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
Performance
The chart shows the growth of $10,000 invested in Mebane Faber Ivy Portfolio in Oct 2022 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $19,865 for a total return of roughly 98.65%. All prices are adjusted for splits and dividends. The portfolio is rebalanced Quarterly
Returns
As of Apr 1, 2023, the Mebane Faber Ivy Portfolio returned 2.86% Year-To-Date and 4.48% of annualized return in the last 10 years.
| 1 month | Year-To-Date | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | 3.51% | 7.03% | 12.88% | -10.71% | 9.25% | 10.16% |
| Mebane Faber Ivy Portfolio | 1.23% | 2.86% | 8.41% | -11.05% | 5.86% | 4.48% |
| Portfolio components: | ||||||
VTI Vanguard Total Stock Market ETF | 2.71% | 7.18% | 13.17% | -10.19% | 10.36% | 11.75% |
IEF iShares 7-10 Year Treasury Bond ETF | 3.72% | 3.92% | 4.05% | -5.84% | 0.81% | 0.92% |
GSG iShares S&P GSCI Commodity-Indexed Trust | -0.94% | -5.23% | -3.64% | -14.09% | 4.11% | -4.68% |
VEU Vanguard FTSE All-World ex-US ETF | 2.84% | 6.88% | 21.79% | -5.66% | 2.63% | 4.58% |
VNQ Vanguard Real Estate ETF | -2.16% | 1.69% | 7.29% | -21.13% | 5.81% | 5.76% |
| Returns over 1 year are annualized | ||||||
Dividends
Mebane Faber Ivy Portfolio granted a 2.40% dividend yield in the last twelve months.
| Period | TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividend yield | 2.40% | 2.10% | 1.59% | 1.79% | 2.24% | 2.75% | 2.42% | 2.76% | 2.65% | 2.77% | 2.77% | 2.80% |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the Mebane Faber Ivy Portfolio. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the Mebane Faber Ivy Portfolio is 48.90%, recorded on Mar 5, 2009. It took 540 trading sessions for the portfolio to recover.
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 | 174 | Nov 27, 2020 | 218 |
| -19.67% | Jul 2, 2014 | 407 | Feb 11, 2016 | 393 | Sep 1, 2017 | 800 |
| -18.65% | Mar 31, 2022 | 137 | Oct 14, 2022 | — | — | — |
| -16.23% | May 2, 2011 | 108 | Oct 3, 2011 | 98 | Feb 23, 2012 | 206 |
| -13.12% | Aug 30, 2018 | 80 | Dec 24, 2018 | 59 | Mar 21, 2019 | 139 |
| -9.31% | Nov 1, 2007 | 55 | Jan 22, 2008 | 52 | Apr 7, 2008 | 107 |
| -8.47% | May 2, 2012 | 23 | Jun 4, 2012 | 52 | Aug 16, 2012 | 75 |
| -8.13% | May 22, 2013 | 23 | Jun 24, 2013 | 82 | Oct 18, 2013 | 105 |
| -7.39% | Jan 29, 2018 | 9 | Feb 8, 2018 | 138 | Aug 27, 2018 | 147 |
Volatility Chart
Current Mebane Faber Ivy Portfolio volatility is 15.18%. The chart below shows the rolling 10-day volatility. Volatility is a statistical measure showing how big price swings are in either direction. The higher asset volatility, the riskier it is, because the price movements are less predictable.