The Ivy Portfolio

A do-it-yourself guide to investing like the renowned Harvard and Yale endowments. The Ivy Portfolio shows step-by-step how to track and mimic the investment strategies of the highly successful Harvard and Yale endowments. Using the endowment Policy Portfolios as a guide, the authors illustrate how an investor can develop a strategic asset allocation using an ETF-based investment approach.

The Ivy Portfolio also reveals a novel method for investors to reduce their risk through a tactical asset allocation strategy to protect them from bear markets. The book will also showcase a method to follow the smart money and piggyback the top hedge funds and their stock-picking abilities. With readable, straightforward advice, The Ivy Portfolio will show investors exactly how this can be accomplished-and allow them to achieve an unparalleled level of investment success in the process.

With all of the uncertainty in the markets today, The Ivy Portfolio helps the reader answer the most often asked question in investing today - "What do I do"?

Auteur

Mebane T. Faber, CAIA, CMT, is the Portfolio Manager at Cambria Investment Management where he manages equity and global tactical asset allocation portfolios and the Cambria Global Tactical ETF (GTAA). He is a frequent speaker and writer on investment strategies and authors the World Beta blog. Eric W. Richardson, JD, is the founder and CEO of Cambria Investment Management. He serves as the co-manager of the global tactical asset allocation portfolios and the Cambria Global Tactical ETF (GTAA).

Contenu

Preface ix

Acknowledgments xi

Part One: Constructing Your Ivy Portfolio 1

Chapter 1 The Super Endowments 3

Endowments Are Different 4

Size Matters . . . 8

. . . and So Does Performance 11

Active Management over Passive 14

Summary 16

Chapter 2 The Yale Endowment 17

History of the Endowment 18

David Swensen's Ascent 22

Of Alphas and Betas 30

Outlining the Yale Process 33

Domestic Equity 34

Foreign Equity 35

Fixed-Income 37

Real Assets 37

Private Equity 38

Summary 39

Chapter 3 The Harvard Endowment 41

History of the Endowment 42

The Owner's Mentality 43

Harvard's Swensen 45

More Money, More Problems 48

How Harvard Does It 50

Summary 53

Chapter 4 Building Your Own Ivy League Portfolio 55

Do as I Do-Shadowing the Super Endowments 56

Risk-Adjusted Returns 64

Do as I Say 66

Inflation Is the Enemy 68

Creating an All-Weather Policy Portfolio through Indexing 71

Implementing Your Portfolio 74

Rebalancing Your Portfolio 77

Summary 78

Part Two: Alternatives 81

Chapter 5 Private Equity 83

What Is Private Equity? 84

Historical Returns and Benchmarking 85

How to Invest in Publicly Listed Private Equity 91

Summary 96

Chapter 6 Hedge Funds 97

A Brief Introduction to Hedge Funds 98

Fund of Funds 101

Options to Invest in Hedge Funds 113

Individual Hedge Funds 123

Fund of Funds 125

Practical Considerations 131

Summary 132

Part Three: Active Management 133

Chapter 7 Winning by Not Losing 135

Losing Hurts 136

The Quantitative System 141

Out-of-Sample Testing and Systematic Tactical Asset Allocation 151

Extensions 158

A Rotation System 159

Practical Considerations and Taxes 160

Discipline 162

The Systems versus the Endowments 165

Why It Works 166

Summary 169

Chapter 8 Following the Smart Money 171

Introduction to the 13F 172

Combining the Top Fund Managers to Create Your Own Fund of Funds 182

Summary 185

Chapter 9 Develop an Action Plan 187

Implementing Your Ivy Portfolio 188

Portfolios Discussed in The Ivy Portfolio 191

Appendix A: A Brief Review of Momentum and Trend Following 195

Appendix B: Additional Charts 199

Appendix C: Recommended Reading 207

Bibliography 211

About the Authors 218

Index 219