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Ivy Portfolio July Update

The Ivy Portfolio spreadsheet track the 10 month moving average signals for two portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term moving averages.

The Ivy Portfolio spreadsheet tracks both the 5 and 10 ETF Portfolios listed in Faber’s book. 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 once daily (typically in the late evening) using dividend/split adjusted closing price from Yahoo Finance. The 10 month simple moving average is based on the most recent 10 months including the current month’s most recent daily closing price.  Even though the signals update daily, it is not an endorsement to check signals daily or trade based on daily updates. It simply gives the spreadsheet more versatility for users to check at his or her leisure.

The page also displays the percentage each ETF within the Ivy 10 and Ivy 5 Portfolio is above or below the current 10 month simple moving average, using both adjusted and unadjusted data. If an ETF has paid a dividend or split within the past 10 months, then when comparing the adjusted/unadjusted data you will see differences in the percent an ETF is above/below the 10 month SMA. This could also potentially impact whether an ETF is above or below its 10 month SMA. Regardless of whether you prefer the adjusted or unadjusted data, it is important to remain consistent in your approach. My preference is to use adjusted data when evaluating signals.

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The current signals based on June 30th’s adjusted closing prices are below.   As of the close May 29, (DBC) (GSG) (VNQ) and (TIP) were below their 10 month moving average.  This month those 4 ETFs remain below their moving average. In addition, (BND) (RWX) (TIP) and (VWO) are now also below their 10 month moving average.

The spreadsheet also provides quarterly, half year, and yearly return data courtesy of Finviz. The return data is useful for those interested in overlaying a momentum strategy with the 10 month SMA strategy:

Ivy10

Ivy5

I also provide a “Commission-Free” Ivy Portfolio spreadsheet as an added bonus. This document tracks the 10 month moving averages for four different portfolios designed for TD Ameritrade, Fidelity, Charles Schwab, and Vanguard commission-free ETF offers.

Not all ETFs in each portfolio are commission free, as each broker limits the selection of commission-free ETFs and viable ETFs may not exist in each asset class. Other restrictions and limitations may apply depending on each broker.

Below are the 10 month moving average signals (using adjusted price data) for the commission-free portfolios:

Commfree1 Commfree2

Ivy Portfolio – March Update

Early in 2012  Scott’s Investments added a daily Ivy Portfolio spreadsheet. This tool uses Google Documents and Yahoo Finance to track the 10 month moving average signals for two of the portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term moving averages.

The Ivy Portfolio spreadsheet tracks the 5 and 10 ETF Portfolios listed in Faber’s book. 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 once daily (typically in the late evening) using dividend/split adjusted closing price from Yahoo Finance. The 10 month simple moving average is based on the most recent 10 months including the current month’s most recent daily closing price.  Even though the signals update daily, it is not an endorsement to check signals daily. It simply gives the spreadsheet more versatility for users to check at his or her leisure.

The page also displays the percentage each ETF within the Ivy 10 and Ivy 5 Portfolio is above or below the current 10 month simple moving average, using both adjusted and unadjusted data.

If an ETF has paid a dividend or split within the past 10 months, then when comparing the adjusted/unadjusted data you will see differences in the percent an ETF is above/below the 10 month SMA. This could also potentially impact whether an ETF is above or below its 10 month SMA. Regardless of whether you prefer the adjusted or unadjusted data, it is important to remain consistent in your approach.

Top 50 Trending Stocks

The current signals based on February 28th closing prices are below.  Real estate and equities are leading while bonds and commodities are lagging and trading below their 10 month moving average.

The first table is based on adjusted historical data and the second table is based on unadjusted price data:

As an added bonus I created a “Commission-Free” Ivy Portfolio spreadsheet. This document tracks the 10 month moving averages for three different portfolios designed for TD Ameritrade, Fidelity, and Vanguard commission-free ETF offers.

Not all ETFs in each portfolio are commission free, as each broker limits the selection of commission-free ETFs and viable ETFs may not exist in each asset class. Other restrictions and limitations may apply depending on each broker.

Below are the 10 month moving average signals for the commission-free portfolios:

If you enjoy these tools, please consider making a donation on the home page of Scott’s Investments using the Paypal link in the upper-right corner!

Ivy Portfolio Month-End Update

Early in 2012  Scott’s Investments added a daily Ivy Portfolio spreadsheet. This tool uses Google Documents and Yahoo Finance to track the 10 month moving average signals for two of the portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term moving averages.

