Strategies

UBAH - Uniform Buy and Hold
UBAH Redistribute - Uniform Buy and Hold, redistributing on 1st Jan of each year
Timed Ivy - 2 Asset Class Rotation System proposed in Chapter 7 of The Ivy Portfolio implemented based on the discussion here.
GTAA - Global Tactical Asset Allocation as proposed in A Quantitative Approach to Tactical Asset Allocation

Index Tracker Portfolio

In this portfolio we only use index tracker funds, except for commodities, where we could not find a tracker fund. Instead for commodities we use an actively managed fund with experienced management.

Asset Class	Fund	Fund ISIN / Ticker Symbol	Index	Index ISIN
International	LEGAL & GENERAL INTERNATIONAL INDEX TRUST	GB00BG0QP604	FTSE ALL-WORLD EX UK IDX	FTAWXUKSP:FSI
UK	LEGAL & GENERAL UK INDEX	GB00BG0QPJ30	FTSE ALL-SHARE INDEX	FTASXS:FSI
Property	ISHARES GLOBAL PROPERTY SECS. EQ. INDEX	GB00BPFJCF57	FTSE EPRA Nareit Developed REITs GBP	FTERGLS:FSI
Commodities	BLACKROCK NATURAL RESOURCES GROWTH & INCOME	GB00B6865B79
Bonds	LEGAL & GENERAL ALL STOCKS GILT INDEX TRUST	GB00BG0QNV10	FTSE Actuaries UK Conventional Gilts	BG05:FSI

Performance

Performance is based on the index funds corresponding indicies. Performance is measured back in time by the time period specified. For max we look at the performance back to the first date we have prices for all indices.

Cumulative Performance

Higher is better.

	3 months	6 months	1 year	3 years	5 years	Max
UBAH	0.831685715	0.879249615	0.902789228	0.989523491	1.172302143	1.517318836
UBAH Redistribute	0.835852341	0.882673981	0.899530896	0.981648124	1.173650671	1.513607284
Timed Ivy	0.932733734	0.97425948	0.980776456	0.913977893	1.056040218	1.504608514
GTAA	0.930821592	0.964122198	0.966920422	0.935351524	1.095793166	1.336883967

Maximum Drawdown

Closer to zero is better.

	3 months	6 months	1 year	3 years	5 years	Max
UBAH	-0.271400747	-0.271400747	-0.271400747	-0.271400747	-0.271400747	-0.271400747
UBAH Redistribute	-0.266924208	-0.266924208	-0.266924208	-0.266924208	-0.266924208	-0.266924208
Timed Ivy	-0.128322	-0.128322	-0.128322	-0.207942679	-0.207942679	-0.207942679
GTAA	-0.086212006	-0.086212006	-0.091963841	-0.117373811	-0.117373811	-0.117373811

Sharpe Ratio

Higher is better.

	3 months	6 months	1 year	3 years	5 years	Max
UBAH	-0.141597905	-0.065484612	-0.032658488	0.001789517	0.021000565	0.034769371
UBAH Redistribute	-0.144077363	-0.066511968	-0.035838674	0.000118724	0.021456736	0.035161234
Timed Ivy	-0.103901926	-0.022180304	-0.007322094	-0.015211285	0.009581282	0.033389342
GTAA	-0.197115347	-0.058266231	-0.024985126	-0.019473909	0.018386105	0.03535207

Portfolio Allocations by Asset Class

Timed Ivy

GTAA

Active Manager Portfolio

In this portfolio we experiment with active managers for equities, choosing experienced managers that have consistently outperformed their index over many years.

Asset Class	Fund	Fund ISIN / Ticker Symbol	Index	Index ISIN
International	FUNDSMITH EQUITY	GB00B41YBW71
UK	LF LINDSELL TRAIN UK EQUITY	GB00BJFLM156
Property	ISHARES GLOBAL PROPERTY SECS. EQ. INDEX	GB00BPFJCF57	FTSE EPRA Nareit Developed REITs GBP	FTERGLS:FSI
Commodities	BLACKROCK NATURAL RESOURCES GROWTH & INCOME	GB00B6865B79
Bonds	LEGAL & GENERAL ALL STOCKS GILT INDEX TRUST	GB00BG0QNV10	FTSE Actuaries UK Conventional Gilts	BG05:FSI

Performance

Cumulative Performance

Higher is better.

	3 months	6 months	1 year	3 years	5 years	Max
UBAH	0.871456947	0.926232095	0.954686896	1.134772625	1.44213341	2.059814939
UBAH Redistribute	0.86484401	0.912213934	0.93474097	1.07738121	1.367615656	1.929072317
Timed Ivy	0.922519559	0.946661113	0.973688289	1.033994233	1.270027215	1.776674753
GTAA	0.954315211	0.987780589	0.996594926	1.024649403	1.244296971	1.666950113

Maximum Drawdown

Closer to zero is better.

