Performance & Risk Metrics (2016-2026)
| Metric | Ivy Portfolio | Adaptive Asset Allocation |
|---|---|---|
| CAGR (10-Year Annualized Return) | 8.8% | 11.5% |
| Max Drawdown | -14.2% | -19.8% |
| Sharpe Ratio (Risk-Adjusted Return) | 0.64 | 0.71 |
| Strategy Type | Tactical Asset Allocation (Moving Average) | Tactical Asset Allocation (Momentum + Volatility) |
| Rebalancing Frequency | Monthly (on trend signals) | Monthly |
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.
Adaptive Philosophy
The Adaptive Allocation strategy dynamically adjusts weights across multiple asset classes based on recent momentum and volatility. Unlike fixed-weight portfolios, it increases allocation to trending assets while reducing exposure to volatile or weakening ones. This creates a continuously evolving portfolio that adapts to changing market conditions.
Key Differences Explained
Both use tactical momentum signals but with different sophistication levels. The Ivy Portfolio applies simple SMA trend filters to 5 equal-weight asset classes. The Adaptive strategy dynamically adjusts weights using both momentum and volatility. The Adaptive's more sophisticated approach yields higher returns (11.5% vs 8.8%) with marginally lower drawdowns.
- Strategy Type: Ivy Portfolio is a tactical, actively-managed approach. Adaptive is a tactical, actively-managed approach.
- Return vs Risk: Ivy Portfolio delivered 8.8% CAGR with -14.2% max drawdown (Sharpe: 0.64). Adaptive delivered 11.5% CAGR with -15.3% max drawdown (Sharpe: 0.78).
- Maintenance: Ivy Portfolio requires monthly signal monitoring. Adaptive requires monthly signal monitoring.
Side-by-Side Pros and Cons
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
Adaptive Strengths & Limits
- Dynamically adapts to changing market regimes
- Multi-asset diversification with momentum overlay
- Volatility-weighting reduces exposure to turbulent assets
- Most complex strategy to implement
- Higher turnover means more taxable events
- Can underperform in sudden V-shaped recoveries
Which Strategy is Right For You?
Choose Ivy Portfolio if: You want straightforward tactical investing with broad diversification. The Ivy Portfolio's SMA filters are easy to understand and implement.
Choose Adaptive if: You want the most advanced tactical approach with the best risk-adjusted returns. The Adaptive strategy's volatility-weighting adds significant value over simple equal-weight trend following.