The Ivy Portfolio
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Has anyone looked into this at all?
I like English Ivy and I dislike poison ivy with the exception of Drew Barrymore or Alyssa Milano.
Yes, I’ve read a lot about it. The only concern I have is that you really have to commit to doing it, without fail. That may require some serious intestinal fortitude at times. Taxes are another consideration for NQ accounts. I can’t imagine doing this for a large number of clients on a non-discretionary basis. I am following EMA’s for my larger client’s portfolios, but do not use it simply for those 5 asset classes. So I use sort fo a blended buy-and-hold and EMA strategy. For example, for conservative clients, I may be buy-and-hold for fixed income, though I may shift between nominal Treasuries and TIPS, as well as moving in adn out of high-yield at times. For equities, I also incorporate emerging market equities. But I am still partial to active management (with some assets), so I ause this concept in conjunction with funds like First Eagle Global, IVY Asset Strategy, Mutual Discovery, etc. funds that don’t necessarily represent one asset class.
I like English Ivy and I dislike poison ivy with the exception of Drew Barrymore or Alyssa Milano.
Only Alyssa Milano. Drew Barrymore is disgusting.
[quote=noggin] I like English Ivy and I dislike poison ivy with the exception of Drew Barrymore or Alyssa Milano. [/quote]
Drew Barrymore is disgusting.
This is the most ridiculous thing ever posted on this board. <?: prefix = o ns = "urn:schemas-microsoft-com:office:office" />
[quote=Moraen] [quote=noggin] I like English Ivy and I dislike poison ivy with the exception of Drew Barrymore or Alyssa Milano. [/quote] Drew Barrymore is disgusting.
<P =Msonormal style=“MARGIN: 0in 0in 0pt”>This is the most ridiculous thing ever posted on this board. <?: prefix = o ns = “urn:schemas-microsoft-com:office:office” /><o:p></o:p>[/quote]
Truth hurts sometimes. She is downright NASTY looking.
You remind me of a friend of mine. When told that he had no standards, he replied, “I have standards, I just don’t try to meet them”.
[quote=Moraen] [quote=Mike Damone] [quote=Moraen] [quote=noggin] I like English Ivy and I dislike poison ivy with the exception of Drew Barrymore or Alyssa Milano. [/quote] Drew Barrymore is disgusting.[/quote]
This is the most ridiculous thing ever posted on this board. <?: prefix = o ns = "urn:schemas-microsoft-com:office:office" />
[/quote]Truth hurts sometimes. She is downright NASTY looking.
You remind me of a friend of mine. When told that he had no standards, he replied, "I have standards, I just don't try to meet them".[/quote]
Drew has her moments, but I vote for Alyssa too. I grew up watching her grow up. I don’t know that I’ve seen those movies. I know the titles, but I can’t say I remember watching the movies.
The Ivy Portfolio is a decent read and a simple yet effective method for beating the market with lower risk (at least historically). I’ve talked with Mebane Faber a few times and the dude is actually a lot smarter than the book reads. He’s capable of doing much, much more from a quant perspective; but the book is supposed to be for anyone to benefit from - including DIYers.
I would NOT use the method for client assets in any major way. There will be prolonged periods where the market pounds you and that more often than not will result in clients jumping ship no matter how sound the strategy is.
For fun - DB is below average and always has been in the looks department.
Can you elaborate on what you mean by this? I have followed the numbers in his white paper, and the strategy makes great sense, especially in down markets. How would the markets pound you? I guess I view the purpose of the strategy is to AVOID getting pounded. Yes, you get get pounded while you are waiting for the 200SMA sell signal, but at least there is downside protection. It beats basic buy and hold. Are you referring to upside splippage?The Ivy Portfolio is a decent read and a simple yet effective method for beating the market with lower risk (at least historically). I’ve talked with Mebane Faber a few times and the dude is actually a lot smarter than the book reads. He’s capable of doing much, much more from a quant perspective; but the book is supposed to be for anyone to benefit from - including DIYers.
I would NOT use the method for client assets in any major way. There will be prolonged periods where the market pounds you and that more often than not will result in clients jumping ship no matter how sound the strategy is.
For fun - DB is below average and always has been in the looks department.
I would think there would be a great deal of upside you miss during a market bounce back, but I think by missing the great collapse you would still be ahead while mitigating risk… For example if had done this with Ishares, it looks like you would dump out around Jan 4-7 2008… Buy back in briefly in may, but then be out again by mid june all the way til late june early july of 09… which means you missed the upswing from march-june, but also means you missed a lot of the collapsse from july 2008-dec 2008… The only issue would be tax considerations for non-qualified accounts.