	3 months	6 months	1 year	3 years	5 years	Max
UBAH	-0.232029494	-0.232029494	-0.232401797	-0.232401797	-0.232401797	-0.232401797
UBAH Redistribute	-0.226508688	-0.226508688	-0.231874487	-0.231874487	-0.231874487	-0.231874487
Timed Ivy	-0.128125916	-0.128125916	-0.163256165	-0.163256165	-0.163256165	-0.163256165
GTAA	-0.062707116	-0.062707116	-0.088665514	-0.088665514	-0.088665514	-0.088665514

Sharpe Ratio

Higher is better.

	3 months	6 months	1 year	3 years	5 years	Max
UBAH	-0.10833578	-0.038166734	-0.012287435	0.025544338	0.043248064	0.057839582
UBAH Redistribute	-0.126615565	-0.052345578	-0.022992326	0.017410811	0.039404527	0.055358916
Timed Ivy	-0.118678647	-0.047972264	-0.009441896	0.009661299	0.028810249	0.04374717
GTAA	-0.164109581	-0.021965194	-0.0005271	0.009554645	0.038104535	0.057893714

Portfolio Allocations by Asset Class

Timed Ivy

GTAA

Extensions

Here we explore extensions proposed in the most recent publication of GTAA.

Instead of holding the cash portion as cash, it is invested in the All Stocks Gilt Index. In the paper they found investing the cash portion in 10 year government bonds improved performance, even in periods of heightened inflation.
The asset classes are broken down into smaller subclasses. We break down the subclasses slightly differently as we could not find tracker funds for all the subclasses they use.
As the asset classes are broken into subclasses, the weights are no longer uniform for UBAH and GTAA.
The timing system uses the top 6 performing classes, chosen based on the average of the 1, 3, 6, and 12 month returns.

Index Tracker Portfolio

In this portfolio we only use index tracker funds, except for commodities, where we could not find tracker funds. Instead for commodities we use actively managed funds with experienced management.

Asset Class	Category	Fund	Weight	ISIN	Index
Equity	UK Large Cap	HSBC FTSE 100 INDEX	10.0%	GB00B80QFR50	FTSE 100
	UK Mid Cap	HSBC FTSE 250 INDEX	10.0%	GB00BV8VN686	FTSE 250
	Developed Large Cap	LEGAL & GENERAL INTERNATIONAL INDEX TRUST	5.0%	GB00BG0QP604	FTSE ALL-WORLD EX UK IDX
	Developed Small Cap	VANGUARD GLOBAL SMALL-CAP INDEX	5.0%	IE00B3X1NT05	MSCI Small Cap World Index
	Foreign Emerging	ISHARES EMERGING MARKETS EQUITY INDEX	10.0%	GB00BJL5BW59	FTSE All-World Emerging Index
Bonds	Global Government Bonds	ISHARES OVERSEAS GOVERNMENT BOND INDEX	5.0%	GB00BPFJD859	JP Morgan Global Government Bond Index ex UK
	UK Government Bonds	LEGAL & GENERAL ALL STOCKS GILT INDEX TRUST	5.0%	GB00BG0QNV10	FTSE Actuaries UK Conventional Gilts
	UK Government Long Duration Bonds	VANGUARD UK LONG DURATION GILT INDEX	5.0%	GB00B4M89245	Barclays Capital U.K. Government 15+ Years Float Adjusted Bond Index
	UK Corporate Bonds	ISHARES CORPORATE BOND INDEX	5.0%	GB00BKF2KH76	iBoxx £ Non-Gilts Overall TR Index
Commodities	Natural Resources	BLACKROCK NATURAL RESOURCES GROWTH & INCOME	10.0%	GB00B6865B79
	Gold	BLACKROCK GOLD & GENERAL	10.0%	GB00B99BDY18
Property	Property	ISHARES GLOBAL PROPERTY SECS. EQ. INDEX	20.0%	GB00BPFJCF57	FTSE EPRA Nareit Developed REITs GBP

Performance

Performance is based on the index funds corresponding indicies. Performance is measured back in time by the time period specified. For max we look at the performance back to the first date we have prices for all indices.

Cumulative Performance

Higher is better.

	3 months	6 months	1 year	3 years	5 years	Max
UBAH	0.842225547	0.888625074	0.92602357	0.989964333	1.186267651	1.498463178
UBAH Redistribute	0.904122735	0.954113908	0.994997545	1.048818884	1.280600905	1.597755605
Timed Ivy	0.996582091	1.0476489	1.057841918	1.053814188	1.246619832	1.743956128
GTAA	0.966462715	1.011039942	1.050485295	1.05984678	1.287685439	1.593256603

Maximum Drawdown

Closer to zero is better.

	3 months	6 months	1 year	3 years	5 years	Max
UBAH	-0.275202564	-0.275202564	-0.275202564	-0.275202564	-0.275202564	-0.275202564
UBAH Redistribute	-0.210199081	-0.210199081	-0.210199081	-0.210199081	-0.210199081	-0.210199081
Timed Ivy	-0.093891398	-0.093891398	-0.093891398	-0.110234524	-0.110234524	-0.12149702
GTAA	-0.10773295	-0.108300818	-0.108300818	-0.108300818	-0.108300818	-0.108300818

Sharpe Ratio

Higher is better.

