Ivy 5 Downside Protected

Managed by Financial Freedom Management LLC

-0.8% Last 30 days -1.2% Last 90 days -1.3% Last 365 days -0.60 Sharpe Ratio -4.3% Max Drawdown

Ivy 5 Downside Protected

Managed by Financial Freedom Management LLC

-0.8% Last 30 days -1.2% Last 90 days -1.3% Last 365 days -0.60 Sharpe Ratio -4.30 Max Drawdown
Risk score
Strategy ETFs / Funds
AUM fee 0.75%
Requirements
• Investment minimum: $15,000
or Sign up to invest
The Ivy 5 Downside Protected (Ivy 5) portfolio is a global asset allocation strategy. The Ivy 5 implements a strategy used by the large Ivy League endowments as researched by Faber and Richardson (2009). The five asset classes that the Ivy 5 portfolio invests in are US equities, foreign equities, fixed income, real estate, and commodities. Over this set of assets we layer on quantitative risk management strategies that seek to reduce the volatility and drawdowns of the portfolio. The latest quantitative research is employed to improve the risk-return characteristics of the portfolio.

Research

The firm utilizes academic and industry research from Faber, Antonacci, AQR, and Alpha Architects, among others, to implement quantitative strategies. We supplement these sources with in-house research to select investment vehicles.

Approach

(1) Invest Globally
Diversification of equities and fixed income investments across geographic markets allows us to benefit from opportunities outside the US. We thus also protect ourselves from being overly concentrated in one country. Additionally, we benefit from reduced volatility and drawdowns.
(2) Invest in Real Assets
Historical data suggests we can improve the risk-return profile of a portfolio by adding non-correlated assets. Commodities and real estate (REITs) provide assets that are not well correlated to equities and fixed income investments.
(3) Add Size, Value and Momentum factors
We take advantage of the academic research to add small cap, value and momentum factors to the portfolio. The result once again is that the risk-return profile of the portfolio improves.
(4) Manage the Downside
Historical data suggests that, by implementing systematic rules to exit positions, the volatility and drawdowns of a portfolio can be improved. Downside protection can also improve returns over very long time frames.

Allocation discipline

(1) Security Universe
Equal weight among the five asset classes used - US domestic equities; foreign equities; fixed income; real estate; and commodities. As with equities the fixed income and real estate areas are diversified globally. Commodities are split along the lines of energy, base metals, and precious metals producers. We also hold an allocation to managed futures in the commodities allocation.
(2) Security candidates
We select ETFs to represent portions of each asset class where possible. The only exception area is that of gold where we use a basket of securities to represent the allocation. We look for candidates that provide small cap, value and momentum exposure.
(3) Security weights
Each asset area in the Ivy 5 receives a 20% allocation at the initial portfolio formation. The largest individual positions will typically be in the broad based REIT ETFs with a maximum position size of 10% of the model portfolio.
(4) Portfolio Characteristics
The historical model suggests that the portfolio will be over 75% invested close to 60% of the time. Our risk management rules decide whether to invest in a given position. If an investment is not made in a position that allocation is kept in cash. From a historical perspective we expect approximately 14 roundtrip trades per year on average. Significantly, winning trades tend to be held for longer than a year while losing trades tend to be held less than a year.

Sell discipline

Portfolios are rebalanced monthly for downside protection. Quantitative methods are used to arrive at trend and absolute momentum criteria for exiting or reducing exposure to positions. A stop loss is implemented to exit positions that are historically overvalued and have lost 5% from their peak in the current month.
  • All performance information on this page is based on the performance of the Portfolio Manager’s account. Client performance may differ. This information was calculated on November 11, 2019.

    Daily returns
    Performance
    S&P 500 ETF
    Manager (net of fees)
    Last 30 days -0.8% 4.1%
    Last 90 days -1.2% 5.9%
    Last 365 Days -1.3% 13.2%
    Since inception (Annualized) 0.0% 14.1%
    2019 (YTD) -1.8% 25.1%
    2018 -6.0% -4.6%
    2017 9.3% 21.7%
    Risk metrics (last 365 days)
    S&P 500 ETF
    Manager (net of fees)
    Volatility 4.7% 15.6%
    Sharpe Ratio -0.60 0.75
    Sortino Ratio -0.82 0.95
    Maximum Drawdown -4.3% -15.6%
    Value-at-risk (95%, 1 week) -1.1% -3.6%
    Additional metrics (last 365 days)
    vs. S&P 500 ETF
    Information Ratio -0.9%
    Alpha -2.03
    Beta 0.06
    R-Squared 0.0%
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About Financial Freedom Management LLC

Financial Freedom Management LLC is a New Jersey-based registered investment adviser. Humberto Portillo founded Financial Freedom Management LLC in 2015. Humberto has a 20-year background in the development of large-scale financial services computer systems. In 1996 he received his MBA in Finance and International Business from New York University with distinction. Humberto uses these skills to research and develop portfolios using a quantitative approach. He strives to actively manage risk. Humberto believes that if an investor cannot ride out the downturns in the market he will fail to benefit from investing in equities.

