Timed Ivy Lookback Ensemble
Timed Ivy with time-series momentum at every lookback 1–12.
Holding now
Signal from Aug 2026 close- VTI20%
- VEA20%
- DBC20%
- BIL18%
- VNQ18%
- IEF3.3%
- VTIUS Total Market20.0%
- VEAIntl Developed20.0%
- DBCCommodities20.0%
- BILT-Bills18.3%
- VNQUS REITs18.3%
- IEF7-10Y Treasuries3.3%
Signal preview: if the month ended today
- BIL32%
- VTI20%
- DBC20%
- VEA18%
- VNQ10.0%
Unofficial. The rules only trade on month-end closes.
Trailing returns
Through Sep 25, 2026 · 3Y+ annualised1M
-0.2%
YTD
+13.2%
1Y
+15.5%
3Y
+10.8%
5Y
+6.5%
10Y
+6.2%
Growth of $100
Backtest from Mar 1, 2007 to Sep 25, 2026 (19.5 years)
Growth of $100, rebased to the start of the selected range. Month-end prices, dividends reinvested, no taxes or trading costs.
Risk & return, full backtest
CAGR
+5.0%
Volatility
7.4%
Max drawdown
-12.5%
Sharpe
0.51
Sortino
0.69
Calmar
0.40
Best year
+20.0%
Worst year
-5.2%
Drawdowns
Percent below the prior peak, vs the S&P 500
Calendar-year returns
Faded bars are partial years · 64% of months positive
Strategy Lab
Stress-test the implementation: trade on the signal day's close or later, split the portfolio into tranches that rebalance on different days (reduces timing luck), or swap a fund for a same-asset-class alternative.
The idea
Static Ivy sleeves, each held according to time-series momentum (positive N-month return) averaged across lookbacks of 1 to 12 months. Each sleeve's exposure moves in twelfths instead of all-or-nothing.
The rules
- 1Static Ivy sleeves at 20% each.
- 2For each lookback L = 1 … 12: keep a sleeve if its L-month return is positive.
- 3Hold the average of the twelve resulting positions.
Funds used
- DBC Commodities
- IEF 7-10Y Treasuries
- VEA Intl Developed
- VNQ US REITs
- VTI US Total Market
Early history uses proxy funds: EFA, SHY.
Recent allocations
Decided at each month-end, held the following month
- Aug 2026
- Jul 2026
- Jun 2026
- May 2026
- Apr 2026
- Mar 2026
- Feb 2026
- Jan 2026
- Dec 2025
- Nov 2025
- Oct 2025
- Sep 2025