Ivy Portfolio (Faber and Richardson, buy and hold)
The buy-and-hold version of Mebane Faber and Eric Richardson's Ivy Portfolio, their simplified take on the Yale and Harvard endowments: a fifth each in US stocks, foreign developed stocks, 10-year Treasuries, real estate, and commodities, rebalanced once a year with no timing.
Designed by Mebane Faber and Eric Richardson, 2009. Implemented and tracked by Tactfolio.
| Jul 2006 – Sep 2026 | Strategy | SPY |
|---|---|---|
| Annual return (CAGR) | 5.5% | 11.5% |
| Worst drawdown | -49.0% | -55.2% |
| Sharpe ratio | 0.45 | 0.66 |
| Volatility | 14.1% | 19.4% |
| Annual return since publication (Feb 2013) | 6.7% | 14.6% |
| Dec 1979 – Sep 2026 | Strategy | SPY |
|---|---|---|
| Annual return (CAGR) | 9.2% | 12.2% |
| Worst drawdown | -49.0% | -55.2% |
| Sharpe ratio | 0.85 | 0.73 |
| Volatility | 11.1% | 17.9% |
| Annual return since publication (Feb 2013) | 6.7% | 14.6% |
The Ivy Portfolio is the five-asset allocation from Mebane Faber and Eric Richardson's 2009 book The Ivy Portfolio, a simple way to copy the diversification of the Yale and Harvard endowments. In its buy-and-hold form it keeps a fifth each in US stocks, foreign stocks, 10-year Treasuries, real estate, and commodities, rebalanced once a year.
The idea#
The large university endowments earned strong returns for decades by spreading money across many asset classes, not just stocks and bonds. Part of their edge came from private investments that individuals cannot buy. Faber and Richardson argued that an individual can capture a good part of the diversification with a few index funds covering the same broad asset classes.
Five equal slices keep it simple. Stocks drive growth, Treasuries cushion recessions, and real estate and commodities add exposure to inflation. The book then goes further, adding a trend-following rule to step aside from bear markets; that timed version is GTAA 5. This page covers the plain buy-and-hold allocation, the baseline the timing rule is measured against.
How it works#
- Hold 20% each in US stocks (SPY), developed-market stocks outside the US (EFA), 10-year Treasuries (IEF), US real estate (VNQ), and commodities (GSG).
- At the close of the last trading day of each year, reset all five to 20%.
These are the same funds as the timed GTAA 5, so the two can be compared directly. Faber recommends a yearly rebalance for buy-and-hold allocations in tax-exempt accounts.
What the backtest shows#
Over the ETF era, from mid-2006, the buy-and-hold Ivy Portfolio did poorly. It returned under 6% a year, about half the S&P 500's return and less than a 60/40 portfolio, and its risk-adjusted return trailed both by a wide margin.
The 2008 financial crisis explains much of it. Stocks, real estate, and commodities fell together, and the portfolio lost nearly half its value from May 2008 to March 2009. It did not recover until September 2012. Commodities were a drag for most of the period after that, and in 2020 it gained under 2% while the S&P 500 rose 18%. It lost less than the S&P 500 in 2022, helped by commodities.
Since Faber's 2013 paper update it has returned about 7% a year, with a worst drawdown near 27%. With simulated history the test starts at the end of 1979 and returns about 9% a year, with a better risk-adjusted return than the S&P 500. That longer record includes the 2000–2002 bear market, when it gained in 2000 and 2002 and lost less than stocks in 2001, but 2008 remains its worst loss.
When it struggles#
- Broad crises. In a deflationary crash like 2008, stocks, real estate, and commodities can all fall at once, and only the Treasury slice holds up.
- Weak commodities. A fifth of the portfolio in commodities can drag on returns for years.
- US-led bull markets. Only a fifth is in US stocks, so it trails when the S&P 500 leads.
Using it on Tactfolio#
The live strategy above holds these five ETFs and rebalances at each year end. Copy it to try a different commodity fund, or compare it with the timed GTAA 5 and the momentum-based Ivy Portfolio rotation.
