The Ivy Portfolio

Discussion in 'ETFs' started by drcha, Jun 13, 2009.

  1. drcha


    I'm wondering if anyone has read this, and what you thought of it. I have begun implementing some of these strategies.
  2. Great book. Can def be replicated on shorter time frames as well if you can get creative.
  3. drcha



    I have been wondering about that--the shorter time frames. Please tell me more about your thoughts along those lines.
  4. Corey


    Yale and Harvard got creamed in their non-liquid alternative assets. The basic idea was that by using alternative assets with 'stock-like' returns, they could further diversify their portfolio. Unfortunately, when correlation went up and they couldn't get out of their holdings, their portfolios took a hit.

    It is a great idea, and I have had some success in replicating it ... but using liquid ETFs and ETNs for some of the alternative stuff. You can even find some funds that track private equity, etc...
  5. drcha


    Corey (or others), are you finding this methodology useful in the recent trend? What are your favorite ETFs?
  6. Nym


    I read the book too, and i am trying something in the paper account. What is written there looks reasonable, btw I would like to combine some of these strategies with some option too.

    But as I said, everything is in paper-mode for the moment
  7. clacy


    Mebane's ETF seems to have a hard time making money with his strategies.....

  8. I got burnt using one of the strategies from this book in 2011. I started implementing the momentum method for a basket of 20 ETF's and then take the top 2 with the greatest momentum (6monthly and 1monthly). The backtests were pretty good, but I lost a lot on DBP and DBE. All in all, I closed down with -22% after a year with the S&P doing much better.
  9. Nanook


  10. clacy


    I think the key with MA strategies such as Mebane employs is saving you during a bear market. During bull markets it will under perform but still be positive. During volatile market phases it won't do to well because of whipsaws
    #10     Aug 4, 2012