Faber Ivy (static)
Faber's Ivy Portfolio (static equal-weight version, no trend rule)
Where it stands today
Our calculation, 1984-02 – 2026-09
Growth of $10,000
Where it came from
Mebane Faber, a fund manager at Cambria Investment Management, published 'A Quantitative Approach to Tactical Asset Allocation' on SSRN in 2006 (Faber's own site gives 2006) and in the Journal of Wealth Management in 2007. The paper tested a simple rule across five asset classes: US stocks (S&P 500), foreign stocks (MSCI EAFE), bonds (10-year US Treasuries), real estate (NAREIT) and commodities (GSCI). A class is held when its month-end price is above its 10-month simple moving average, and replaced by cash otherwise. The rule roughly corresponds to the 200-day moving average and is checked once a month.
The five-class, equal-weight portfolio (20% each) was the baseline in that paper. Faber reported that over 1973-2008 the buy-and-hold version earned about 9.77% a year while the timed version earned about 11.27% with much lower drawdowns (figures reproduced by MoneySense and Canadian Couch Potato). Faber summarised the benefit as cutting drawdown from about 46% to under 10%, and his later 2018 follow-up on out-of-sample data showed the rule underperformed stocks in six of the eight years after 2009 (Swedroe). The paper was always intended as a simple example, not as the model he runs for clients.
'The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets' (Wiley, 2009; Faber and Richardson) built on the paper. The authors looked at how large endowments such as Harvard and Yale allocate and proposed that individuals could copy the broad asset mix with ETFs. The book presents two main versions: the 'Ivy 5' (five asset classes, 20% each) and the 'Ivy 10' (ten holdings at 10% each, adding TIPS, foreign bonds, and splitting stocks into more parts). Kiplinger described the ten-holding version as a low-cost set of ETFs and ETNs with 10% each. The book's idea was to hold the portfolio with a 10-month moving-average timing rule to avoid bear markets.
Ivy 5 ETF examples in later monthly updates (Advisor Perspectives, Ivy Portfolio) are VTI (US stocks), VEU (foreign stocks), IEF (7-10 year Treasuries), VNQ (REITs) and DBC (commodities); the monthly signal compares each fund's close with its 10-month simple average.
IMPORTANT for our site: our model is the static equal-weight version with no trend rule. Faber's published edge came from the timing overlay; the static version is only the benchmark that Faber compares against. Calling it 'Ivy Portfolio' is therefore a simplification that the page must state.
What is in it
| US stocks | 20% | S&P 500 in the paper; VTI in the Ivy 5 ETF version |
| Foreign (developed) stocks | 20% | MSCI EAFE in the paper; VEU in the ETF version |
| Bonds (10-year US Treasuries) | 20% | IEF in the ETF version |
| Real estate (REITs) | 20% | NAREIT index; VNQ |
| Commodities | 20% | GSCI in the paper; DBC in the ETF version |
How we model it
| US large companies (S&P 500) | 20% |
| Developed markets outside the US | 20% |
| Intermediate government bonds (10 y) | 20% |
| Real estate (REITs) | 20% |
| Commodities | 20% |
For a euro investor
How to build it with European funds
| Part | Share | Example funds (ISIN) |
|---|---|---|
| US large companies (S&P 500) | 20% | iShares Core S&P 500 UCITS ETF USD (Acc) IE00B5BMR087Vanguard S&P 500 UCITS ETF (USD) Distributing IE00B3XXRP09 |
| Developed markets outside the US (closest match) | 20% | iShares Core MSCI Europe UCITS ETF EUR (Acc) IE00B4K48X80iShares Core MSCI Japan IMI UCITS ETF IE00B4L5YX21 |
| Intermediate government bonds (10 y) | 20% | iShares USD Treasury Bond 7-10yr UCITS ETF (Dist) IE00B1FZS798 |
| Real estate (REITs) | 20% | iShares US Property Yield UCITS ETF IE00B1FZSF77iShares Developed Markets Property Yield UCITS ETF IE00B1FZS350 |
| Commodities | 20% | iShares Diversified Commodity Swap UCITS ETF IE00BDFL4P12 |
The idea
Faber argues that endowments earn their results mainly from broad diversification across stocks, bonds, real estate and real assets, and that adding a simple trend filter lets individuals avoid deep bear markets such as 1973-74, 2000-03 and 2008-09. The static portfolio gives the diversification part; the timing rule gives the defensive part.
