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 2026-07-03, Ivy Portfolio returned 7.5% CAGR with a -17.9% maximum drawdown and a Sharpe ratio of 1.16. 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.

Ivy Portfolio Strategy by Meb Faber & Eric Richardson

Name: Ivy Portfolio, Backtest Time Series
Creator: BestFolio
License: https://creativecommons.org/licenses/by-nc/4.0/

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 2026-07-03 (40.3 years): 7.5% CAGR, 1.16 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 2026-07-03
CAGR: 7.5%
Sharpe: 1.16
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.

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 2026-07-03, Ivy Portfolio returned 7.5% CAGR with a -17.9% maximum drawdown and a Sharpe ratio of 1.16. 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 2026-07-03)

Metric	Ivy Portfolio
Compound Annual Growth Rate (CAGR)	7.5%
Maximum Drawdown	-17.9%
Sharpe Ratio	1.16
Sortino Ratio	1.53
Annualized Volatility	7.1%
Calmar Ratio	0.42
Total Return	1720.6%
Backtest Period	40.3 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

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