Year by year
| Year | Strategy | SPY |
|---|---|---|
| 2026* | 16.6% | 14.0% |
| 2025 | 13.3% | 17.7% |
| 2024 | 8.2% | 24.9% |
| 2023 | 10.9% | 26.2% |
| 2022 | -10.0% | -18.2% |
| 2021 | 23.2% | 28.7% |
| 2020 | 1.5% | 18.3% |
| 2019 | 21.2% | 31.2% |
| 2018 | -7.5% | -4.6% |
| 2017 | 11.6% | 21.7% |
| 2016 | 6.6% | 12.0% |
| 2015 | -6.0% | 1.2% |
| 2014 | 2.8% | 13.5% |
| 2013 | 9.6% | 32.3% |
| 2012 | 11.1% | 16.0% |
| 2011 | 2.1% | 1.9% |
| 2010 | 13.6% | 15.1% |
| 2009 | 17.6% | 26.4% |
| 2008 | -28.5% | -36.8% |
| 2007 | 8.1% | 5.1% |
| 2006* | -0.1% | 15.4% |
| Year | Strategy | SPY |
|---|---|---|
| 2026* | 16.6% | 14.0% |
| 2025 | 13.3% | 17.7% |
| 2024 | 8.2% | 24.9% |
| 2023 | 10.9% | 26.2% |
| 2022 | -10.0% | -18.2% |
| 2021 | 23.2% | 28.7% |
| 2020 | 1.5% | 18.3% |
| 2019 | 21.2% | 31.2% |
| 2018 | -7.5% | -4.6% |
| 2017 | 11.6% | 21.7% |
| 2016 | 6.6% | 12.0% |
| 2015 | -6.0% | 1.2% |
| 2014 | 2.8% | 13.5% |
| 2013 | 9.6% | 32.3% |
| 2012 | 11.1% | 16.0% |
| 2011 | 2.1% | 1.9% |
| 2010 | 13.6% | 15.1% |
| 2009 | 17.6% | 26.4% |
| 2008 | -28.5% | -36.8% |
| 2007 | 8.1% | 5.1% |
| 2006 | 12.8% | 15.8% |
| 2005 | 11.5% | 4.8% |
| 2004 | 16.4% | 10.7% |
| 2003 | 25.8% | 28.2% |
| 2002 | 2.7% | -21.6% |
| 2001 | -9.5% | -11.8% |
| 2000 | 13.9% | -9.7% |
| 1999 | 15.9% | 20.4% |
| 1998 | 1.7% | 28.7% |
| 1997 | 10.2% | 33.5% |
| 1996 | 19.4% | 22.5% |
| 1995 | 20.9% | 38.0% |
| 1994 | -0.5% | 0.4% |
| 1993 | 11.3% | 9.7% |
| 1992 | 3.4% | 7.6% |
| 1991 | 17.7% | 30.3% |
| 1990 | 1.2% | -3.2% |
| 1989 | 23.1% | 31.5% |
| 1988 | 17.5% | 16.4% |
| 1987 | 7.9% | 5.1% |
| 1986 | 25.1% | 18.6% |
| 1985 | 30.0% | 31.6% |
| 1984 | 8.9% | 6.2% |
| 1983 | 15.4% | 22.4% |
| 1982 | 17.3% | 21.6% |
| 1981 | -2.5% | -4.9% |
| 1980 | 14.1% | 32.4% |
| 1979* | -0.1% | 0.0% |
* Partial year.
The rules as implemented
This is the exact tree Tactfolio runs, rebalanced yearly with signals and trades at the close. Open it to inspect or copy it.
- StrategyFaber Ivy Portfolio (buy and hold)
- WeightSpecified
- TickerSPY20%
- TickerEFA20%
- TickerIEF20%
- TickerVNQ20%
- TickerGSG20%
- WeightSpecified
Sources and caveats
- Mebane Faber, A Quantitative Approach to Tactical Asset Allocation (2007, updated 2013), the equal-weight buy and hold benchmark
- Mebane Faber and Eric Richardson, The Ivy Portfolio (Wiley, 2009)
- ETFs stand in for the paper's indexes, the same as in GTAA 5: SPY, EFA, IEF, VNQ, and GSG for the S&P 500, MSCI EAFE, 10-year Treasuries, NAREIT, and the GSCI.
- Faber recommends rebalancing a buy and hold allocation once a year in tax-exempt accounts; Allocate Smartly tracks this static version without saying how often it rebalances.
- Rebalancing happens at the close of the last trading day of each year.
Common questions#
What is the Ivy Portfolio?#
It is a five-asset allocation from Mebane Faber and Eric Richardson's 2009 book, modeled on the Yale and Harvard endowments: 20% each in US stocks, foreign stocks, bonds, real estate, and commodities.
What ETFs does the Ivy Portfolio use?#
This version uses SPY, EFA, IEF, VNQ, and GSG. Common alternatives include VTI for US stocks, VEU for foreign stocks, and DBC for commodities.
What is the difference between the Ivy Portfolio and GTAA?#
The buy-and-hold Ivy Portfolio always holds all five asset classes. GTAA 5 holds the same five but moves each one to Treasury bills when it falls below its 10-month moving average.
Does the Ivy Portfolio still work?#
As a buy-and-hold mix it has lagged since 2006, mainly because of the 2008 crash and weak commodities. The timed version was designed to avoid exactly that kind of loss. The live record on Tactfolio shows how it is doing now.