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.
Weight | Ticker | ETF Name | Sector | |
|---|---|---|---|---|
32.4% | VNQ | Vanguard Real Estate Index Fund ETF | Real Estate, U.S. | |
26.2% | VTI | Vanguard Total Stock Market ETF | Equity, U.S., Large Cap | |
18.5% | VEU | Vanguard FTSE All-World ex-US | Equity, Global ex-US, Large Cap | |
14.9% | DBC | Invesco DB Commodity Index Tracking Fund | Commodity, Diversified | |
8.0% | AGG | iShares Core U.S. Aggregate Bond ETF | Bond, U.S., All-Term |
This strategy trades once per month.
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Low | Average | High | |
|---|---|---|---|
1-Year | -21.0% | 14.1% | 67.6% |
3-Year | 2.8% | 13.9% | 31.6% |
5-Year | 1.3% | 13.6% | 27.4% |
10-Year | 5.4% | 13.6% | 19.1% |
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 13.1% | 9.3% | 10.3% |
10Y Annual Return | 7.3% | 7.9% | 12.2% |
Sharpe Ratio | 0.76 | 0.51 | 0.43 |
Max Drawdown | -26.0% | -29.7% | -50.97% |
Volatility (annualized) | 14.7% | 9.9% | 15.4% |
Dot Com Annual Return | 6.7% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | 23.0% | -0.3% | -5.66% |
Positive Periods | 64.8% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
