Anybody read: The Ivy Portfolio?

[target2019]

I recently purchased the book, and have read a few chapters. It is a worthwhile book, but some of the concepts may surprise, especially if this is one of the first investing books you read.

For instance, the Yale portfolio which is the center of this book, is not easily replicated. There are suggestions as to how to approximate the strategy, but owing a REIT is not the same as having hard assets that date back 100 hundred years or so, as does the Yale portfolio.

A very interesting book, and it will take me some time to full understand what is in it.

 

[Jim in PA]

Thanks Doc

Appreciate the update, Dr Cha. With the S&P 500 doing nothing for the year, 12.9% was not too shabby.

Can you give us the big picture here? I presume that you were invested until August (?). Did you go short then as you alluded to earlier? What happened after that? From what you had said, you use the 200 day MA of the efts. Have any crossed back above as the S&P has?

And again, thanks for the update.
Jim

 

[eatingmywords]

Ok, I promised to come back after using this method for a year and compare it to Vanguard Wellesley. After taxes and commissions, I have made 21.3%. It looks like Vanguard Wellesley has returned about 16.1% after taxes and commissions. I am assuming an average tax rate of 20%.

I still strongly disagree with the statment above that this is riskier than a 60/40 fund. My results look pretty much like what Mebane Faber says: about half the trades are winners, the winners end up being held much longer than the losers, and the average winner is about 10 times the size of the average loser. My expectation is that this methodology will underperform a raging bull market most of the time, but will vastly outperform in a true bear market.

I'll carry on for another year and report back, if anyone seems interested.

This is my understanding as well. The ivy portfolio emphasizes the quantitative aspect of a low correlation portfolio which is more involved than the risk adjusted stock/bond retirement etfs you see in vanguard.

The 200 day moving average is a guide, not necessarily a prescription. The message is the best way to make money is to not lose it. (sounds simple in theory). personally I use several moving average crossovers, as it provides a clearer picture and avoids the whipsaws that others are referring to.