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 - Timing
Details
The Ivy Portfolio – Timing 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 timing version uses a simple moving average to determine when to enter and exit a position.
Initial Asset Allocation & Recommended ETFs
Performance Metrics
All Data
10 Years
Annual Return
7.1%
Sharpe Ratio
0.74
10 Year Annual Return
4.8%
Volatility (annualized)
6.5%
Max Drawdown
-13.1%
Positive Periods
69.8%
Dot Com Annual Return
4.8%
Great Financial Crisis Return
5.5%
Trade Frequency
Monthly
Ulcer Performance Index
1.3
Strategy Rules
This strategy trades once per month.
- Split the portfolio into 5 equal slices.
- On the last trading day of the month, calculate the 10-month moving average for each of the assets above.
- If the price on the last trading day of the month > 10-month moving average, allocate to that investment.
- If the price < 10-month moving average, allocate that portion of the portfolio to cash.
- Hold until the last trading day of the next month.
How to Invest in the Ivy Portfolio - Timing
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