Performance & Risk Metrics (2016-2026)
| Metric | Global Equity Momentum (GEM) | Ivy Portfolio |
|---|---|---|
| CAGR (10-Year Annualized Return) | 12.3% | 8.8% |
| Max Drawdown | -17.8% | -14.2% |
| Sharpe Ratio (Risk-Adjusted Return) | 0.72 | 0.64 |
| Strategy Type | Tactical Asset Allocation (Trend following) | Tactical Asset Allocation (Moving Average) |
| Rebalancing Frequency | Monthly (on momentum signals) | Monthly (on trend signals) |
GEM Philosophy
Gary Antonacci's GEM uses a two-step momentum filter. First, relative momentum compares US equities against international equities, selecting the leader. Then, absolute momentum checks whether the winner beats T-Bills — if not, the portfolio rotates to bonds. This dual filter captures global equity upside while protecting against prolonged bear markets.
Ivy Portfolio Philosophy
Meb Faber's Ivy Portfolio allocates equally across five asset classes (US equities, international equities, REITs, commodities, and bonds) and applies a 10-month simple moving average trend filter to each. When an asset falls below its SMA, the allocation moves to cash. This tactical overlay captures diversified returns while providing systematic crash protection.
Key Differences Explained
Both are tactical momentum strategies, but they differ in breadth and mechanism. GEM concentrates 100% of capital in a single winning asset each month, while the Ivy Portfolio diversifies across five asset classes and uses moving average filters to selectively move portions to cash. GEM's concentrated approach yields higher returns (12.3% vs 8.8%) but with more volatility.
- Strategy Type: GEM is a tactical, actively-managed approach. Ivy Portfolio is a tactical, actively-managed approach.
- Return vs Risk: GEM delivered 12.3% CAGR with -17.8% max drawdown (Sharpe: 0.72). Ivy Portfolio delivered 8.8% CAGR with -14.2% max drawdown (Sharpe: 0.64).
- Maintenance: GEM requires monthly signal monitoring. Ivy Portfolio requires monthly signal monitoring.
Side-by-Side Pros and Cons
GEM Strengths & Limits
- Higher historical CAGR through global diversification
- Absolute momentum filter protects during bear markets
- Access to international equity outperformance cycles
- Monthly signal-checking required
- Can whipsaw in sideways markets
- Tax-inefficient due to frequent rotations
Ivy Portfolio Strengths & Limits
- Broad 5-asset diversification across real and financial assets
- SMA trend filter provides systematic crash protection
- Moderate complexity — straightforward monthly check
- Can lag in strong trending bull markets due to diversification
- Commodities allocation can be a long-term drag
- Monthly trend signals can whipsaw in choppy markets
Which Strategy is Right For You?
Choose GEM if: You want maximum return from momentum investing and are comfortable with concentrated positions. GEM's dual momentum filter is more aggressive but historically more rewarding.
Choose Ivy Portfolio if: You prefer diversified tactical protection across multiple asset classes. The Ivy Portfolio's 5-asset spread with individual trend filters provides broader crash protection.
Deep Dive
Want to master this strategy? Read our definitive Global Equity Momentum (GEM) Guide to understand the core rules, historical performance, and exact ETF implementations.