This site has been greatly inspired by Mebane Faber’s The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. I have added a new tool to the site for those interested in tracking the 10 month moving average signals for some of the portfolios listed in Faber’s book.
Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term moving averages. I have added a new spreadsheet at the top of Scott’s Investments which tracks the 10 month moving average for the 5 and 10 security portfolios. When a security is trading below its 10 month simple moving average, the position is listed as “Cash”. When the security is trading above its 10 month simple moving average the positions is listed as “Invested”.
The spreadsheet’s signals update daily using dividend/split adjusted closing price from Yahoo Finance data. The 10 month simple moving average is based on the most recent 10 months including the current month’s most recent daily closing price.
There is a link to the spreadsheet at the top of the site (“Ivy Portfolio”); however, if you want a wider view of the spreadsheet click on the link “Ivy Portfolios” on the right hand column of the site.
As of today’s close, the current signals are listed below:
| Symbol | Ivy 10 Portfolio | Position (determined by current 10 month SMA) |
| BND | Vanguard Total Bond Market ETF | Invested |
| DBC | PowerShares DB Commodity Index Tracking | Cash |
| GSG | S&P GSCI(R) Commodity-Indexed Trust | Cash |
| RWX | SPDR DJ International Real Estate ETF | Cash |
| VNQ | Vanguard REIT Index ETF | Invested |
| TIP | iShares Barclays TIPS Bond | Invested |
| VWO | Vanguard Emerging Markets Stock ETF | Cash |
| VEU | Vanguard FTSE All-World ex-US ETF | Cash |
| VB | Vanguard Small Cap ETF | Invested |
| VTI | Vanguard Total Stock Market ETF | Invested |
| Symbol | Ivy 5 Portfolio | Position |
| BND | Vanguard Total Bond Market ETF | Invested |
| DBC | PowerShares DB Commodity Index Tracking | Cash |
| VNQ | Vanguard REIT Index ETF | Invested |
| VEU | Vanguard FTSE All-World ex-US ETF | Cash |
| VTI | Vanguard Total Stock Market ETF | Invested |
| Data Source: Yahoo Finance |
No current positions.
Scott – great work!
One small thing, unlike all your other spreadsheets, I can’t ‘move around’ this one and see the contents of cells etc. It is more like a photograph of a spreadsheet.
Is this deliberate, or am I doing something wrong?
Second, you state “The 10 month simple moving average is based on the most recent 10 months including the current month’s most recent daily closing price.” However, the data on each symbol page shows the most recent data to be 1/3/2012. Is there a conflict here?
Steve
Hi – The dates are always going to show the first day of every month, but if you look at the adjusted closing price and should reflect the most recent closing price. In other words, the closing price for 1/3/12 will be yesterday’s close.
To be honest I’m not sure why that sheet formatted a little different
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I have been interested in Faber’s Ivy League Portfolio for some time. Have you considered including a spreadsheet with dollars invested in each ETF so that you could see the performance of each ETF and of the total portfolio?
The primary reason I don’t track a live portfolio is that it is easy enough to backtest the Ivy Portfolio strategy using ETF Replay. I occasionally post the updated results of backtests using the Ivy Portfolio strategy
Cool web site. I always check once a month and re-balance my Ivy Port as needed. How about making an email alert system? I’m sure a lot of people would love it to get trade signals.
Thanks for the compliment and suggestion. There is an email subscription on the site’s upper left. It is not real-time and is sent out once daily. However, since most of the strategies I track on the site use longer term strategies and signals there is not a significant need for intra-day alerts. As I look to improve the site this may be something that is added down the road.
Just wondering how the 10 month SMA % is being calculated. Is that the moving average over the total 10 month period (e.g. 200 trading days or “periods”) or is it looking at SMA based on the closing price at the end of each month for the last 10 months (in other words, 10 periods of N=10)? Thanks!
It is being calculated using the closing price at the end of each month
This is great, just wonder whether you could show the price and the 10MA value, as it seems to me VEU is still above its 10MA or my number is wrong? Thanks!
VEU is above its 10 month MA, the spreadsheet currently lists it as 7.72% above its moving average