The Ivy Portfolio spreadsheet tracks the 5 and 10 ETF Portfolios listed in Faber’s book. 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 once daily (typically in the evening) using dividend/split adjusted closing price from Yahoo Finance. The 10 month simple moving average is based on the most recent 10 months including the current month’s most recent daily closing price.  Even though the signals update daily, it is not an endorsement to check signals daily. It simply gives the spreadsheet more versatility for user’s to check at their leisure.

The page also displays the percentage each ETF within the Ivy 10 and Ivy 5 Portfolio is above or below the current 10 month simple moving average, using both adjusted and unadjusted data.

If an ETF has paid a dividend or split within the past 10 months, then when comparing the adjusted/unadjusted data you will see differences in the percent an ETF is above/below the 10 month SMA. This could also potentially impact whether an ETF is above or below its 10 month SMA. Regardless of whether you prefer the adjusted or unadjusted data, it is important to remain consistent in your approach.

Top 50 Trending Stocks

I do not track these portfolios as hypothetical portfolios like I do with other portfolios on the site but do periodically backtest the strategy. For the most recent test results, please view December’s update.

The current signals based on January 31st closing prices are below.  International and domestic equities are leading, while bonds are lagging and trading below their 10 month moving average.

The first table is based on adjusted historical data and the second table is based on unadjusted price data:

 

Ivy Portfolio Update

Early in 2012  Scott’s Investments added a daily Ivy Portfolio spreadsheet. This tool uses Google Documents and Yahoo Finance to track the 10 month moving average signals for two of the portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term moving averages.

This month’s update is a trading day early (markets will be open on the 31st) than a typical end of month update.  It also comes at a time when the long-term moving average strategy has struggled and is under scrutiny. John Hussman notes that since 2009 the S&P 500 Index has actually performed better when below its 200 day moving average than when it has been above the 200 day moving average.  He also notes the recent performance is contrary to the longer-term success of a moving average strategy:

“…since 2010, the S&P 500 has gained just 1.5% annually when it has been above its 200-day moving average, versus a striking 46.3% annual return when it has been below. Needless to say, this pattern is not necessarily indicative of how the S&P 500 will behave in the future, and is in fact contrary to the historical pattern”

Hussman focuses on one index, the S&P 500. With hundreds of markets to trade, some will follow the historical trend while others, like the S&P 500 may buck the trend for months, years, or perhaps forever. The key is not to focus or trade one market with one strategy – the S&P 500 is not the market but rather one index among many, and its asset class (US equities) one among many.

The Ivy Portfolio spreadsheet tracks the 5 and 10 ETF Portfolios listed in Faber’s book. 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 once daily (typically in the evening) using dividend/split adjusted closing price from Yahoo Finance. The 10 month simple moving average is based on the most recent 10 months including the current month’s most recent daily closing price.  Even though the signals update daily, it is not an endorsement to check signals daily. It simply gives the spreadsheet more versatility for user’s to check at their leisure.

Now you can follow me on Stocktwits and Twitter!

The page also displays the percentage each ETF within the Ivy 10 and Ivy 5 Portfolio is above or below the current 10 month simple moving average, using both adjusted and unadjusted data.

If an ETF has paid a dividend or split within the past 10 months, then when comparing the adjusted/unadjusted data you will see differences in the percent an ETF is above/below the 10 month SMA. This could also potentially impact whether an ETF is above or below its 10 month SMA. Regardless of whether you prefer the adjusted or unadjusted data, it is important to remain consistent in your approach.

MarketClub Holiday Special

I do not track these portfolios as hypothetical portfolios like I do with other portfolios on the site but do periodically backtest the strategy. For the most recent test results, please view last month’s update.

The current signals based on November 30th’s closing prices are below.  International equities and international real estate are the strongest sector in terms of their percent above their 10 month moving average.  Commodities and US REITs are the weakest sectors.

The first table is based on adjusted historical data and the second table is based on unadjusted price data:

Ivy Portfolio for October

Early in 2012  Scott’s Investments added a daily Ivy Portfolio spreadsheet. This tool uses Google Documents and Yahoo Finance to track the 10 month moving average signals for two of the portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term moving averages.

The Ivy Portfolio spreadsheet tracks the 5 and 10 ETF Portfolios listed in Faber’s book. 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 once daily (typically in the evening) using dividend/split adjusted closing price from Yahoo Finance. The 10 month simple moving average is based on the most recent 10 months including the current month’s most recent daily closing price.  Even though the signals update daily, it is not an endorsement to check signals daily. It simply gives the spreadsheet more versatility for user’s to check at their leisure.

