The Ivy Portfolio

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drcha

I'm wondering if anyone has read this, and what you thought of it. I have begun implementing some of these strategies.
 
trackstar,

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