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Discussion Starter #1
I read the investing book called "The Ivy Portfolio" a while ago.

The author attempts to reproduce the performance of the endowments held by the top Ivy League schools, and breaks his system down into five ETF funds which are rebalanced monthly. The funds are:

VTI (US Stocks)
VEU (Foreign Stocks)
IEF (US Government Bonds)
VNQ (Real Estate)
DBC (Commodities)

His theory is back tested and looks OK. So a few months back I put a some funds into it and have been reblancing monthly. The problem is the funds are all US dollars, with significant exposure to the US markets.

I would like to try and replicate a similar type of investment distribution, but using Canadian dollars with exposure to CDN markets when possible.

I have some CDN dollars that are currently invested in more traditional mutual funds, have had them for years but I want to move into ETF's with lower fees.

If anyone can suggest some Canadian dollar based ETF's that I could consider to replicate a distribution like above I would appreciate hearing about them.


Regards,


Robert
 

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You can check iShares Canada or Claymore Canada web site to find ETFs that match your needs.

http://ca.ishares.com/
http://www.claymoreinvestments.ca/

There is also BMO ETFs (http://www.bmoetfs.com), but personally I still prefer iShares or Claymore.

Another thing to note that the performance of Canadian ETFs (although they are hedged to CAD) is not as good as US ETFs.

You can go to Google Finance, for example and compare XSP.TO and IVV. The first one is ETF for S&P 500 hedged to CAD. The second one is ETF for the same index (S&P 500), but it's held in USD.

Notice how difference the performance of those ETFs in the long run (a couple of years).
 

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I've been thinking about this as well since I've read Mebane Faber's paper on tactical asset allocation and market timing.

To answer your question, here's what my thoughts are:

VTI (US Stocks)
The idea here might be to replace 'US' with 'domestic'. In this case, use XIC for broad TSX.

VEU (Foreign Stocks)
Since we've stripped US out of our domestic, we could include it here. My suggestion would XWD, which is 50/50 US and MSCI EAFE, with a bit of Canada. My concern is that you're missing some emerging markets here. MER is at 0.45 and only $22 million in market cap. I imagine it would still be fairly liquid, since it is simply composed of three US listed ETFs.

IEF (US Government Bonds)
I don't think we have a good analogue here. Best I could think of was XGB, which has only half of its portfolio longer than 5 years, and a duration of just over 6. Duration of the US ETF is a bit over 7, and obviously all in that 5-10 year maturity.

VNQ (Real Estate)
I think it might be a touch risky to go with just Canadian real estate. You could us a combination of XRE (or select Canadian REIT holdings) and a more global RE ETF like Claymore's CGR. This one is again $30 million in market cap. Both funds are a touch expensive at 0.65 MER. I think this fund has good geographic diversification, which under 40% US, 15% or so East Asia, 20% Europe, etc.

DBC (Commodities)
I see no point in swapping this out. You'll probably get exactly the same return, but with higher fees.


I'm really curious about this topic. Let me know your thoughts.
 

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The ivies must be doing something right: I worked at Harvard's central administration in the mid 1980s, and their endowment at that point was worth about $4 billion. Now it's worth more than $26 billion -- and that's after a nearly 30 percent loss in value during the last fiscal year.

Canadian Couch Potato has a model ivy-style portfolio here: http://canadiancouchpotato.com/model-portfolios/ (look at #5, the "Ivy League Couch Potato).
 

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I read a similar book, "How Harvard and Yale Beat the Market" by Matthew Tuttle and that lead to a similar thread along these lines regarding non-correlating assets. Some members take issue with the principal of combining non-correlating assets but that is the basis of the Ivy portfolios that seem to work so well.

I like that link Brad. It provides some ideas for investment vehicles to mimic Ivy portfolios and I had been searching for examples along these lines.
 

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The key here is that you use the 'Ivy Portfolio' AND market timing using 10 month simple moving average. Using market timing increases expected returns and lowers volatility/drawdown.
 

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I like that link Brad. It provides some ideas for investment vehicles to mimic Ivy portfolios and I had been searching for examples along these lines.
Just to clarify, the Ivy League Model Portfolio on the Couch Potato Blog does not mirror the Yale or any other endowment portfolio. It is, instead, a model portfolio that Yale's manager David Swensen advocates for individual investors. Mr. Swensen is quite specific that retail investors don't have the time or the expertise to invest in alternative asset classes such as timber, commodities, hedge funds, private equity, etc. Instead he suggests investing in what he calls core asset classes: domestic stocks, domestic bonds, RRBs, foreign stocks, emerging markets and REITs.
 

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Discussion Starter #9
DBC (Commodities)
I see no point in swapping this out. You'll probably get exactly the same return, but with higher fees.
Is a fund like this (or maybe the same one?) available, but trading in $CDN.

I am trying to build my Ivy Portfolio all in $CDN, and ideally with $CDN holdings instead of US hodings. Basically I am trying to have to Ivy Portfolios, one in $CDN and one in $US.
 

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I'm not aware of a commodity ETF in Canada.

Why is it so important that these products be C$ denominated? US-listed funds are often cheaper, more liquid, and not necessarily overexpose oneself to CAD/USD exchange rate risk, since the assets held by these ETFs might be global in nature.

For instance, owning unhedged international equity in USD or CAD should make no difference. Ditto US equity. Fixed income might be an issue, if you're investing is US government treasuries.
 

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Discussion Starter #11
I'm not aware of a commodity ETF in Canada.

Why is it so important that these products be C$ denominated?
I have two pools of cash to invest with. $CDN and $USD. On the $USD side I am set, there are lots of options.

I would like to keep my $CDN funds in $CDN currency, I don't want to pay to exchange the funds into and out of a trade - I want to hold $CDN.

As the $USD continues to drop in value I want my $CDN investment pool to remain in $CDN. By having an investment pool in each currently I am trying to further diversify the portfolio.

For the time being, as a replacement for a commodity fund that trades in $CDN I have added Claymore's Gold Bullion ETF (CGL). Obviously this is not a commodity fund, but it should perform well as the $USD continues to walk the plank over the next few years.
 

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Ok, so a commodity ETF denominated in USD ought not pose any currency risk due to CAD:USD. Commodities are all priced in USD anyway. If I understand you corrrectly, you want to avoid the currency conversion fees? If you have a substantial sum of money to convert, there are firms that specialize in large transactions and will give you a better rate.
 
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