Now you can follow me on Stocktwits and Twitter!

The page also displays the percentage each ETF within the Ivy 10 and Ivy 5 Portfolio is above or below the current 10 month simple moving average, using both adjusted and unadjusted data.

If an ETF has paid a dividend or split within the past 10 months, then when comparing the adjusted/unadjusted data you will see differences in the percent an ETF is above/below the 10 month SMA. This could also potentially impact whether an ETF is above or below its 10 month SMA. Regardless of whether you prefer the adjusted or unadjusted data, it is important to remain consistent in your approach.

I do not track these portfolios as hypothetical portfolios like I do with other portfolios on the site. However, I will periodically post backtest results on the strategy. Below are updated backtest results for the Ivy Portfolio using ETFReplay.com.

The backtest results for the Ivy 5 Portfolio since 2007 and 10 month simple moving average with a monthly update are charted below. For the backtests, iShares Barclays Aggregate Bond (AGG) was used in lieu of BND and iShares MSCI EAFE (EFA) was used in lieu of VEU because they have longer trading histories:

The Ivy 10 Portfolio, using a 10 month moving average and updated monthly has performed as follows since 2007 and compared to SPY. Again, AGG and EFA were used in the backtests:

The strategy’s strength is avoiding significant drawdowns during periods of market turbulence, such as 2008. During periods of strong uptrending equity markets it has the potential to under-perform a benchmark such as SPY.  ”Choppy” markets, in which markets are trend-less can also reduce the strategy’s returns as securities bounce above and below long-term moving averages without establishing a trend.

The current signals based on September 28th’s closing prices are below.  Real-estate linked ETFs and US Equity ETFs remain the strongest sector in terms of their percent above their 10 month moving average. All of the securities in the 5 and 10 ETF portfolios are above their 10 month moving averages.

The first table is based on adjusted historical data and the second table is based on unadjusted price data:

Ivy Portfolio Preview for August

Early in 2012  Scott’s Investments added a daily Ivy Portfolio spreadsheet. This tool uses Google Documents and Yahoo Finance to track the 10 month moving average signals for two of the portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term moving averages.

The Ivy Portfolio spreadsheet tracks the 5 and 10 ETF Portfolios listed in Faber’s book. 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 once daily (typically in the evening) using dividend/split adjusted closing price from Yahoo Finance. The 10 month simple moving average is based on the most recent 10 months including the current month’s most recent daily closing price.  Even though the signals update daily, it is not an endorsement to check signals daily. It simply gives the spreadsheet more versatility for user’s to check at their leisure.

Now you can follow me on Stocktwits and Twitter!

The page also displays the percentage each ETF within the Ivy 10 and Ivy 5 Portfolio is above or below the current 10 month simple moving average, using both adjusted and unadjusted data.

If an ETF has paid a dividend or split within the past 10 months, then when comparing the adjusted/unadjusted data you will see differences in the percent an ETF is above/below the 10 month SMA. This could also potentially impact whether an ETF is above or below its 10 month SMA. Regardless of whether you prefer the adjusted or unadjusted data, it is important to remain consistent in your approach.

I do not track these portfolios as hypothetical portfolios like I do with other portfolios on the site. However, I will periodically post backtest results on the strategy. Below are updated backtest results for the Ivy Portfolio using ETFReplay.com.

The Ivy 5 Portfolio, using a 10 month moving average and updated monthly has performed as follows since 2008 and compared to SPY:

The Ivy 10 Portfolio, using a 10 month moving average and updated monthly has performed as follows since 2008 and compared to SPY:

The strategy’s strength is avoiding significant drawdowns during periods of market turbulence, such as 2008. During periods of strong uptrending equity markets it has the potential to under-perform a benchmark such as SPY.  “Choppy” markets, in which markets are trend-less can also reduce the strategy’s returns as securities bounce above and below long-term moving averages without establishing a trend.

The current signals based on July 27th’s closing prices are below. While equity markets have had a turbulent few weeks and months, the US-linked equity ETFs, VB and VTI, remain above their long-term moving average.  Real-estate linked ETFs remain the strongest sector in terms of their percent above their 10 month moving average. Global equity ETFs, VWO and VEU, remain below their respective long-term moving averages as do commodity-linked ETFs DBC and GSG. However, it is worth noting that other popular commodity linked ETFs that focus on agricultural commodities, such as the Powershares DB Agriculture Fund (DBA), are presently above long-term moving averages.

