Portfolio vs. 60/40 vs. S&P 500
All Data
10 Years
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
Ivy Portfolio - Rotation
Details
The Ivy Portfolio – Rotation is a tactical version of the standard Ivy Portfolio. Both were created by Meb Faber and profiled in his book The Ivy Portfolio.
Meb Faber is a co-founder and the Chief Investment Officer of Cambria Investment Management.
The Ivy Portfolio is designed to mimic the investment strategies of highly successful Harvard and Yale endowments.
The rotation version uses a multi-period backtest to determine which asset has performed the best and goes long that asset until the following month.
Performance Metrics
All Data
10 Years
Annual Return
13.1%
Sharpe Ratio
0.76
10 Year Annual Return
7.3%
Volatility (annualized)
14.7%
Max Drawdown
-26.0%
Positive Periods
64.8%
Dot Com Annual Return
6.7%
Great Financial Crisis Return
23.0%
Trade Frequency
Monthly
Ulcer Performance Index
1.5
Average Asset Allocation & Recommended ETFs
Strategy Rules
This strategy trades once per month.
- On the last trading day of the month, calculate the 3-, 6-, and 12-month totals returns for each of the ETFs listed above
- Invest 100% of the portfolio in the asset with the highest average return.
- Hold until the last trading day of the next month.
How to Invest in the Ivy Portfolio - Rotation
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