Mebane Faber Ivy Portfolio
The Mebane Faber Ivy Portfolio is an investment strategy developed by Mebane Faber, the co-founder and Chief Investment Officer of Cambria Investment Management. It is based on the investment approach of some of the endowments of Ivy League universities, which are known for their long-term, risk-averse approach to investing.
The Ivy Portfolio consists of a mix of stocks, bonds, and cash, with the specific asset classes and investments within each category varying over time. The portfolio is designed to be globally diversified and to balance growth and income. The asset allocation is periodically adjusted based on the market environment and other factors, such as interest rates and inflation.
One of the fundamental principles of the Ivy Portfolio is the idea of "tactical asset allocation," which involves actively adjusting the portfolio's asset mix based on market conditions. The goal is to maximize returns while minimizing risk and producing consistent, long-term results.
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
GSG iShares S&P GSCI Commodity-Indexed Trust | Commodities | 20% |
IEF iShares 7-10 Year Treasury Bond ETF | Government Bonds | 20% |
VEU Vanguard FTSE All-World ex-US ETF | Foreign Large Cap Equities | 20% |
VNQ Vanguard Real Estate ETF | REIT | 20% |
VTI Vanguard Total Stock Market ETF | Large Cap Growth Equities | 20% |
Performance
Performance Chart
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The earliest data available for this chart is Mar 8, 2007, corresponding to the inception date of VEU
Returns By Period
As of Jun 1, 2025, the Mebane Faber Ivy Portfolio returned 3.33% Year-To-Date and 5.65% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 0.51% | 5.49% | -2.00% | 12.02% | 14.19% | 10.85% |
| Mebane Faber Ivy Portfolio | 3.33% | 2.39% | 0.57% | 8.40% | 9.96% | 5.65% |
| Portfolio components: | ||||||
VTI Vanguard Total Stock Market ETF | 0.38% | 5.60% | -2.68% | 12.80% | 15.23% | 12.13% |
IEF iShares 7-10 Year Treasury Bond ETF | 3.58% | -0.81% | 1.24% | 5.74% | -2.84% | 0.96% |
GSG iShares S&P GSCI Commodity-Indexed Trust | -2.76% | 1.39% | 0.14% | -3.55% | 16.61% | -0.13% |
VEU Vanguard FTSE All-World ex-US ETF | 13.97% | 4.87% | 11.01% | 13.21% | 10.58% | 5.68% |
VNQ Vanguard Real Estate ETF | 1.30% | 0.79% | -7.18% | 11.75% | 6.90% | 5.35% |
Monthly Returns
The table below presents the monthly returns of Mebane Faber Ivy Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.43% | 1.03% | -0.99% | -1.67% | 2.57% | 3.33% | |||||||
| 2024 | -0.22% | 1.84% | 2.79% | -3.39% | 2.66% | 1.30% | 2.49% | 1.91% | 1.86% | -2.12% | 2.18% | -2.67% | 8.67% |
| 2023 | 5.88% | -4.05% | 1.26% | 0.61% | -2.91% | 4.01% | 3.94% | -1.97% | -2.77% | -3.06% | 6.01% | 4.33% | 11.00% |
| 2022 | -1.47% | 0.20% | 3.16% | -3.91% | 0.68% | -6.33% | 4.74% | -4.22% | -8.83% | 3.93% | 5.37% | -3.27% | -10.57% |
| 2021 | 0.74% | 3.41% | 1.22% | 4.91% | 1.45% | 1.97% | 1.61% | 0.74% | -1.90% | 4.39% | -3.53% | 4.76% | 21.24% |
| 2020 | -1.86% | -5.18% | -14.19% | 4.03% | 5.34% | 2.95% | 3.57% | 3.17% | -2.47% | -2.37% | 9.33% | 3.84% | 4.06% |
| 2019 | 7.39% | 1.80% | 2.14% | 1.78% | -3.53% | 3.95% | 0.18% | -0.31% | 1.34% | 1.54% | 0.66% | 2.67% | 21.06% |
| 2018 | 1.65% | -4.26% | 0.91% | 1.04% | 1.39% | 0.88% | 0.52% | 1.14% | 0.10% | -5.02% | -0.29% | -5.19% | -7.24% |
| 2017 | 0.90% | 1.87% | -0.62% | 0.37% | 0.61% | 0.35% | 2.23% | 0.18% | 1.18% | 1.35% | 1.47% | 1.44% | 11.89% |
| 2016 | -3.33% | -0.64% | 5.91% | 2.12% | 0.88% | 2.04% | 0.58% | -0.44% | 0.78% | -2.57% | -0.20% | 2.76% | 7.83% |
| 2015 | -0.08% | 2.08% | -1.27% | 1.95% | -0.57% | -2.17% | -1.14% | -4.09% | -1.48% | 3.96% | -2.10% | -2.09% | -7.04% |
| 2014 | -0.78% | 4.11% | 0.17% | 1.32% | 1.55% | 1.51% | -1.85% | 1.74% | -4.01% | 1.71% | -0.72% | -2.55% | 1.94% |
Expense Ratio
Mebane Faber Ivy Portfolio has an expense ratio of 0.22%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Mebane Faber Ivy Portfolio is 47, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
VTI Vanguard Total Stock Market ETF | 0.68 | 0.98 | 1.14 | 0.63 | 2.36 |
IEF iShares 7-10 Year Treasury Bond ETF | 0.95 | 1.39 | 1.16 | 0.31 | 1.94 |
GSG iShares S&P GSCI Commodity-Indexed Trust | -0.24 | -0.42 | 0.95 | -0.09 | -1.11 |
VEU Vanguard FTSE All-World ex-US ETF | 0.82 | 1.15 | 1.15 | 0.91 | 2.88 |