	3 months	6 months	1 year	3 years	5 years	Max
UBAH	-0.126514781	-0.057721314	-0.023036944	0.001790447	0.022612727	0.034426837
UBAH Redistribute	-0.096312689	-0.027810758	0.001788405	0.013377403	0.034966545	0.044898955
Timed Ivy	-0.000032666	0.049423531	0.03516347	0.015013009	0.032115279	0.053123518
GTAA	-0.03782114	0.013899395	0.0304292	0.01755995	0.039783377	0.0501731

Portfolio Allocations by Asset Class

Timed Ivy

GTAA

Active Manager Portfolio

In this portfolio we experiment with active managers for equities, choosing experienced managers that have consistently outperformed their index over many years.

Asset Class	Category	Fund	Weight	ISIN	Index
Equity	UK Large Cap	LINDSELL TRAIN UK EQUITY	10.0%	GB00BJFLM156
	UK Small Cap	MARLBOROUGH UK MICRO-CAP	10.0%	GB00B8F8YX59
	Global Large Cap 1	FUNDSMITH EQUITY	2.5%	GB00B41YBW71
	Global Large Cap 2	LINDSELL TRAIN GLOBAL EQUITY	2.5%	IE00BJSPMJ28
	Global Flex Cap	RATHBONE GLOBAL OPPORTUNITIES	2.5%	GB00BH0P2M97
	Global Small Cap	BAILLIE GIFFORD GLOBAL DISCOVERY	2.5%	GB0006059330
	Emerging Markets	JPMORGAN EMERGING MARKETS	10.0%	GB00B1YX4S73
Bonds	Global Government Bonds	ISHARES OVERSEAS GOVERNMENT BOND INDEX	5.0%	GB00BPFJD859	JP Morgan Global Government Bond Index ex UK
	UK Government Bonds	LEGAL & GENERAL ALL STOCKS GILT INDEX TRUST	5.0%	GB00BG0QNV10	FTSE Actuaries UK Conventional Gilts
	UK Government Long Duration Bonds	VANGUARD UK LONG DURATION GILT INDEX	5.0%	GB00B4M89245	Barclays Capital U.K. Government 15+ Years Float Adjusted Bond Index
	UK Corporate Bonds	ISHARES CORPORATE BOND INDEX	5.0%	GB00BKF2KH76	iBoxx £ Non-Gilts Overall TR Index
Commodities	Natural Resources	BLACKROCK NATURAL RESOURCES GROWTH & INCOME	10.0%	GB00B6865B79
	Gold	BLACKROCK GOLD & GENERAL	10.0%	GB00B99BDY18
Property	Property	ISHARES GLOBAL PROPERTY SECS. EQ. INDEX	20.0%	GB00BPFJCF57	FTSE EPRA Nareit Developed REITs GBP

Performance

Cumulative Performance

Higher is better.

	3 months	6 months	1 year	3 years	5 years	Max
UBAH	0.871573408	0.928913972	0.963699914	1.099673276	1.381755346	1.79505248
UBAH Redistribute	0.934489855	0.998080584	1.033926942	1.195727247	1.528097415	2.055082664
Timed Ivy	0.981693518	1.028732368	1.033505337	1.265204172	1.511386048	2.254438305
GTAA	0.986657791	1.03373132	1.081142667	1.157325864	1.441362193	1.858849934

Maximum Drawdown

Closer to zero is better.

	3 months	6 months	1 year	3 years	5 years	Max
UBAH	-0.246916387	-0.246916387	-0.246916387	-0.246916387	-0.246916387	-0.246916387
UBAH Redistribute	-0.186610761	-0.186610761	-0.186610761	-0.186610761	-0.186610761	-0.186610761
Timed Ivy	-0.098103861	-0.098103861	-0.124487693	-0.124487693	-0.124487693	-0.124487693
GTAA	-0.106284657	-0.106284657	-0.106284657	-0.106284657	-0.106284657	-0.106284657

Sharpe Ratio

Higher is better.

	3 months	6 months	1 year	3 years	5 years	Max
UBAH	-0.108298688	-0.036926101	-0.009513528	0.020929898	0.040745488	0.050032395
UBAH Redistribute	-0.065247349	0.003844474	0.019668822	0.0402449	0.056015205	0.065880846
Timed Ivy	-0.021303074	0.030676266	0.020439394	0.048825065	0.049389755	0.065735129
GTAA	-0.011450108	0.033270293	0.046007474	0.039635893	0.055539626	0.065663532

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Strategies

Index Tracker Portfolio

Performance

Cumulative Performance

Maximum Drawdown

Sharpe Ratio

Portfolio Allocations by Asset Class

Timed Ivy

GTAA

Active Manager Portfolio

Performance

Cumulative Performance

Maximum Drawdown

Sharpe Ratio

Portfolio Allocations by Asset Class

Timed Ivy

GTAA

Extensions

Index Tracker Portfolio

Performance

Cumulative Performance

Maximum Drawdown

Sharpe Ratio

Portfolio Allocations by Asset Class

Timed Ivy

GTAA

Active Manager Portfolio

Performance

Cumulative Performance

Maximum Drawdown

Sharpe Ratio

Portfolio Allocations by Asset Class

Timed Ivy

GTAA

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