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 May 5, 2025, corresponding to the inception date of GSG
Returns By Period
As of May 11, 2025, the Mebane Faber Ivy Portfolio returned 1.92% Year-To-Date and 5.51% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -3.77% | 5.53% | -5.60% | 8.37% | 14.61% | 10.35% |
| Mebane Faber Ivy Portfolio | N/A | N/A | N/A | N/A | N/A | N/A |
| Portfolio components: | ||||||
VTI Vanguard Total Stock Market ETF | N/A | N/A | N/A | N/A | N/A | N/A |
IEF iShares 7-10 Year Treasury Bond ETF | 3.34% | 1.23% | 2.07% | 5.84% | -2.84% | 0.91% |
GSG iShares S&P GSCI Commodity-Indexed Trust | N/A | N/A | N/A | N/A | N/A | N/A |
VEU Vanguard FTSE All-World ex-US ETF | N/A | N/A | N/A | N/A | N/A | N/A |
VNQ Vanguard Real Estate ETF | N/A | N/A | N/A | N/A | N/A | N/A |
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 | 0.40% | 0.40% |
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 56, 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 | — | — | — | — | — |
IEF iShares 7-10 Year Treasury Bond ETF | 0.84 | 1.25 | 1.14 | 0.28 | 1.76 |
GSG iShares S&P GSCI Commodity-Indexed Trust | — | — | — | — | — |
VEU Vanguard FTSE All-World ex-US ETF | — | — | — | — | — |
VNQ Vanguard Real Estate ETF | — | — | — | — | — |
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Dividends
Dividend yield
Mebane Faber Ivy Portfolio provided a 2.41% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.41% | 0.72% | 0.58% | 0.39% | 0.17% | 0.22% | 0.42% | 0.45% | 0.36% | 0.36% | 0.38% | 0.41% |
| Portfolio components: | ||||||||||||
VTI Vanguard Total Stock Market ETF | 1.35% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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 | 2.90% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VNQ Vanguard Real Estate ETF | 4.07% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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 0.20%, occurring on May 7, 2025. Recovery took 2 trading sessions.
The current Mebane Faber Ivy Portfolio drawdown is 2.47%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -0.2% | May 6, 2025 | 2 | May 7, 2025 | 2 | May 9, 2025 | 4 |
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 | VNQ | VTI | GSG | IEF | VEU | Portfolio | |
|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.20 | 1.00 | 0.20 | -0.40 | -0.60 | 0.00 |
| VNQ | 0.20 | 1.00 | 0.20 | -0.60 | 0.00 | 0.20 | 0.40 |
| VTI | 1.00 | 0.20 | 1.00 | 0.20 | -0.40 | -0.60 | 0.00 |
| GSG | 0.20 | -0.60 | 0.20 | 1.00 | -0.80 | 0.20 | 0.40 |
| IEF | -0.40 | 0.00 | -0.40 | -0.80 | 1.00 | -0.40 | -0.80 |
| VEU | -0.60 | 0.20 | -0.60 | 0.20 | -0.40 | 1.00 | 0.80 |
| Portfolio | 0.00 | 0.40 | 0.00 | 0.40 | -0.80 | 0.80 | 1.00 |
AI Insight on Diversification
The portfolio is moderately diversified with a mix of asset classes that exhibit varying degrees of correlation. The correlation matrix reveals that certain positions, particularly VEU (international equities) and VTI (U.S. equities), have a very high correlation of 0.84, and both are strongly correlated with the portfolio at 0.85. VNQ (real estate) also shows a high correlation with VTI (0.69) and VEU (0.58), and a strong correlation with the portfolio (0.77). These high correlations among equity-related assets suggest some concentration risk within the equity segment, which could reduce diversification benefits.
On the other hand, IEF (U.S. Treasury bonds) has low to negative correlations with most other positions, ranging from -0.29 with VTI to -0.08 with VNQ, and a modest negative correlation with the portfolio at -0.15. This low and negative correlation helps to provide diversification and reduce portfolio volatility, serving as a stabilizing component.
GSG (commodities) has moderate positive correlations with equity positions (around 0.34 to 0.41) and a correlation of 0.6 with the portfolio, indicating it contributes some diversification but is somewhat aligned with equity movements.
The portfolio’s strongest correlations are with VTI and VEU, indicating these two positions dominate the portfolio’s behavior and likely represent the largest weights or most influential assets. The presence of IEF with negative correlations adds a valuable diversification layer, but the clustering of equity and real estate assets with high inter-correlations suggests the portfolio leans toward equity risk factors.
Overall, the portfolio is not highly concentrated but shows moderate concentration in equity-related assets. It benefits from diversification through fixed income (IEF) and commodities (GSG), but the strong correlations among equity and real estate holdings limit the breadth of diversification. This structure can lead to higher sensitivity to equity market movements despite some risk mitigation from bonds and commodities.