Ivy Portfolio
Mar 8, 2007 – Nov 12, 2026, Rebalanced annually, VEU starts Mar 8, 2007
| Final balance | CAGR | Max drawdown | Sharpe ratio | |
|---|---|---|---|---|
| Ivy Portfolio | $32,258 | +6.13% | −46.52% | 0.50 |
| S&P 500 | $77,112 | +10.94% | −55.19% | 0.63 |
| Final balance | CAGR | Max drawdown | Sharpe ratio | |
|---|---|---|---|---|
| Ivy Portfolio | $32,258 | +6.13% | −46.52% | 0.50 |
| S&P 500 | $77,112 | +10.94% | −55.19% | 0.63 |
| Ivy Portfolio | S&P 500 | |
|---|---|---|
| Final balance | $32,258 | $77,112 |
| CAGR | +6.13% | +10.94% |
| Max drawdown | −46.52% | −55.19% |
| Sharpe ratio | 0.50 | 0.63 |
Loading the growth chart…
Growth of $10,000
Key metrics
| Return | Ivy Portfolio | S&P 500 |
|---|---|---|
| Final balance | $32,258 | $77,112 |
| Total return | +222.58% | +671.12% |
| CAGR | +6.13% | +10.94% |
| Calendar years | Ivy Portfolio | S&P 500 |
|---|---|---|
| Best year | +22.50% | +32.31% |
| Worst year | −26.26% | −36.80% |
| Positive years | 14 of 18 | 15 of 18 |
| Risk | Ivy Portfolio | S&P 500 |
|---|---|---|
| Max drawdown | −46.52% | −55.19% |
| Longest drawdown | 2.8 years | 4.9 years |
| Volatility (daily, annualized) | 13.90% | 19.59% |
| Risk-adjusted | Ivy Portfolio | S&P 500 |
|---|---|---|
| Sharpe ratio | 0.50 | 0.63 |
| Sortino ratio | 0.69 | 0.89 |
| Calmar ratio | 0.13 | 0.20 |
Annual returns
| Year | Ivy Portfolio | S&P 500 |
|---|---|---|
| 2017 | +12.19% | +21.71% |
| 2018 | −7.22% | −4.57% |
| 2019 | +20.26% | +31.22% |
| 2020 | +5.95% | +18.33% |
| 2021 | +22.50% | +28.73% |
| 2022 | −11.43% | −18.18% |
| 2023 | +10.24% | +26.18% |
| 2024 | +7.15% | +24.89% |
| 2025 | +13.77% | +17.72% |
| 2026 to Nov 12 | +14.08% | +11.89% |
Worst drawdowns
| Decline | Peak | Bottom | Recovered | Length |
|---|---|---|---|---|
| −46.5% | May 2008 | Mar 2009 | Feb 2011 | 2.8 years |
| −25.8% | Feb 2020 | Mar 2020 | Nov 2020 | 9 months |
| −17.9% | Apr 2022 | Sep 2022 | May 2024 | 2.1 years |
| −15.9% | Jul 2014 | Jan 2016 | Jan 2017 | 2.5 years |
| −15.3% | Apr 2011 | Oct 2011 | Feb 2012 | 10 months |
About the Ivy Portfolio
In their 2009 book The Ivy Portfolio, Mebane Faber and Eric Richardson based this mix on the Harvard and Yale endowments. It splits the money equally between US stocks, foreign stocks, bonds, real estate and commodities.
The book also has a timing rule. At the end of each month, it moves an asset to cash if its price is below its 10-month average. This page skips the rule, holds all five and rebalances once a year.
Its worst fall took 2.8 years to recover, and it beat the S&P 500 in 3 of 18 full years.
Daily closes with dividends reinvested and fund fees included, before taxes and trading costs.