Ivy Portfolio Backtest Q3 2026

Meb Faber's Ivy Portfolio, inspired by the endowment strategies of Yale and Harvard, is one of the most elegantly simple tactical asset allocation strategies available. Using just the 10-month moving average as a signal, it navigated the 2008 crash with only -8.5% drawdown while the S&P 500 lost -57%. But how has it performed in the modern era?

The Five-Asset Framework

The Ivy Portfolio allocates equally across five asset classes: US Equities, International Equities, REITs (real estate), Commodities, and Bonds. Each month, it checks whether each asset is above or below its 10-month SMA. If above, hold it. If below, move that 20% allocation to cash. This systematic trend filter is the key innovation.

Modern Era Performance (2015–2025)

The 2015-2025 decade was challenging for the Ivy Portfolio due to the unusual strength of US equities relative to other asset classes. Commodities repeatedly fell below their 10-month SMA, triggering exits. REITs were volatile. However, the absolute momentum filter successfully avoided the 2020 COVID crash (partially) and limited 2022 losses significantly.

UCITS ETF Implementation for Europe

European investors can implement Ivy with: CSPX (US Equities), IWDA (International Equities), TRET (Global REITs UCITS), CMOD (Commodities), AGGG (Bonds). Calculate the 10-month SMA using free tools like Portfolio Visualizer or Yahoo Finance. Check signals on the last trading day of each month.

"The best way to reduce risk is to diversify across asset classes and to use a simple trend-following rule to protect capital during major bear markets." — Meb Faber

The Ivy Execution Rules

The Ivy Portfolio is rebalanced once per month. At the end of each month, the investor carries out the following steps:

1. Calculate the 10-month Simple Moving Average (SMA) for each of the five asset classes.
2. Compare the current price of each asset to its 10-month SMA.
3. If the asset's price is above its 10-month SMA, invest 20% of the portfolio in that asset.
4. If the asset's price is below its 10-month SMA, move that 20% allocation into cash (or short-term Treasury bills).

Why Ivy Works

The Ivy Portfolio combines broad diversification with a strict risk-management overlay. By holding five uncorrelated asset classes, the portfolio naturally reduces volatility. However, the true magic lies in the 10-month SMA trend filter. When a structural bear market begins, assets typically break below their 10-month moving average. By shifting to cash, the portfolio sidesteps the worst drawdowns (like in 2008 or 2020), preserving capital for when the uptrend eventually resumes.

Historical Performance Summary

Over the long term (1973-2025), the Ivy Portfolio has delivered equity-like returns with bond-like volatility. Its most famous achievement was losing only single digits during the 2008 Global Financial Crisis, a time when most stock portfolios were cut in half. While it may lag a pure S&P 500 portfolio during raging bull markets (such as the 2010s tech boom), its primary goal is absolute return and capital preservation across all economic environments.