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Mebane Faber Ivy Portfolio

Last updated Apr 1, 2023

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.

Expense Ratio

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Dividend Yield

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10Y Annualized Return

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Sharpe Ratio

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Maximum Drawdown

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Asset Allocation


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

Mebane Faber Ivy Portfolio
Benchmark (^GSPC)
Portfolio components


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 monthYear-To-Date6 months1 year5 years (annualized)10 years (annualized)
Mebane Faber Ivy Portfolio1.23%2.86%8.41%-11.05%5.86%4.48%
Vanguard Total Stock Market ETF
iShares 7-10 Year Treasury Bond ETF
iShares S&P GSCI Commodity-Indexed Trust
Vanguard FTSE All-World ex-US ETF
Vanguard Real Estate ETF

Sharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current Mebane Faber Ivy Portfolio Sharpe ratio is -0.69. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

The chart below displays rolling 12-month Sharpe Ratio.

Mebane Faber Ivy Portfolio
Benchmark (^GSPC)
Portfolio components


Mebane Faber Ivy Portfolio granted a 2.40% dividend yield in the last twelve months.


Dividend yield


Drawdowns Chart

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

Mebane Faber Ivy Portfolio
Benchmark (^GSPC)
Portfolio components

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.



To Bottom


To Recover



-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
-13.12%Aug 30, 201880Dec 24, 201859Mar 21, 2019139
-9.31%Nov 1, 200755Jan 22, 200852Apr 7, 2008107
-8.47%May 2, 201223Jun 4, 201252Aug 16, 201275
-8.13%May 22, 201323Jun 24, 201382Oct 18, 2013105
-7.39%Jan 29, 20189Feb 8, 2018138Aug 27, 2018147

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.

Mebane Faber Ivy Portfolio
Benchmark (^GSPC)
Portfolio components