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Mebane Faber Ivy Portfolio

Last updated Feb 24, 2024

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


IEF 20%GSG 20%VTI 20%VEU 20%VNQ 20%BondBondCommodityCommodityEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
IEF
iShares 7-10 Year Treasury Bond ETF
Government Bonds

20%

GSG
iShares S&P GSCI Commodity-Indexed Trust
Commodities

20%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

20%

VEU
Vanguard FTSE All-World ex-US ETF
Foreign Large Cap Equities

20%

VNQ
Vanguard Real Estate ETF
REIT

20%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in Mebane Faber Ivy Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


-5.00%0.00%5.00%10.00%15.00%SeptemberOctoberNovemberDecember2024February
7.18%
15.51%
Mebane Faber Ivy Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 8, 2007, corresponding to the inception date of VEU

Returns

As of Feb 24, 2024, the Mebane Faber Ivy Portfolio returned 1.23% Year-To-Date and 4.74% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.69%4.52%15.50%26.83%12.76%10.70%
Mebane Faber Ivy Portfolio1.23%1.09%7.18%10.84%7.07%4.73%
VTI
Vanguard Total Stock Market ETF
6.23%3.99%16.20%28.34%13.71%12.04%
IEF
iShares 7-10 Year Treasury Bond ETF
-2.20%-0.90%1.99%1.63%-0.33%1.02%
GSG
iShares S&P GSCI Commodity-Indexed Trust
3.99%-0.95%-2.98%3.17%6.38%-4.38%
VEU
Vanguard FTSE All-World ex-US ETF
2.07%3.67%10.14%13.95%5.88%4.45%
VNQ
Vanguard Real Estate ETF
-4.02%-0.43%7.11%3.31%3.86%6.05%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.21%
20233.94%-1.97%-2.77%-3.06%6.01%4.33%

Sharpe Ratio

The current Mebane Faber Ivy Portfolio Sharpe ratio is 1.05. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.05

The Sharpe ratio of Mebane Faber Ivy Portfolio is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00SeptemberOctoberNovemberDecember2024February
1.05
2.23
Mebane Faber Ivy Portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

Mebane Faber Ivy Portfolio granted a 2.35% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Mebane Faber Ivy Portfolio2.35%2.32%2.13%1.54%1.68%2.07%2.46%2.08%2.30%2.15%2.19%2.10%
VTI
Vanguard Total Stock Market ETF
1.35%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
IEF
iShares 7-10 Year Treasury Bond ETF
3.01%2.91%1.96%0.83%1.08%2.08%2.24%1.82%1.81%1.90%2.05%1.77%
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
3.25%3.32%3.12%3.08%2.00%3.10%3.27%2.66%2.96%2.95%3.52%2.66%
VNQ
Vanguard Real Estate ETF
4.12%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%

Expense Ratio

The Mebane Faber Ivy Portfolio has a high expense ratio of 0.22%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.75%
0.00%2.15%
0.15%
0.00%2.15%
0.12%
0.00%2.15%
0.07%
0.00%2.15%
0.03%
0.00%2.15%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.23
Mebane Faber Ivy Portfolio
1.05
VTI
Vanguard Total Stock Market ETF
2.15
IEF
iShares 7-10 Year Treasury Bond ETF
0.15
GSG
iShares S&P GSCI Commodity-Indexed Trust
0.23
VEU
Vanguard FTSE All-World ex-US ETF
0.96
VNQ
Vanguard Real Estate ETF
0.12

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

IEFGSGVNQVEUVTI
IEF1.00-0.20-0.11-0.28-0.32
GSG-0.201.000.190.420.35
VNQ-0.110.191.000.590.70
VEU-0.280.420.591.000.84
VTI-0.320.350.700.841.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2024February
-2.79%
0
Mebane Faber Ivy Portfolio
Benchmark (^GSPC)
Portfolio components

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 2.79%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-48.9%May 20, 2008200Mar 5, 2009540Apr 26, 2011740
-27.66%Jan 21, 202044Mar 23, 2020174Nov 27, 2020218
-19.67%Jul 2, 2014407Feb 11, 2016393Sep 1, 2017800
-18.65%Mar 31, 2022137Oct 14, 2022
-16.23%May 2, 2011108Oct 3, 201198Feb 23, 2012206

Volatility Chart

The current Mebane Faber Ivy Portfolio volatility is 2.75%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%SeptemberOctoberNovemberDecember2024February
2.75%
3.90%
Mebane Faber Ivy Portfolio
Benchmark (^GSPC)
Portfolio components
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