Holding now
Signal from Dec 2025 close- VTI20%
- VEA20%
- IEF20%
- VNQ20%
- DBC20%
- VTIUS Total Market20.0%
- VEAIntl Developed20.0%
- IEF7-10Y Treasuries20.0%
- VNQUS REITs20.0%
- DBCCommodities20.0%
Trailing returns
Through Sep 25, 2026 · 3Y+ annualised1M
-0.5%
YTD
+15.6%
1Y
+18.0%
3Y
+15.0%
5Y
+7.9%
10Y
+8.4%
Growth of $100
Backtest from Mar 1, 2006 to Sep 25, 2026 (20.5 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
+6.7%
Volatility
13.7%
Max drawdown
-46.5%
Sharpe
0.42
Sortino
0.59
Calmar
0.14
Best year
+23.4%
Worst year
-25.6%
What if you added a trend filter? → GTAA 5 / Timed Ivy
The same weights, but each sleeve steps into T-bills when it closes a month below its 10-month average.
- CAGR
- +6.7%
- +5.0%
- Max DD
- -46.5%
- -15.9%
- Sharpe
- 0.42
- 0.46
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
The five asset classes of The Ivy Portfolio held at 20% each. Comparing it with the timed version isolates exactly what the trend filter adds or costs.
The rules
- 120% each: US stocks, developed international, 10-year Treasuries, REITs, commodities.
- 2Rebalance annually.
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
- Dec 2025
- Dec 2024
- Dec 2023
- Dec 2022
- Dec 2021
- Dec 2020
- Dec 2019
- Dec 2018
- Dec 2017
- Dec 2016
- Dec 2015
- Dec 2014