The first table is based on adjusted historical data and the second table is based on unadjusted price data:

Ivy Portfolio for July

Near the end of January I added a free investment tool to Scott’s Investments, a daily Ivy Portfolio spreadsheet. This tool uses Google Docs and Yahoo Finance to track the 10 month moving average signals for two of the portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term moving averages.

The Ivy Portfolio spreadsheet tracks the 5 and 10 ETF Portfolios listed in Faber’s book. 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 once daily (typically in the evening) using dividend/split adjusted closing price from Yahoo Finance. The 10 month simple moving average is based on the most recent 10 months including the current month’s most recent daily closing price.

Now you can follow me on Stocktwits and Twitter!

The page also displays the percentage each ETF within the Ivy 10 and Ivy 5 Portfolio is above or below the current 10 month simple moving average is now provided. I also added additional price signals based on unadjusted dividend/split data from Yahoo.

If an ETF has paid a dividend or split within the past 10 months, then when comparing the adjusted/unadjusted data you will see differences in the percent an ETF is above/below the 10 month SMA. This could also potentially impact whether an ETF is above or below its 10 month SMA. Regardless of whether you prefer the adjusted or unadjusted data, it is important to remain consistent in your approach.

I do not track these portfolios as hypothetical portfolios like I do with other portfolios on the site. However, I will periodically post backtest results on the strategy. For the most recent test results click here.

Also, the signals update daily but this does not mean I endorse checking the signals each day. It simply gives the spreadsheet more versatility to have the signals update daily.

The current signals based on June’s closing prices are below. While equity markets have had a turbulent few weeks and months, the US-linked equity ETFs, VB and VTI, remain above their long-term moving average.  Real-estate linked ETFs remain the strongest sector in terms of their percent above their 10 month moving average. Global equity ETFs, VWO and VEU, remain below their respective long-term moving averages.

The first table is based on adjusted historical data and the second table is based on unadjusted price data:

Ivy Portfolio for May

Near the end of January I added a free investment tool to Scott’s Investments, a daily Ivy Portfolio spreadsheet. This tool uses Google Docs and Yahoo Finance to track the 10 month moving average signals for two of the portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term moving averages.

The Ivy Portfolio spreadsheet tracks the 5 and 10 ETF Portfolios listed in Faber’s book. 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 once daily (typically in the evening) using dividend/split adjusted closing price from Yahoo Finance. The 10 month simple moving average is based on the most recent 10 months including the current month’s most recent daily closing price.

Now you can follow me on Stocktwits and Twitter!

The page also displays the percentage each ETF within the Ivy 10 and Ivy 5 Portfolio is above or below the current 10 month simple moving average is now provided. I also added additional price signals based on unadjusted dividend/split data from Yahoo.

If an ETF has paid a dividend or split within the past 10 months, then when comparing the adjusted/unadjusted data you will see differences in the percent an ETF is above/below the 10 month SMA. This could also potentially impact whether an ETF is above or below its 10 month SMA. Regardless of whether you prefer the adjusted or unadjusted data, it is important to remain consistent in your approach.

I do not track these portfolios as hypothetical portfolios like I do with other portfolios on the site. However, I will periodically post backtest results on the strategy. For the most recent test results click here.

Also, the signals update daily but this does not mean I endorse checking the signals each day. It simply gives the spreadsheet more versatility to have the signals update daily.

The current signals based on Aprils closing prices are below. Once again it is interesting to note that all ETFs are currently trading above the 10 month simple moving average. DBC remains the weakest of the bunch, closing the month .48% above its 10 month simple moving average.

The first table is based on adjusted historical data and the second table is based on unadjusted data (click the image to enlarge):

(click to enlarge)

(click to enlarge)

All data is provided on an as-is basis, please do your own research before making any investment.

Ivy Portfolio Update for April

Near the end of January I added a free investment tool to Scott’s Investments, a daily Ivy Portfolio spreadsheet.  This tool uses Google Docs and Yahoo Finance to track the 10 month moving average signals for two of the portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term moving averages.

Visit my Stocktwits and Twitter feed

The Ivy Portfolio spreadsheet tracks the 5 and 10 ETF Portfolios listed in Faber’s book. 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 once daily (typically in the evening) using dividend/split adjusted closing price from Yahoo Finance. The 10 month simple moving average is based on the most recent 10 months including the current month’s most recent daily closing price.

In February I made improvements to the spreadsheet. The percentage each ETF within the Ivy 10 and Ivy 5 Portfolio is above or below the current 10 month simple moving average is now provided. I also added additional price signals based on unadjusted dividend/split data from Yahoo.

