Ben Felix Five Factor Model 100/0 Portfolio: Rebalancing Strategy

Data Source: from January 1985 to October 2024
Consolidated Returns as of 31 October 2024
This asset allocation includes ETFs not denominated in CAD. Returns are calculated using exchange rates or, if applicable, interest rate differentials for currency hedging.

Managing the Ben Felix Five Factor Model 100/0 Portfolio with a yearly rebalancing, you would have obtained a 8.83% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 8.77%.

How do returns and drawdowns change, implementing different rebalancing strategies?

Rebalancing Strategies

In order to keep risk under control, you should rebalance assets quotes from time to time, so to keep them at the original percentage of the asset allocation.

Rebalancing can be performed in several ways.

At fixed time intervals:
  • Yearly: Jan 1st
  • Half Yearly: Jan 1st, Jul 1st
  • Quarterly: Jan 1st, Apr 1st, Jul 1st, Oct 1st
When a component (at least one) diverges from its original weight beyond a certain threshold (e.g. 5% or 10%).

Portfolio Returns as of Oct 31, 2024

Implementing different rebalancing strategies, the Ben Felix Five Factor Model 100/0 Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on January 1985.

Portfolio returns are calculated in CAD, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends, if existing
  • the adjustment for actual currency exchange rates (simulation derived from original US returns)
BEN FELIX FIVE FACTOR MODEL 100/0 PORTFOLIO RETURNS
Period: January 1985 - October 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of Oct 31, 2024
Rebalancing Strategy 1Y 5Y 10Y 30Y MAX
(~40Y)
No Rebalancing 32.41 (0) 13.32 (0) 11.24 (0) 8.83 (0) 10.21 (0)
Yearly Rebalancing 30.93 (1) 11.78 (5) 10.26 (10) 8.74 (30) 10.10 (40)
Half Yearly Rebalancing 31.01 (2) 11.83 (10) 10.28 (20) 8.77 (60) 10.03 (80)
Quarterly Rebalancing 30.96 (4) 11.87 (20) 10.27 (40) 8.70 (120) 9.94 (160)
5% Tolerance per asset 31.39 (1) 11.86 (1) 10.24 (3) 8.82 (12) 10.05 (16)
10% Tolerance per asset 31.86 (0) 12.03 (0) 10.44 (1) 8.88 (3) 10.28 (5)

In order to have complete information about the portfolio, please refer to the Ben Felix Five Factor Model 100/0 Portfolio: ETF allocation and returns page.

Performances as of Oct 31, 2024

Historical returns and stats of Ben Felix Five Factor Model 100/0 Portfolio, after implementing different rebalancing strategies.

BEN FELIX FIVE FACTOR MODEL 100/0 PORTFOLIO PERFORMANCES
Period: January 1985 - October 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
No Rebalancing 10.21 (0) 13.45 0.76 -44.68 0.23
Yearly Rebalancing 10.10 (40) 12.96 0.78 -42.33 0.24
Half Yearly Rebalancing 10.03 (80) 12.97 0.77 -42.00 0.24
Quarterly Rebalancing 9.94 (160) 12.97 0.77 -42.21 0.24
5% Tolerance per asset 10.05 (16) 12.97 0.77 -42.11 0.24
10% Tolerance per asset 10.28 (5) 13.08 0.79 -42.80 0.24
(*) Since Jan 1985 (~40 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Oct 31, 2024

Historical Drawdowns of Ben Felix Five Factor Model 100/0 Portfolio, after implementing different rebalancing strategies.

BEN FELIX FIVE FACTOR MODEL 100/0 PORTFOLIO DRAWDOWNS
Period: January 1985 - October 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
No Rebalancing Yearly Half Yearly Quarterly 5% 10%
-44.68
Jun 2007 - Feb 2013
-42.33
Jun 2007 - Jan 2013
-42.00
Jun 2007 - Jan 2013
-42.21
Jun 2007 - Jan 2013
-42.11
Jun 2007 - Jan 2013
-42.80
Jun 2007 - Feb 2013
-34.23
Sep 2000 - Feb 2005
-35.94
Sep 2000 - Jul 2005
-35.01
Sep 2000 - Feb 2005
-35.21
Sep 2000 - Jul 2005
-35.19
Sep 2000 - Feb 2005
-36.09
Sep 2000 - Feb 2005
-24.62
Sep 1987 - Jul 1989
-26.08
Sep 1987 - Jul 1989
-26.83
Sep 1987 - Jul 1989
-26.76
Sep 1987 - Jul 1989
-26.06
Sep 1987 - Jul 1989
-26.51
Sep 1987 - Jul 1989
-22.70
Jan 1990 - Dec 1991
-20.89
Jan 1990 - Oct 1991
-20.83
Jan 1990 - Oct 1991
-20.77
Jan 1990 - Oct 1991
-21.30
Jan 1990 - Oct 1991
-21.22
Jan 1990 - Aug 1991
-21.81
Jan 2020 - Nov 2020
-20.43
Feb 2020 - Nov 2020
-20.43
Feb 2020 - Nov 2020
-20.43
Feb 2020 - Aug 2020
-20.41
Feb 2020 - Nov 2020
-20.33
Feb 2020 - Aug 2020
5 Worst Drawdowns - Average
-29.61 -29.13 -29.02 -29.08 -29.01 -29.39
10 Worst Drawdowns - Average
-20.94 -20.53 -20.48 -20.53 -20.49 -20.60

For a deeper insight, please refer to the Ben Felix Five Factor Model 100/0 Portfolio: ETF allocation and returns page.