Ben Felix Five Factor Model 40/60 Portfolio: ETF allocation and returns

Period: January 1988 - August 2024 (~37 years)
Consolidated Returns as of 31 August 2024
Rebalancing: at every Jan 1^st
Currency: CAD

(Change Settings)

1.00$
Initial Capital
September 1994
6.28$
Final Capital
August 2024
6.31%
Yearly Return
6.20
Std Deviation
-15.30%
Max Drawdown
18 months
Recovery Period

1.00$
Initial Capital
January 1988
12.25$
Final Capital
August 2024
7.07%
Yearly Return
6.47
Std Deviation
-15.30%
Max Drawdown
18 months
Recovery Period

The Ben Felix Five Factor Model 40/60 Portfolio can be implemented with 7 ETFs. This portfolio has a medium risk, signifying moderate fluctuations in value. It is suitable for investors with a balanced approach to risk and return, seeking steady growth while tolerating some level of volatility.

The asset allocation is the following: 40% on the Stock Market, 60% on Fixed Income, 0% on Commodities. In general, bonds are useful for mitigating overall portfolio risk, especially if they are issued by national entities or highly reliable companies. This portfolio has a 60% allocation to bonds, leading to its classification as medium risk.

As of August 2024, in the previous 30 Years, the Ben Felix Five Factor Model 40/60 Portfolio obtained a 6.31% compound annual return, with a 6.20% standard deviation. It suffered a maximum drawdown of -15.30% that required 18 months to be recovered.

Disclaimer: The simulations on this website are provided in good faith but should NOT be taken as investment advice. We are not liable for any errors or actions based on this information. The authors of the website are not affiliated with the portfolio creators, who are the sole owners of their intellectual property. The translation of asset allocations into ETFs is based on the interpretation of LazyPortfolioETF.com and may not exactly reflect the original intent of the portfolio creators. Content is for informational, educational, illustrative, and entertainment purposes only.

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About the Author: Ben Felix

Ben Felix is the Chief Investment Officer and a Portfolio Manager at PWL Capital, a leading investment firm in Canada.

He has gained significant recognition for his educational contributions to the finance community, particularly through his popular YouTube channel, Common Sense Investing. On this channel, he explains complex investment concepts in a way that is accessible to a broad audience.

In addition to his YouTube presence, Ben co-hosts the Rational Reminder podcast with Cameron Passmore.

If you're looking to deepen your understanding of investing, financial planning, and rational decision-making, we highly recommend following Ben Felix’s insightful content.

Portfolio Overview

In episode 129 of the Rational Reminder Podcast, "Five Factor Investing with ETFs", Ben Felix explores a portfolio model based on the Fama-French Five-Factor Model.

We have also simulated different versions of the portfolio, including up to 60% bonds, following the study conducted by PWL Capital.

This portfolio is for illustration purposes only: actual PWL Capital client portfolios may differ.

For further information, take a look also to Ben's YouTube video

Please note that LazyPortfolioEtf is not an official source of information. Our work is purely a study and tribute to an interesting example of asset allocation created by Ben Felix, one of the most influential figures in the industry.

Asset Allocation and ETFs

This asset allocation includes ETFs not denominated in CAD. Returns are calculated using exchange rates or, if applicable, interest rate differentials for currency hedging.

The Ben Felix Five Factor Model 40/60 Portfolio has the following asset allocation:

          40% Stocks
        
          60% Fixed Income
        
          0% Commodities

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The Ben Felix Five Factor Model 40/60 Portfolio can be implemented with the following ETFs:

Weight (%)	ETF Ticker	ETF Currency	ETF Name	Investment Themes (Orig.Currency)
12.00	VUN.TO	CAD	Vanguard US Total Market Index	Equity, U.S., Large Cap (USD)
12.00	XIC.TO	CAD	iShares Core S&P/TSX Capped Composite Index	Stocks (CAD)
6.40	XEF.TO	CAD	iShares Core MSCI EAFE IMI Index	Equity, EAFE, Large Cap (Mix)
4.00	AVUV	→CAD	Avantis US Small Cap Value ETF	Equity, U.S., Small Cap, Value (USD)
3.20	XEC.TO	CAD	iShares Core MSCI Emerging Markets IMI Index	Equity, Emerging Markets, Large Cap (Mix)
2.40	AVDV	→CAD	Avantis International Small Cap Value ETF	Equity, Global ex-US, Small Cap, Value (Mix)
60.00	ZAG.TO	CAD	BMO Aggregate Bond Index	Fixed Income (CAD)
• Not denominated in CAD. Returns are hypotetical, retrieved from the original ETF, applying currency exchange rates or hedging costs when needed.

