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
Performance Chart
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
The earliest data available for this chart is Mar 8, 2007, corresponding to the inception date of VEU
Returns By Period
As of Nov 20, 2024, the Mebane Faber Ivy Portfolio returned 9.80% Year-To-Date and 5.33% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y (annualized) | 10Y (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 24.05% | 1.08% | 11.50% | 30.38% | 13.77% | 11.13% |
| Mebane Faber Ivy Portfolio | 9.80% | -0.74% | 5.32% | 15.37% | 7.24% | 5.33% |
| Portfolio components: | ||||||
VTI Vanguard Total Stock Market ETF | 24.70% | 1.68% | 12.42% | 32.52% | 14.95% | 12.63% |
IEF iShares 7-10 Year Treasury Bond ETF | -0.04% | -1.39% | 2.36% | 4.43% | -1.55% | 0.81% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 5.83% | 0.47% | -4.37% | 0.24% | 6.66% | -2.26% |
VEU Vanguard FTSE All-World ex-US ETF | 6.93% | -3.93% | 0.00% | 12.97% | 5.60% | 4.83% |
VNQ Vanguard Real Estate ETF | 10.64% | -0.69% | 15.94% | 25.05% | 4.63% | 6.02% |
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.22% | 1.84% | 2.79% | -3.39% | 2.66% | 1.30% | 2.49% | 1.91% | 1.86% | -2.12% | 9.80% | ||
| 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% | 2.03% | 1.61% | 0.74% | -1.90% | 4.39% | -3.53% | 4.76% | 21.31% |
| 2020 | -1.86% | -5.18% | -14.19% | 4.03% | 5.34% | 3.07% | 3.57% | 3.17% | -2.47% | -2.37% | 9.33% | 3.91% | 4.26% |
| 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% |
| 2013 | 2.99% | -0.59% | 1.80% | 1.75% | -2.35% | -1.94% | 3.33% | -2.02% | 2.58% | 2.28% | -0.71% | 0.73% | 7.89% |
Expense Ratio
Mebane Faber Ivy Portfolio has an expense ratio of 0.22%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Mebane Faber Ivy Portfolio is 33, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
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 | 2.57 | 3.45 | 1.47 | 3.75 | 16.43 |
IEF iShares 7-10 Year Treasury Bond ETF | 0.65 | 0.97 | 1.11 | 0.22 | 1.77 |
GSG iShares S&P GSCI Commodity-Indexed Trust | 0.04 | 0.17 | 1.02 | 0.01 | 0.13 |
VEU Vanguard FTSE All-World ex-US ETF | 0.99 | 1.43 | 1.18 | 1.17 | 4.92 |
VNQ Vanguard Real Estate ETF | 1.49 | 2.10 | 1.26 | 0.89 | 5.37 |
Dividends
Dividend yield
Mebane Faber Ivy Portfolio provided a 2.32% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.32% | 2.32% | 2.13% | 1.54% | 1.69% | 2.07% | 2.46% | 2.08% | 2.30% | 2.15% | 2.19% | 2.10% |
| Portfolio components: | ||||||||||||
VTI Vanguard Total Stock Market ETF | 1.28% | 1.44% | 1.67% | 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 | 3.50% | 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 | 2.98% | 3.32% | 3.12% | 3.07% | 2.00% | 3.10% | 3.27% | 2.66% | 2.96% | 2.95% | 3.52% | 2.66% |
VNQ Vanguard Real Estate ETF | 3.84% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% | 4.32% |
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.
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 1.94%.
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 | 364 | Mar 28, 2024 | 501 |
| -16.23% | May 2, 2011 | 108 | Oct 3, 2011 | 98 | Feb 23, 2012 | 206 |
Volatility
Volatility Chart
The current Mebane Faber Ivy Portfolio volatility is 2.36%, 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.
Diversification
Asset Correlations Table
| IEF | GSG | VNQ | VEU | VTI | |
|---|---|---|---|---|---|
| IEF | 1.00 | -0.20 | -0.09 | -0.26 | -0.30 |
| GSG | -0.20 | 1.00 | 0.18 | 0.41 | 0.34 |
| VNQ | -0.09 | 0.18 | 1.00 | 0.58 | 0.69 |
| VEU | -0.26 | 0.41 | 0.58 | 1.00 | 0.84 |
| VTI | -0.30 | 0.34 | 0.69 | 0.84 | 1.00 |