Agreed. However, there can be “manual overrides” on this as well. I know some people do not buy back in immediately after crossing the SMA line to avoid a “whipsaw” (as mentioned in May 2008). And you could have conceivably bought back in earlier than June 2009 (or DCA’d back in) if you felt that a bottom was in. Although that sort of “speculation” would run counter to the purpose of the technique. But if followed to the “T”, and depending on what happens the rest of this year, you could have a losing year if you got back in around June and the rest of the year floated down a bit, while the market is up considerably. I guess you have to give some to gain a lot.
Can you elaborate on what you mean by this? I have followed the numbers in his white paper, and the strategy makes great sense, especially in down markets. How would the markets pound you? I guess I view the purpose of the strategy is to AVOID getting pounded. Yes, you get get pounded while you are waiting for the 200SMA sell signal, but at least there is downside protection. It beats basic buy and hold. Are you referring to upside splippage?[/quote][quote=AdvisorControl.com]The Ivy Portfolio is a decent read and a simple yet effective method for beating the market with lower risk (at least historically). I’ve talked with Mebane Faber a few times and the dude is actually a lot smarter than the book reads. He’s capable of doing much, much more from a quant perspective; but the book is supposed to be for anyone to benefit from - including DIYers.
I would NOT use the method for client assets in any major way. There will be prolonged periods where the market pounds you and that more often than not will result in clients jumping ship no matter how sound the strategy is.
For fun - DB is below average and always has been in the looks department.
You nailed it. Client are funny like this. You could save them from a 40% decline, but as soon a their neighbor is up 30% and you're still on the sidelines (remember, Mebane only used monthly data to remove noisy trades) the clients begin to question the strategy - they think the model failed.
Case in point, one of my models was up nearly 50% through June 30 this year. It's since given back 10% while the market has risen - client phone calls come in swarms and one person even pulled their account. Investor behavior is a fickle thing; the great inefficiency in supposedly efficient markets.
So this could be a portion of ones strategy, but I would not use it in a major way.
In the quant geek world (which I guess I'd be a card carrying member) we'd call this strategy a single factor model. It's not adaptive (which is bad), it's very simple (which is good), and it's based on the past 100 years using monthly data (which is very bad). I won't waste everyone's pixels with crazy long explanations; but think honestly about the past 100 years: will there really be a high correlation the next 100 years?
This is really a trick question. We're talking about 1200 units of data for each market analyzed. The strategy seemed to work on each market. The main problem is the high degree of correlation among total returns of the units of data. In non geek-speak, this simply means there is not a real measurable probability of the next 100 years of the markets analyzed replicating the next 100 years.
As a somewhat goofy example; the US went through one of the greatest industrial booms of any nation in history during the last 100 years. In reality, nearly all the markets analyzed in Mebane's book had equally historic booms for their respective markets. So the questions are, will this continue? Will a new market leader emerge? Will new asset classes emerge? Will investor behavior change?
Honestly, I have no clue.
My point: I don't really have one - but I would not put a major chunk of my clients dough in a single factor model that has some lack of large numbers type data to it. Anyone remember reading Beating the Dow? Hasn't worked so well since publication - markets changed, accounting rules changed, etc.
The book, fwiw, is very good. The strategy, is better than what I see 90% of advisors doing (unscientifically, of course). A little tweaking to the parameters and maybe an additional factor or two - it could be way better.
I'd be willing to prove this and post a little software app for free if you all are interested. Something that takes Mebane's strategy into Excel with Macros in one sheet and then some mods and tweaks for making it better in another. If requested - I'll deliver it and any feature requests can be PM'd to me.
Good night,
J
Hey buddy, then how come your returns on your site say this:
ytd(7/30/09) 1yr avg(11/04)
RWA Aggressive -1.73% -20.18% 12.62%
RWA Moderate Aggressive 2.46% -15.42% 12.37%
RWA Moderate 6.76% -10.62% 11.98%
RWA Moderate Conservative 11.16% -5.81% 11.47%
RWA Conservative 15.67% -1.02% 10.84%
RWA High Income 20.29% 3.75% 10.09%
RWA Income 13.30% 3.16% 7.05%
S&P 500 9.52% -22.89% -3.33%
Not bad returns but not what you say either…
Squash -
Those are allocations made up of various models. We have 14 models all together. I presume you're referring to the post I made about a model being up 50% and now only being up 40% (or so). That model is part of the "high income" allocation - essentially a treasury arbitrage model that takes positions in 20 year treasuries when it's probable rates will fall and rising rate (inverse) funds when it's probable rates will rise. The model makes up roughly 1/2 of the high income and 1/3 of the regular income. IM(not so)HO - nobody should put all their $$ in any one model. So allocations of models is a better solution for our clients. Hope this helps - I hate unscrupulous liars as much as anyone. JJason, in your previous post above, are you suggesting that a lack of major moves in the market in the future will make moving-average difficult to execute? I’m having a hard time understanding why it matters what type of market changes occur in the future - the market will always go up, down or sideways, regardless of the cause. I’d be inetrested in the app you are referring to.
Thanks.