Most of Lazy Portfolios are made of common components (asset classes), very simple and well defined. For a more complete view, find out the most common ETFs you can use to build your portfolio.

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Portfolio and ETF Returns as of Aug 31, 2024

The Ben Felix Five Factor Model 40/60 Portfolio guaranteed the following returns.

Returns are calculated in CAD, assuming:

no fees or capital gain taxes.
rebalancing: at every January 1^st. How do returns change with different rebalancing strategies?
dividend reinvestment, when applicable.
for non-CAD assets, the adjustment for actual currency exchange rates.
the actual Canada Inflation rates.

BEN FELIX FIVE FACTOR MODEL 40/60 PORTFOLIO

Time Period: 1 January 1988 - 31 August 2024 (~37 years)

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			Chg (%)		Return (%)	Return (%) as of Aug 31, 2024
			1 Day	*Time ET^()**	Sep 2024	YTD (8M)	1M	6M	1Y	5Y	10Y	30Y	MAX (~37Y)
Ben Felix Five Factor Model 40/60 Portfolio			n.a.		n.a.	7.41	0.19	6.50	12.82	4.71	5.09	6.31	7.07
Canada Inflation Adjusted return						5.09	0.38	4.52	10.66	1.25	2.47	4.09	4.64
*Components*
VUN.TO	CAD	Vanguard US Total Market Index	n.a.	-	n.a.	19.79	-0.36	9.88	25.27	14.96	14.27	10.33	11.04
XIC.TO	CAD	iShares Core S&P/TSX Capped Composite Index	n.a.	-	n.a.	13.45	1.17	10.89	18.52	10.30	7.15	7.82	7.29
XEF.TO	CAD	iShares Core MSCI EAFE IMI Index	n.a.	-	n.a.	13.36	0.78	8.57	18.73	8.51	7.46	4.85	5.23
AVUV	→CAD	Avantis US Small Cap Value ETF	n.a.	-	n.a.	9.46	-6.03	7.52	19.47	17.11	11.41	11.41	12.74
XEC.TO	CAD	iShares Core MSCI Emerging Markets IMI Index	n.a.	-	n.a.	11.23	-1.50	8.31	13.81	5.09	4.47	4.62	10.58
AVDV	→CAD	Avantis International Small Cap Value ETF	n.a.	-	n.a.	14.55	-0.63	11.93	19.97	10.70	7.78	7.22	7.74
ZAG.TO	CAD	BMO Aggregate Bond Index	n.a.	-	n.a.	2.47	0.65	4.20	7.76	-0.12	1.84	4.43	5.14
• Not denominated in CAD. Returns are hypotetical, retrieved from the original asset, applying currency exchange rates or hedging costs when needed.
Returns over 1 year are annualized
(*) Eastern Time (ET - America/New York)
Canada Inflation is updated to Aug 2024. Inflation (annualized) is 1Y: 1.95% , 5Y: 3.41% , 10Y: 2.56% , 30Y: 2.14%

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Capital Growth as of Aug 31, 2024

An investment of 1$, from September 1994 to August 2024, would be worth 6.28$, with a total return of 527.63% (6.31% annualized).

The Inflation Adjusted Capital would be 3.33$, with a net total return of 232.82% (4.09% annualized).

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An investment of 1$, from January 1988 to August 2024, would be worth 12.25$, with a total return of 1124.73% (7.07% annualized).

The Inflation Adjusted Capital would be 5.27$, with a net total return of 426.83% (4.64% annualized).

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Portfolio Metrics as of Aug 31, 2024

Metrics of Ben Felix Five Factor Model 40/60 Portfolio, updated as of 31 August 2024, provide a comprehensive overview of the portfolio's performance and risk characteristics.

These metrics include detailed data on returns, volatility, drawdowns and other key performance indicators. By examining them, you can gain insights into how the portfolio has performed over various time periods and understand its risk profile.

Metrics are calculated based on monthly returns, assuming:

no fees or capital gain taxes.
rebalancing: at every January 1^st. How do returns change with different rebalancing strategies?
dividend reinvestment, when applicable.
for non-CAD assets, the adjustment for actual currency exchange rates.
the actual Canada Inflation rates.

