IVY Timing Portfolio – Official Update Through 2012

Mebane Faber, the creator of the IVY timing portfolio, has recently released an official update of the model with returns through the end of 2012. He also did a series of posts on his blog that chops up the update into more digestible pieces. For an intro to this topic please see my first post on the portfolio here. In this post I provide the official summary performance update plus highlight a few important points about the portfolio. As I’ve stated before this is my default recommended portfolio for retirees primarily because it increases retirement withdrawal rates with less risk and provides an automatic process to portfolio management. If you’re an active investor I think this should be your portfolio benchmark.

The updated performance figures for the IVY timing model from 1973 through 2012 are listed below. Click on the image to enlarge.

IVI timing official update July 2013

Impressive returns over a buy and hold portfolio with much less risk. However, a common recent complaint about the IVY timing model is the under performance during the bull market that started in 2009. And that is indeed the case when you look at the returns from 2009 to 2012. It is critical to remember that these type of portfolios work over a business cycle, a bull plus a bear market. Best case in a bull market they will match performance of a buy and hold portfolio. But in a bear market they truly shine as the returns above show. And down markets are what really matter for retirees who are withdrawing money every year from their portfolios. Over the entire cycle starting in 2006 the performance of the portfolio is as follows.

IVY timing official update 2006 to 2012 returns July 2013


That’s almost 4 times the risk adjusted performance (based on sharpe ratio) over the buy and hold portfolio. With a max drawdown of less than 10% which makes the odds of sticking with this strategy much greater than a buy and hold portfolio where investors were dumping equities right at the bottom of the market.

There are many more items in the update provided by Mebane. He added several more portfolio options as well that are worth discussing. I’ll be doing a series of posts on some of the updates and will also update the safe withdrawal rates for the various portfolios.

Full Disclaimer - Nothing on this site should ever be considered advice, research or the invitation to buy or sell securities. These are my personal opinions only.

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9 Responses to IVY Timing Portfolio – Official Update Through 2012

  1. kevin D says:

    I read this “white paper” update when it was first posted to Faber’s site. Personally, I was impressed. There are two things that caught my eye.

    First the expanded asset categories from five to thirteen. You can’t argue with diversification.

    Secondly, the performance of the “momentum” strategy in the the GTACC. It’s just simply outstanding.

    I found the IVY portfolio last year, thanks to you. This year I’ve expanded the asset classes to reflect this latest paper. I just can’t say enough about it.

    Moving forward I’m confident it’ll provide me with the safety (protection against draw downs) and the long term returns to fund my retirement

    Kevin D
    01 CC Magna

    • libertatemamo says:

      Couldn’t agree more Kevin.


    • Bryce says:

      Do you mind sharing the ticker symbols for the 13 ETFs/Funds that you’re using for the expanded portfolio?

      Also, where are you getting the data to average the 1, 3, 6 and 12-month returns in order to employ the momentum strategy?


      • kevin D says:

        I’m using Vanguard when at all possible for my portfolio. As you know from Paul’s post, there are no commissions on their ETFs.
        VTV – US Large Cap Value
        VIG – US Large Cap Momentum
        VBR – US Small Cap Value
        VBK – US Small Cap Momentum
        VEU – Foreign Developed
        VWO – Foreign Emerging
        VGIT – US 10 yr Govt Bond
        VCIT – Us Corp Bonds
        VGLT – US Govt 30 yr Bond
        DBC – Commodities
        DBP – Commodities
        VNQ – Reits

        To track their 200 SMA I use Stock Charts (Paul’s recommended site). Again no charge for the information.

        For the moving averages, I track those using Excel. Every month I go to Marketwatch.com. Type in the symbol and go to charts. You’ll get the YTD information. I use that, on a rolling monthly basis and calculate the averages in the excel spread sheet. Very easy.

        One other comment regarding “draw downs”. Like Paul, I was in the financial business. A CFA with a large brokerage company. In the years I was in the business it was always preached “buy and hold”. Over time, I became uncomfortable with that. But no one in the support area had any alternative strategies.

        After 2000 you could sense things were changing. What worked for the last 30 years wasn’t working as well any more. When your young and accumulating assets those situations are great buying opportunities. For older retired people they are disasters. I’ve looked for years for the answer. A proven mathematical formula to protect assets against loses in times like we saw in 2000 and 2008. The IVY portfolio and its expanded GTACC is what I’ve been looking for.

        Kevin D

        • libertatemamo says:

          Kevin, thanks for the reply and the info on the Vanguard ETFs. I’ll be posting on the IVY extension options soon.


        • libertatemamo says:

          Kevin, I noticed you left out a Foreign 10yr Govt Bond ETF. You may want to consider BWX for that.


  2. Ivan says:

    The IVY returns are indeed very impressive, especially since they reduce overall volatility. Even though my IVY investments lagged the market by 10% last year and 15% this year, I’m confident that when the overdue 25%++ market correction occurs I’ll come out ahead. Those Princeton investment trust guys sure have a great system, thanks for sharing these insights with the “rest of us” 🙂

    • libertatemamo says:

      Ivan, thanks. One comment. Just make sure you compare the IVY timing returns with another diversified portfolio like the IVY buy and hold, or the traditional 60/40 stock bond portfolio. Comparing IVY timing returns to a 100% stock portfolio, like the S&P500, is not equivalent.


  3. Pingback: IVY Timing Model Extensions – more asset classes | Investing For A Living

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