If an ETF has paid a dividend or split within the past 10 months, then when comparing the adjusted/unadjusted data you will see differences in the percent an ETF is above/below the 10 month SMA. This could also potentially impact whether an ETF is above or below its 10 month SMA. Regardless of whether you prefer the adjusted or unadjusted data, it is important to remain consistent in your approach.

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.

Please note: I do not track these portfolios as hypothetical portfolios like I do with other portfolios on the site. However, I will periodically post backtest results on the strategy. For the most recent test results click here.

Also, the signals update daily but this does not mean I endorse checking the signals each day. It simply gives the spreadsheet more versatility to have the signals update daily. All data is provided on an as-is basis, please do your own research before making any investment.

The current signals based on March’s closing prices are below. It is interesting to note that all ETFs are currently trading above the 10 month simple moving average. The first table is based on adjusted historical data and the second table is based on unadjusted data (click the image to enlarge):

Backtests Galore (or, beating Mr. Market)

A reader asked if I had updated backtest results for a variety of ETF Replay and Ivy Portfolio strategies.  I track one tactical ETF asset allocation strategy live on Scott’s Investments using data from ETFReplay.com; however, from time to time I will backtest the results and also show how adding different re-balancing rules impact the results.

The Ivy Portfolio strategy’s long/cash signals (background here) are also tracked on Scott’s Investments, but the portfolio is not tracked live. However, it is easy enough to backtest the results using ETFReplay.com.

Now you can follow me on Stocktwits and Twitter!

Below are backtest results for a relative strength ETF strategy. Returns include dividends but exclude commissions, taxes, and slippage (in other words, real results will differ). The buy/sell strategy for the portfolio is simple: purchase the top  ETFs based on a combination of their 6 month returns, 3 month returns, and 3 month volatility (lower volatility receives a higher ranking) and the average of  the 3 month return, 20 day return, and 20 day volatility.  I refer to these two different sets as “6/3/3″ and “3/20/20″.  The top 2 ETFs in the 6/3/3 ranking and top 2 in the 3/20/20 ranking are purchased each month.

The backtest below is not identical to the ETFReplay strategy I track on a monthly basis. The difference is that the backtest does not always hold 4 ETFs – if the top 2 ETFs in the 6/3/3 and 3/20/20 rankings are the same, then the backtest holds only 2 (or 3) ETFs.   However, the two strategies are similar and there are several months when both the backtested strategy and the one I track will hold identical positions.

It is also important to note that not all 25 ETFs were available at the beginning of 2005. Less than half were available at the start of the test and not until the start of 2009 were all 25 available.

The first backtest are based on a monthly rebalance beginning in 2005:

The second test is based on a semi-monthly rebalance:

While semi-monthly re-balancing appears to bolster returns, keep in mind that returns exclude commission costs and taxes. More frequent re-balancing will tend to increase the costs associated with both.

The next set of tests refer to the Ivy Portfolio strategy detailed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. I also maintain a spreadsheet which tracks these signals daily and also typically write a monthly review (this month’s review is available here).

When a security is trading below its 10 month simple moving average, the position is sold and cash is held until the next month. When the security is trading above its 10 month simple moving average cash is used to invest in the security.  For the purposes of these tests I used a 5 ETF portfolio consisting of AGG, DBC, VNQ, VEU, and VTI and 10 ETF portfolio consisting of AGG, DBC, GSG, RWX, VNQ, TIP, VWO, VEU, VB, and VTI.

(note: For the purposes of this test I substituted AGG for BND due to the fact that AGG had a longer trading history. BND is tracked on my Ivy Portfolio spreadsheet and is closely correlated to AGG).

Below are the results of a monthly re-balance of the 5 ETF portfolio using a 10 month simple moving average system. This test was run from 2007-present with 2007 being selected as the starting date due to DBC’s shorter trade history. All five ETFs were available at the start of this test:

The next test uses the same rules but tests a portfolio of 10 ETFs. Only 7 of the 10 ETFs were available at the start of 2007, making comparisons to the 5 ETF portfolio incomplete:

The Ivy Portfolio system did a good job of avoiding the significant drawdowns of the 2008. In theory the system may miss the early moves of a bull market, potentially limiting total returns in a prolonged bull market but has historically limited drawdowns and volatility.  It could also suffer from whiplash when a position hovers above and below its 10 month moving average for an extended period of time.  Commissions and taxes will also further reduce returns.