Bonds   (BNDX)
  • 10.00%  Momentum Factor          (MTUM)

Meb Faber’s Ivy 5 Portfolio                        

  • 20.00%  US Total Stock Market   (VTI)
  • 20.00%  REITs     (VNQ)
  • 20.00%  International Developed Blend      (VEA)
  • 20.00%  Total US Bond Market    (BND)
  • 20.00%  Commodities     (DBC / GSG)

Meb Faber’s Ivy 10 Portfolio                     

  • 10.00%  US Large Cap      (VV)
  • 10.00%  US Small Cap      (VIOO)
  • 10.00%  REITs     (VNQ)
  • 10.00%  International Developed Blend      (VEA)
  • 10.00%  Emerging Markets           (VWO)
  • 10.00%  Total US Bond Market    (BND)
  • 20.00%  Commodities     (DBC / GSG)
  • 10.00%  TIPS       (VTIP)
  • 10.00%  International REITs          (VNQI)

Meb Faber Ivy 20 portfolio                        

  • 5.00%    US Large Cap      (VV)
  • 5.00%    US Mid Cap         (IJH)
  • 5.00%    US Small Cap      (VIOO)
  • 5.00%    US Micro Cap     (IWC)
  • 5.00%    REITs (Real Estate)           (VNQ)
  • 5.00%    Int. Developed Blend      (VEA)
  • 5.00%    Emerging Markets           (VWO)
  • 5.00%    Intl Sm Cap Blend             (VSS)
  • 5.00%    Total US Bond Market    (BND)
  • 5.00%    Timber (TREE)
  • 5.00%    Infrastructure
  • 5.00%  Commodities     (DBC / GSG)
  • 5.00%  Commodities     (DBC / GSG)
  • 5.00%  Commodities     (DBC / GSG)
  • 5.00%  Commodities     (DBC / GSG)
  • 5.00%    TIPS       (VTIP)
  • 5.00%    Non-US Bonds   (BNDX)
  • 5.00%    Emerging Markets Small Cap       (EWX)
  • 5.00%    Emerging Market Bonds (VWOB)
  • 5.00%    International REITs (Real Estate) (VNQI)

Meb Faber’s Risk Parity Portfolio                            

  • 7.50%    US Total Stock Market   (VTI)
  • 5.00%    REITs     (VNQ)
  • 7.50%    International All-World ex-US     (VEU)
  • 35.00%  Intermediate-Term Treasuries       (VGIT)
  • 35.00%  Corporate Bonds              (LQD)
  • 5.00%    Commodities     (DBC / GSG)
  • 5.00%    Gold      (IAU)

Meb Faber portfolio resources

Be sure to visit Meb Faber website where he often posts.

His podcast is often of very good quality. The first 3 is like a mini-course on investing!

Meb Faber has written some very good books. One of their chief qualities is they are without any fluff or padding you normally see in these books.

Meb Faber is the CEO and CIO of Cambria Investments.

Conclusion

Which portfolio do you use?

After having read up on Meb Faber’s portfolios I encourage you to find other great portfolios right here on portfolioeinstein.com.

If you have suggestions to new portfolios be sure to add them in comments or reach out to me.

I would love to hear from you!

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