How people buy it
Ivy 5 with ETFs (as used in Advisor Perspectives updates): VTI, VEU, IEF, VNQ, DBC. Faber's book also describes the Ivy 10 with TIPS and international bonds. The timing rule requires checking prices monthly and moving to cash (or short Treasuries) for any class below its 10-month average; the static version needs only periodic rebalancing.
Rebalancing as published
Faber recommends periodic rebalancing; for the timing version the published model is updated once a month on the last day of the month and ignores market moves in between. Faber's FAQ says that rebalancing matters more than its exact frequency and suggests yearly rebalancing in tax-exempt accounts.
Variants
- Ivy 5 with 10-month SMA timing (the book's main version; not modelled here).
- Ivy 10: ten holdings at 10% each (adds TIPS, foreign bonds and splits stocks) with or without timing.
- Momentum-rotation variants in the book (pick the top 1-3 asset classes by 3/6/12-month average return) tested against Harvard and Yale returns by CXO Advisory.
- Faber's Global Tactical Asset Allocation (GTAA) trend-following funds at Cambria, which use over 50 asset classes.
Criticism
- CXO Advisory (review of the book): costs were higher and many ETF proxies did not exist for much of the tested period; results were gross of fees and taxes; small accounts may struggle to diversify; crowding could weaken timing premiums; the book's stress tests may not have been severe enough.
- The timing version underperformed stocks in six of the eight years after the 2008-09 bear market (Faber's 2018 follow-up, as reported by Swedroe).
- A simple SPY/IEF replication found that the rule did not beat buy-and-hold through 2007 and only shone in 2008 (r-bloggers replication).
- The static five-class portfolio had a maximum drawdown of about 46% over 1973-2012, so diversification alone does not prevent deep losses; correlations rose in 2008 (Investing Daily).
Through the eras
| Era | Dates | Total | Per year | Worst drop | S&P 500 |
|---|---|---|---|---|---|
| Black Monday | 1987-08 – 1987-12 | −12.8 % | — | −16.0 % | −21.8 % |
| Savings-and-loan crisis and 1990 recession | 1990-07 – 1991-03 | +6.6 % | — | −3.2 % | +7.4 % |
| 1994 bond market massacre | 1994-02 – 1994-12 | −1.1 % | — | −3.9 % | −3.2 % |
| Asian and Russian financial crises | 1997-07 – 1998-10 | +5.4 % | +4.1 % | −10.9 % | +22.4 % |
| Dot-com bubble and crash | 2000-03 – 2002-10 | +0.6 % | +0.2 % | −11.7 % | −37.2 % |
| Recovery and housing boom | 2002-11 – 2007-09 | +131.4 % | +18.6 % | −4.4 % | +97.0 % |
| Global financial crisis | 2007-10 – 2009-03 | −35.2 % | −25.1 % | −43.2 % | −44.7 % |
| The decade after the crisis | 2009-04 – 2019-12 | +193.6 % | +10.5 % | −13.6 % | +411.2 % |
| Fourth-quarter 2018 sell-off | 2018-09 – 2018-12 | −10.7 % | — | −10.9 % | −14.4 % |
| Covid crash and stimulus boom | 2020-02 – 2021-12 | +32.5 % | +15.8 % | −17.9 % | +53.6 % |
| Inflation shock and rate hikes | 2022-01 – 2022-12 | −13.2 % | −13.2 % | −18.5 % | −19.9 % |
Calendar years
Any N-year period
| Any N-year period | Worst | 10 % worse than | Median | 10 % better than | Best |
|---|---|---|---|---|---|
| 1 y (501) | −38.8 % | −2.7 % | +10.5 % | +21.9 % | +49.1 % |
| 3 y (477) | −8.3 % | +2.3 % | +9.4 % | +16.1 % | +24.6 % |
| 5 y (453) | +0.8 % | +4.8 % | +9.0 % | +13.6 % | +19.2 % |
| 10 y (393) | +4.6 % | +5.6 % | +9.2 % | +11.5 % | +12.2 % |
| 15 y (333) | +4.8 % | +6.7 % | +9.0 % | +11.3 % | +12.3 % |
