Testing The Ivy-10 Portfolio Ranking Score

About the Author Jeff Swanson

Jeff is the founder of System Trader Success - a website and mission to empowering the retail trader with the proper knowledge and tools to become a profitable trader the world of quantitative/automated trading.

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  • […] Testing the Ivy-10 Portfolio Ranking Score […]

  • Mark says:

    With the system underperforming in 2013, would it be relevant to ask the question “is the system broken?” How might you determine that?

    • I would say, no. There are any number of historical 6-month periods where the Ivy Portfolio unperformed the benchmark. Determining when a system is broken is no easy task. A drawdown outside of an expected range of historical drawdowns would be one way.

      • Confucius says:

        Dear Jeff,

        What strikes me when I read your article and looked at your portfolio performance from Jan 1 to June 7 is obviously the drop in May. Indeed, the IVY portfolio aims at protecting the portfolio against bear market. One would expect during the May June market drop to see the IVY portfolio drop to a lower extend than the reference (SPY). However, the result is the exact opposite: massive drop vs. the market.
        How do you explain this?
        Can you share the 2013 performance of your portfolio?


        • Make no assumption that any given ETF may or may not fall as quick as SPY. Trades are held for 30-day minimum before the re-balance, during that time it’s completely possible the open positions will under perform the SPY. Ivy will protect capital against a bear market which is a prolonged down trend- not a single one month move. For 2013 the Ivy has been under performing the market as measured by SPY. I will post an update once the year closes.

          • Confucius says:

            Thank you Jeff for you reply. I agree that 1 month is not meaningful. Moreover, it makes sense that your IVY portfolio under performed in 2013 which was a very bullish market. It will be great to see the results once published!

  • BlueHorseshoe says:

    Hi Jeff,

    It would be great to get a further update on how this strategy is performing when you get the opportunity.

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