Ivy Portfolio
TacticalPromoderateBased on research by Meb Faber & Eric Richardson · Faber, M. & Richardson, E. (2009). The Ivy Portfolio
This is BestFolio's independent implementation. Not affiliated with or endorsed by the original author.
Launched 2009About this Strategy
Five-asset equal-weight portfolio (US stocks, intl stocks, REITs, bonds, commodities) with a 200-day SMA trend filter. Below-trend assets shift to cash, providing systematic downside protection.
The complete strategy logic, asset universe, and rebalancing rules are available to Pro subscribers. This includes the full methodology description, author notes, and implementation details.
Pro subscribers also get access to current signals, full backtest history, and the ability to blend this strategy into custom portfolios.
Strategy Rules
Pro subscribers only
- 1Equal-weight allocation: 20% each to VTI, VEU, VNQ, AGG, DBC
- 2For each asset: if price > 200-day SMA → hold the 20% allocation
- 3If price <= 200-day SMA → move that 20% to cash (BIL)
- 4Monthly rebalance on last trading day
Asset Universe
Pro subscribers only
5 instruments this strategy can hold
Key Differentiators
Research Source
Based on research by Meb Faber & Eric Richardson
Faber, M. & Richardson, E. (2009). The Ivy Portfolio
Strategy Info
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Jun 109:30 ET (10d)
- Variants
- 1
- Risk Category
- moderate
- Tags
- momentum, multi asset
- Type
- Tactical Asset Allocation (TAA)
- Trading Frequency
- Monthly (last trading day)
- Rebalancing
- Full portfolio rebalance each month
- Universe Size
- 5 assets + 1 cash asset
- Trend Filter
- 200-day simple moving average (daily prices)
- Concentration
- Equal weight 20% per asset (5 assets)
- Cash Mechanism
- Assets below 200-day SMA → allocation moved to BIL
- Data Source
- Institutional-grade market data (13 months minimum history + 200 trading days for SMA)
Asset Classes
Ivy Portfolio at a glance
Ivy Portfolio is a tactical asset allocation (TAA) strategy by Meb Faber & Eric Richardson across US Equity, International Equity, REITs, US Aggregate Bonds, rebalanced monthly. Backtested 1986-02-28 to 2026-05-20 (40.2 years): 7.5% CAGR, 1.06 Sharpe, -17.9% max drawdown, 7.1% volatility.
- Type
- Tactical (TAA)
- Author
- Meb Faber & Eric Richardson
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-05-20
- CAGR
- 7.5%
- Sharpe
- 1.06
- Max Drawdown
- -17.9%
- Volatility
- 7.1%
Ivy Portfolio — Tactical Asset Allocation Strategy
The Ivy Portfolio, inspired by the endowment allocation strategies of Yale and Harvard as described by Meb Faber and Eric Richardson, is an equal-weight 5-asset portfolio with a trend-following overlay. Each of the five asset classes receives a 20% allocation, but if an asset is trading below its 200-day simple moving average, that 20% slice is moved to cash (BIL). This provides systematic downside protection while maintaining broad diversification across major asset classes.
Backtest Performance (1986-02-28 to 2026-05-20)
| Metric | Ivy Portfolio |
|---|---|
| Compound Annual Growth Rate (CAGR) | 7.5% |
| Maximum Drawdown | -17.9% |
| Sharpe Ratio | 1.06 |
| Sortino Ratio | 1.30 |
| Annualized Volatility | 7.1% |
| Calmar Ratio | 0.42 |
| Total Return | 1758.4% |
| Backtest Period | 40.2 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Meb Faber & Eric Richardson
- Source
- Faber, M. & Richardson, E. (2009). The Ivy Portfolio
Asset Classes
- US Equity
- International Equity
- REITs
- US Aggregate Bonds
- Commodities
Categories
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