| 20 y (273) | +6.5 % | +7.2 % | +9.0 % | +10.9 % | +11.7 % |
| 30 y (153) | +7.9 % | +8.3 % | +8.8 % | +9.7 % | +10.5 % |
How it behaved in history
- 1973-74 bear market and stagflation. Faber's study includes this period; the static equal-weight portfolio benefitted from real assets (REITs and commodities), while the timing rule is claimed to reduce the loss further. investingdaily.com
- 2000-2003 dot-com bear market. One of the bear markets Faber's rule is designed to avoid; static equal weight holds up better than stocks alone because of bonds and real estate. investingdaily.com
- 2008-2009 financial crisis. Faber uses 2008 as the example where diversification failed, as correlations rose and assets fell together; the timed version suffered only about a 5% drawdown in one replication using SPY and IEF. www.r-bloggers.com
- 2010s. The timing system underperformed stocks six of the eight years after 2009 (Faber's own 2018 review). www.etf.com
Published results (by others)
- Equal-weight five-asset portfolio 1973-2012: maximum drawdown of about 46% versus 51% for the S&P 500 (1973-2012): max drawdown -46.0% (Faber portfolio) vs -51.0% (S&P 500) investingdaily.com
- Buy-and-hold (static) five-asset portfolio versus 10-month SMA timing: annualised returns (1973-2008): 9.77% static vs 11.27% timed canadiancouchpotato.com
- Faber summary: timing cut maximum drawdown from about 46% to under 10% and volatility to single digits (1973-2008): 46% to under 10% www.quantconnect.com
- Harvard endowment return, for context (June 1985 - June 2008): 15.2% annualised kiplinger.com
- 2018 out-of-sample follow-up: Sharpe ratio of the timing rule improved from 0.45 to 0.80 versus buy-and-hold (out-of-sample (to about 2017)): Sharpe 0.45 to 0.80 www.etf.com
What we could not verify
- The SSRN paper and the book were not accessed; all figures are from secondary sources (Investing Daily, Canadian Couch Potato, QuantConnect quoting Faber).
- Faber's own site dates the paper to 2006; the journal version is 2007.
- The exact 2008 drawdown of the static portfolio was not found.
- Bogleheads wiki returned 403; the Kiplinger article body could not be fetched, only its title and a snippet.
Sources
- investingdaily.com
https://investingdaily.com/articles/18093/avoid-market-crashes-using-the-ivy-portfolio-market-timing-system - canadiancouchpotato.com
https://canadiancouchpotato.com/2012/05/14/market-timing-goes-to-college/ - www.quantconnect.com
https://www.quantconnect.com/forum/discussion/8285/a-quantitative-approach-to-tactical-asset-allocation-gtaa-5-with-simplemovingaverage/ - www.etf.com
https://www.etf.com/sections/index-investor-corner/swedroe-why-financial-trends-persist - www.r-bloggers.com
https://www.r-bloggers.com/2009/11/tactical-asset-allocation-using-blotter/ - www.cxoadvisory.com
https://www.cxoadvisory.com/technical-trading/a-few-notes-on-the-ivy-portfolio-how-to-invest-like-the-top-endowments-and-avoid-bear-markets/ - kiplinger.com
https://kiplinger.com/article/investing/t041-c000-s001-the-ivy-endowment-fund-portfolio.html - mebfaber.com
https://mebfaber.com/timing-model/ - www.advisorperspectives.com
https://www.advisorperspectives.com/dshort/updates/2026/09/30/ivy-portfolio-sp500-moving-averages-september-2026
Calculated on historical data. Past results do not predict the future. Models before the 1990s use stand-ins for classes that had no index yet; fees, taxes and fund costs are not included. This is mathematics, not an investment recommendation.