Ivy Portfolio: backtest, returns and drawdowns
Five equal slices inspired by the Harvard and Yale endowments: US stocks, foreign stocks, bonds, real estate and commodities.
Data updated October 2026
Created by: Mebane Faber and Eric Richardson (2009)
Allocation
| Asset class | ETF used in the backtest | Weight |
|---|---|---|
| US stocks | ITOT | 20% |
| International developed stocks | EFA | 20% |
| Intermediate US Treasuries | IEF | 20% |
| US real estate (REITs) | IYR | 20% |
| Broad commodities | DBC | 20% |
- Stocks 60.0%
- Bonds 20%
- Commodities 20%
From October 2011 to October 2026 the Ivy Portfolio returned 7.4% a year on average, with annual volatility of 10.9%. Its deepest fall was 25.8%, from February 2020 to March 2020, recovered in about 9 months.
Its best year was 2021 (+22.8%) and its worst 2022 (−11.0%).
Over the same period 100% US stocks returned 14.3% a year with a maximum fall of 35.0%.
Key figures
- Annual return (CAGR)
- +7.4%
- Annual volatility
- 10.9%
- Maximum drawdown
- −25.8%
- Recovery time
- 9 months
- Sharpe
- 0.57
- Sortino
- 0.78
- Worst year
- 2022: −11.0%
- Positive years
- 11/14
Growth of $10,000
Drawdowns
Returns by calendar year
| Year | Ivy Portfolio | 60/40 Portfolio | 100% Stocks |
|---|---|---|---|
| 2026(partial) | +14.5% | +6.9% | +12.7% |
| 2025 | +13.6% | +13.0% | +17.0% |
| 2024 | +6.7% | +14.8% | +23.8% |
| 2023 | +10.8% | +17.9% | +26.1% |
| 2022 | −11.0% | −16.9% | −19.5% |
| 2021 | +22.8% | +14.6% | +25.7% |
| 2020 | +5.1% | +15.4% | +20.7% |
| 2019 | +20.2% | +21.9% | +30.7% |
| 2018 | −6.8% | −3.1% | −5.3% |
| 2017 | +12.6% | +14.2% | +21.4% |
| 2016 | +8.0% | +8.3% | +12.1% |
| 2015 | −5.1% | +0.2% | −0.1% |
| 2014 | +2.7% | +9.7% | +12.2% |
| 2013 | +8.1% | +18.2% | +31.8% |
| 2012 | +11.8% | +10.4% | +14.7% |
| 2011(partial) | +2.8% | +3.1% | +4.1% |
History
- Created by
- Mebane Faber and Eric Richardson
- Who
- Asset managers and authors
- Year
- 2009
- Source
- The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets (2009)
- Funds in the backtest
- 5
Mebane Faber and Eric Richardson studied how the Harvard and Yale endowments invested and, in The Ivy Portfolio (2009), translated their approach into five asset classes any investor can buy with ETFs: US stocks, foreign stocks, bonds, real estate and commodities, 20% each.
The book also proposed a timing rule – holding each asset only while its price is above its 10-month moving average – based on Faber’s widely read 2007 paper on tactical asset allocation. The version tested here is the static one, without timing.
Strengths and weaknesses
Strengths
- 40% in real assets (real estate and commodities), like the big endowments
- Five funds, 20% each
- Diversification well beyond stocks and bonds
Weaknesses
- Commodities lost ground for much of the 2010s
- Only 20% in bonds: deep drawdowns in crashes
- The static version leaves out the timing rule the book is known for
How it works
Give real assets the same weight as stocks and bonds, as the big university endowments do, using five simple ETFs.
Backtest with total-return ETF prices (dividends reinvested), rebalanced to target weights on the first trading day of each year. Where a Vanguard fund has a short price history in our data, an iShares fund on the same market is used (for example ITOT for VTI, IVV for VOO). No fees, taxes or currency effects; first and last years are partial. Past results do not predict future returns.
Questions
Who created the Ivy Portfolio?
Mebane Faber and Eric Richardson (asset managers and authors), 2009. Source: The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets (2009).
What is the Ivy Portfolio?
Five equal slices inspired by the Harvard and Yale endowments: US stocks, foreign stocks, bonds, real estate and commodities. Allocation: 20% us stocks, 20% international developed stocks, 20% intermediate us treasuries, 20% us real estate (reits), 20% broad commodities. Created by: Mebane Faber and Eric Richardson (2009).
What is the Ivy Portfolio return?
In the backtest from October 2011 to October 2026 it returned 7.4% a year on average, with a maximum drawdown of 25.8%. US dollars, before fees and taxes.
How often should it be rebalanced?
The backtest rebalances once a year back to the target weights. Rebalancing more often changes little and adds costs; some investors rebalance only when a weight drifts beyond a threshold.
What was the worst drawdown of the Ivy Portfolio?
25.8%, from February 2020 to March 2020; it took about 9 months to get back to the previous high.
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- Versione italiana
Source: MarketStack end-of-day prices. Historical and educational content: not a forecast and not investment advice. MEDGE Capital does not recommend buying or selling any instrument. Risk disclaimer.