Important Information

  1. Past performance is no guarantee of future results, and all investments, including those in this portfolio, involve the risk of loss, including loss of principal and a reduction in earnings.
  2. All performance information on this page is based on the performance of the Portfolio Manager’s account, using the manager’s own funds. Portfolio Manager’s pre-Interactive Advisors performance information may include performance of non-Interactive Advisors client accounts. Performance of the Portfolio Manager's account is calculated by Interactive Advisors on a daily time-weighted basis, including cash, dividends and earnings distributions and reflects the deduction of broker commissions. Manager returns include trades and positions that fail Interactive Advisors' trading rules, as a result, actual client returns will differ. Interactive Advisors advisory fees are simulated and applied retroactively to present the portfolio return "net-of-fees".
  3. None of the performance information displayed on this page is based on the actual performance of any Interactive Advisors client account investing in this portfolio. The performance in an Interactive Advisors client account invested in this portfolio may differ (i.e., be lower or higher) from the Portfolio Manager’s account performance based on any trading restrictions imposed by the client (resulting in different account holdings), time of initial investment, amount of investment, frequency and size of cash flows in and out of the client account, applicable brokerage commissions, and different corporate actions.Clients investing in this portfolio may view the actual performance of their investment in this portfolio by logging into their Interactive Advisors account and reviewing their customized dashboard.
  4. All graph data is as of the end of day for the referenced period, unless otherwise specified. The investment minimum is the minimum investment required to follow a particular portfolio. The minimum amount is determined by Interactive Advisors, based on the characteristics of the underlying portfolio. It should not be considered as specific investment advice for your investment situation.
  5. The performance charts are provided for informational purposes only, and should not be used as the basis for making an investment decision. We rely on mathematical formulas, computer programs, and pricing information from third-party vendors to provide these returns. Neither Interactive Advisors nor any of its data or content providers shall be liable for any errors in this information or any actions taken by you in reliance upon this information.
  6. Benchmark returns displayed have been calculated by Interactive Advisors using daily adjusted close prices and include dividend income. More information here. For certain portfolios Interactive Advisors uses an index as a benchmark, while for others it uses an investable exchange traded fund (ETF) as a benchmark. Index returns do not reflect the deduction of any management fees, transaction costs or expenses. Individuals cannot invest directly in an index. Investable ETF returns reflect the deduction of (i.e., are net of) management fees, transaction costs and expenses.
  7. All Portfolio Manager information including personal data, profiles, strategies, monthly investment reports, and historical results outside of Interactive Advisors has been provided by the Portfolio Manager. Interactive Advisors makes no representation or warranty of its accuracy, completeness or relevance and it does not represent the opinions of Interactive Advisors. Transaction history of Portfolio Managers is available upon request. Portfolio classifications are provided by Interactive Advisors, and are intended to serve as a general guide.
  8. These securities are currently held in the Portfolio Manager's brokerage account. Positions in the "Portfolio Holdings" table currently pass Interactive Advisors' trading rules, subject to individual client constraints. Eligibility for replication may change over time. Actual client investment holdings may vary.
  9. Not all transactions listed will appear in accounts due to Interactive Advisors' trading rules and individual client constraints. Eligibility of these securities is monitored periodically, and may change over time. Actual client investment holdings may vary.
  10. Real time transaction history for this portfolio is not available. Instead, the portfolio's positions are replicated daily. If you have any questions, please contact Client Services.
  11. Simulated performance of multi-manager portfolios is calculated as a weighted average daily performance of the underlying portfolios. It reflects the allocations through time of portfolios included in the multi-manager portfolio. The simulation does not include trading costs for changes to allocations, for example when the multi-manager portfolio is rebalanced. This means performance will be overstated, though not materially, relative to what a client might achieve. Fees are subtracted from the performance on a monthly basis to present the net return.
  12. This portfolio was launched on Interactive Advisors on September 12, 2016.
  13. The actual performance chart is provided for informational purposes only, and should not be used as the basis for making an investment decision. We rely on mathematical formulas, computer programs, and pricing information from third-party vendors (Thomson Reuters Worldscope database) to provide these returns. Neither Interactive Advisors nor any of its data or content providers shall be liable for any errors in this information or any actions taken by you in reliance upon this information.
  14. This portfolio was launched on Interactive Advisors on September 12, 2016. Returns information prior to the launch date consists of hypothetical back-tested data not based on actual trading of real client funds. These hypothetical results reflect the deduction of (i.e., are net of) Interactive Advisors' advisory fee, Interactive Brokers LLC brokerage or other commissions and other expenses that a client will have to pay if he invests in this portfolio after September 12, 2016. Hypothetical back-tested results are not an indicator of the future returns a client will realize by investing in this portfolio and no Interactive Advisors client actually attained these hypothetical results. For a more detailed discussion of an explanation of the hypothetical nature of this return information and a discussion of the calculation methodology used, review these disclosures.
  15. The actual performance of the manager account displayed on this page is based on the performance of an Interactive Advisors proprietary account invested using this strategy and is calculated by Interactive Advisors on a daily time-weighted basis, including cash, dividends and earnings distributions. The actual performance for this portfolio is presented “net of fees” and reflects the deduction of the Interactive Advisors advisory fee, Interactive Brokers LLC brokerage and other commissions and expenses that a client has to pay if he invests in this portfolio after the launch date.
  16. Transaction history is available upon request. Portfolio classifications are provided by Interactive Advisors, and are intended to serve as a general guide.