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I've been posting a monthly moving average update for the five ETFs in featured in Mebane Faber and Eric Richardson's Ivy Portfolio since the spring of 2009, when I featured my review of the book.

In addition to the monthly updates, I made a couple of generic studies of momentum investing with moving averages.

Learning from the S&P 500 Monthly MAs
Learning from the Nikkei Monthly MAs

Investing strategies are not the primary focus of my research, and I don't personally track the performance of the Ivy Portfolio other than to highlight the monthly signals. For ETF performance tracking and backtesting, I use ETFReplay.com, an excellent website for analyzing the performance of individual ETFs and ETF portfolios based on customized moving-average strategies. There are many free tools on ETFReplay.com. However performance backtesting of portfolios does require a paid subscription.

The image below illustrates my research on the Ivy Portfolio since 2007. If you click the image, you'll open a HUGE version that also shows the monthly performance over the complete range as compared to SPY (SPDR S&P 500 Index). For cash, I've used SHY (Barclays Low Duration Treasury (2-yr).

Click to View
Click for a HUGE image

Now, the portfolio in this illustration doesn't *exactly* match the Ivy five. I picked 2007 as my starting point to show the performance from before the market peak in the Fall of that year. Thus I was forced to make one substitution for the Ivy ETFs - EFA (iShares MSCI EAFE Index Fund) in place of VEU (Vanguard FTSE All-World ex-US ETF), which was launched in early 2007 and didn't produce a 10-month signal until December of that year. But the substitution presumably understates the all-Vanguard IVY portfolio: I make this assumption because VEU monthly outperformed EFA from the March 2009 monthly close to the latest sell signal (64.9% versus 54.1%).

Source: Measuring The Performance Of The Ivy Portfolio