VNQ Vanguard Real Estate ETF | 0.77 | 1.17 | 1.15 | 0.60 | 2.46 |
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Dividends
Dividend yield
Mebane Faber Ivy Portfolio provided a 2.38% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.38% | 2.40% | 2.32% | 2.13% | 1.54% | 1.68% | 2.07% | 2.46% | 2.08% | 2.30% | 2.15% | 2.19% |
| Portfolio components: | ||||||||||||
VTI Vanguard Total Stock Market ETF | 1.29% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% | 1.76% |
IEF iShares 7-10 Year Treasury Bond ETF | 3.71% | 3.62% | 2.91% | 1.96% | 0.83% | 1.08% | 2.08% | 2.24% | 1.82% | 1.81% | 1.90% | 2.05% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VEU Vanguard FTSE All-World ex-US ETF | 2.82% | 3.24% | 3.32% | 3.12% | 3.07% | 2.00% | 3.10% | 3.27% | 2.66% | 2.96% | 2.95% | 3.52% |
VNQ Vanguard Real Estate ETF | 4.07% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Mebane Faber Ivy Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Mebane Faber Ivy Portfolio was 48.90%, occurring on Mar 5, 2009. Recovery took 540 trading sessions.
The current Mebane Faber Ivy Portfolio drawdown is 1.12%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -48.9% | May 20, 2008 | 200 | Mar 5, 2009 | 540 | Apr 26, 2011 | 740 |
| -27.66% | Jan 21, 2020 | 44 | Mar 23, 2020 | 178 | Dec 3, 2020 | 222 |
| -19.67% | Jul 2, 2014 | 407 | Feb 11, 2016 | 393 | Sep 1, 2017 | 800 |
| -18.65% | Mar 31, 2022 | 137 | Oct 14, 2022 | 364 | Mar 28, 2024 | 501 |
| -16.23% | May 2, 2011 | 108 | Oct 3, 2011 | 98 | Feb 23, 2012 | 206 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 5 assets, with an effective number of assets of 5.00, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| ^GSPC | IEF | GSG | VNQ | VEU | VTI | Portfolio | |
|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | -0.29 | 0.34 | 0.68 | 0.83 | 0.99 | 0.85 |
| IEF | -0.29 | 1.00 | -0.20 | -0.08 | -0.25 | -0.29 | -0.14 |
| GSG | 0.34 | -0.20 | 1.00 | 0.18 | 0.41 | 0.34 | 0.60 |
| VNQ | 0.68 | -0.08 | 0.18 | 1.00 | 0.58 | 0.69 | 0.77 |
| VEU | 0.83 | -0.25 | 0.41 | 0.58 | 1.00 | 0.84 | 0.85 |
| VTI | 0.99 | -0.29 | 0.34 | 0.69 | 0.84 | 1.00 | 0.85 |
| Portfolio | 0.85 | -0.14 | 0.60 | 0.77 | 0.85 | 0.85 | 1.00 |
AI Insight on Diversification
The portfolio is moderately diversified with a blend of asset classes showing varying degrees of correlation. The highest correlations are observed among equity-related positions: VTI (U.S. total stock market), VEU (international equities), and VNQ (real estate), with correlations ranging from 0.58 to 0.85. This clustering indicates that these equity and real estate components tend to move somewhat in tandem, which can reduce diversification benefits within the equity portion of the portfolio.
In contrast, IEF (intermediate-term U.S. Treasury bonds) exhibits low to negative correlations with most other assets, ranging from -0.29 with VTI to -0.14 with the overall portfolio. This suggests that IEF provides a meaningful diversification benefit by potentially offsetting equity and commodity risks during market downturns.
GSG (a broad commodity index) shows moderate positive correlations with equity and real estate positions (0.18 to 0.6) but a negative correlation with IEF (-0.2). This intermediate correlation profile positions commodities as a diversifier that is somewhat linked to equities but still distinct enough to contribute to risk reduction.
Regarding the portfolio's correlation with individual positions, VTI and VEU have the highest correlations (0.85), indicating these equity components heavily influence the portfolio’s overall behavior. VNQ also has a strong correlation (0.77), reinforcing the dominance of equity-related assets. IEF’s relatively low correlation (−0.14) with the portfolio highlights its role as a stabilizing asset.
Overall, the portfolio is not overly concentrated but leans toward equity exposure, with fixed income and commodities providing diversification. The presence of low or negative correlations with IEF and moderate correlations with GSG enhance diversification, while the strong correlations among equity and real estate holdings suggest some concentration risk within that segment. Balancing these dynamics, the portfolio achieves a reasonable diversification profile but could benefit from further reducing correlations among its equity-related components to improve risk mitigation.