Ivy Portfolio
Equal-weight allocation: 20% each to VTI, VEU, VNQ, AGG, DBC. Backtest max drawdown: -16.5%.
Strategy & methodology
Equal-weight allocation: 20% each to VTI, VEU, VNQ, AGG, DBC; For each asset: if price > 200-day SMA → hold the 20% allocation; If price <= 200-day SMA → move that 20% to cash (BIL); Monthly rebalance on last trading day.
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2009; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-01.
Simulated history
Stand-in funds and until when (6)
- VEU: EFA before Mar 8, 2007
- VNQ: VGSIX before Sep 29, 2004
- AGG: VBMFX before Sep 26, 2003
- VTI: VTSMX before May 31, 2001
- VNQ: FRESX before Sep 29, 2004
- VTI: VFINX before May 31, 2001
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
Equal-weight allocation: 20% each to VTI, VEU, VNQ, AGG, DBC. Backtest max drawdown: -16.5%. This is a tactical asset allocation strategy. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.
- BestFolio supplies
- The monthly signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. BestFolio does not execute orders.
- Costs and exclusions
- Backtests are net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled. No tax, no slippage beyond the stated cost. Methodology limitations
Published result: Engine drift-until-flip-v1, data version 81a2c7f7, published 2026-10-01
Is Ivy Portfolio still working in 2026?
Ivy Portfolio returned 12.44% over the trailing 12 months and 32.62% over 36 months through 2026-10-01, compared with a full-backtest annualized return of 7.45%. Its full-backtest maximum drawdown was -16.46%. The full sample contains 10252 daily NAV observations from 1986-02-28. These are model results, not investor account returns or a promise. As of 2026-10-01 it is -1.96% below its high-water mark of 2026-09-03, 28 days ago, and its longest run below a previous high was 3.6 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 12.44% | Not annualized | -3.12% | 252 | 2025-10-01 to 2026-10-01 |
| Trailing 36 months | 32.62% | Not annualized | -8.91% | 754 | 2023-09-29 to 2026-10-01 |
| Full backtest | 1744.84% | 7.45% | -16.46% | 10252 | 1986-02-28 to 2026-10-01 |
Last verified
Common questions about these results
Are these live investor returns?
No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.
Why can a strategy lag for a year?
A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.
How long has it spent below a previous high?
Its last high-water mark was 2026-09-03, 28 days before 2026-10-01, and it is -1.96% below that level now. The longest run below a previous high in the full backtest was 3.6 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
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 2026-10-01 (40.6 years): 7.4% CAGR, 1.12 Sharpe, -16.5% max drawdown, 7.0% volatility.
- Type
- Tactical (TAA)
- Author
- Meb Faber & Eric Richardson
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-10-01
- CAGR
- 7.4%
- Sharpe
- 1.12
- Max Drawdown
- -16.5%
- Volatility
- 7.0%
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.
Ivy Portfolio: frequently asked questions
- What is Ivy Portfolio?
- 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.
- Who created the Ivy Portfolio strategy?
- Ivy Portfolio was developed by Meb Faber & Eric Richardson. It is based on Faber, M. & Richardson, E. (2009). The Ivy Portfolio.
- What is the historical return and maximum drawdown of Ivy Portfolio?
- Backtested from 1986-02-28 to 2026-10-01, Ivy Portfolio returned 7.4% CAGR with a -16.5% maximum drawdown and a Sharpe ratio of 1.12. Past performance does not guarantee future results.
- How often is Ivy Portfolio rebalanced?
- Ivy Portfolio is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is Ivy Portfolio a tactical asset allocation strategy?
- Yes. Ivy Portfolio is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.
Backtest Performance (1986-02-28 to 2026-10-01)
| Metric | Ivy Portfolio |
|---|---|
| CAGR | 7.4% |
| Max Drawdown | -16.5% |
| Sharpe | 1.12 |
| Sortino | 1.88 |
| Volatility | 7.0% |
| Calmar | 0.45 |
| Total Return | 1744.8% |
| Backtest Period | 40.6 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
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
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding Ivy Portfolio alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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