Ivy Portfolio — Tactical Asset Allocation 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. Monthly rebalancing.
Backtest Performance (1990-10-31 to 2026-04-07)
| Metric | Ivy Portfolio |
|---|---|
| Compound Annual Growth Rate (CAGR) | 7.5% |
| Maximum Drawdown | -17.8% |
| Sharpe Ratio | 1.02 |
| Sortino Ratio | 1.27 |
| Annualized Volatility | 7.3% |
| Calmar Ratio | 0.42 |
| Total Return | 1176.6% |
| Backtest Period | 35.4 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Meb Faber & Eric Richardson
Categories
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