BEN FELIX FIVE FACTOR MODEL 40/60 PORTFOLIO

Advanced Metrics

Time Period: 1 January 1988 - 31 August 2024 (~37 years)

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	Metrics as of Aug 31, 2024
	YTD (8M)	1M	3M	6M	1Y	3Y	5Y	10Y	20Y	30Y	MAX (~37Y)
Investment Return (%)	7.41	0.19	4.31	6.50	12.82	2.30	4.71	5.09	5.76	6.31	7.07
Growth of 1$	1.07	1.00	1.04	1.06	1.13	1.07	1.26	1.64	3.07	6.28	12.25
Infl. Adjusted Return (%)	5.09	0.38	4.11	4.52	10.66	-1.91	1.25	2.47	3.49	4.09	4.64
Canada Inflation (%)	2.21	-0.19	0.19	1.89	1.95	4.30	3.41	2.56	2.20	2.14	2.33
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN Inflation Adjusted: Inflation Adjusted:				Current	1Y	3Y	5Y	10Y	20Y	30Y	MAX
Deepest Drawdown Depth (%)				0.00	-3.73	-13.55	-13.55	-13.55	-15.30	-15.30	-15.30
Start to Recovery (# months)					3	27	27	27	18	18	18
Start (yyyy mm)					2023 09	2022 01	2022 01	2022 01	2008 06	2008 06	2008 06
Start to Bottom (# months)					2	6	6	6	9	9	9
Bottom (yyyy mm)					2023 10	2022 06	2022 06	2022 06	2009 02	2009 02	2009 02
Bottom to End (# months)					1	21	21	21	9	9	9
End (yyyy mm)					2023 11	2024 03	2024 03	2024 03	2009 11	2009 11	2009 11
Longest Drawdown Depth (%)					same	same	same	same	-13.55	-7.19	-7.19
Start to Recovery (# months)					same	same	same	same	27	35	35
Start (yyyy mm)					2023 09	2022 01	2022 01	2022 01	2022 01	2000 09	2000 09
Start to Bottom (# months)					2	6	6	6	6	31	31
Bottom (yyyy mm)					2023 10	2022 06	2022 06	2022 06	2022 06	2003 03	2003 03
Bottom to End (# months)					1	21	21	21	21	4	4
End (yyyy mm)					2023 11	2024 03	2024 03	2024 03	2024 03	2003 07	2003 07
Longest negative period (# months)					2	29	35	35	45	45	45
Start (yyyy mm)					2023 09	2021 09	2020 12	2020 12	2005 06	2005 06	2005 06
End (yyyy mm)					2023 10	2024 01	2023 10	2023 10	2009 02	2009 02	2009 02
Annualized Return (%)					-20.39	-0.36	-0.73	-0.73	-0.17	-0.17	-0.17
Deepest Drawdown Depth (%)				-5.63	-3.67	-18.68	-18.68	-18.68	-18.68	-18.68	-18.68
Start to Recovery (# months)				36*	3	36*	36*	36*	36*	36*	36*
Start (yyyy mm)					2023 09	2021 09	2021 09	2021 09	2021 09	2021 09	2021 09
Start to Bottom (# months)					2	10	10	10	10	10	10
Bottom (yyyy mm)					2023 10	2022 06	2022 06	2022 06	2022 06	2022 06	2022 06
Bottom to End (# months)					1	26	26	26	26	26	26
End (yyyy mm)					2023 11	-	-	-	-	-	-
Longest Drawdown Depth (%)					same	same	same	same	-18.02	-18.02	-18.02
Start to Recovery (# months)					same	same	same	same	44	44	44
Start (yyyy mm)					2023 09	2021 09	2021 09	2021 09	2007 02	2007 02	2007 02
Start to Bottom (# months)					2	10	10	10	25	25	25
Bottom (yyyy mm)					2023 10	2022 06	2022 06	2022 06	2009 02	2009 02	2009 02
Bottom to End (# months)					1	26	26	26	19	19	19
End (yyyy mm)					2023 11	-	-	-	2010 09	2010 09	2010 09
Longest negative period (# months)					4	36*	55	80	80	80	80
Start (yyyy mm)					2024 01	2021 09	2019 10	2017 03	2017 03	2017 03	2017 03
End (yyyy mm)					2024 04	2024 08	2024 04	2023 10	2023 10	2023 10	2023 10
Annualized Return (%)					-2.52	-1.91	-0.03	-0.09	-0.09	-0.09	-0.09
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS					1Y	3Y	5Y	10Y	20Y	30Y	MAX
Standard Deviation (%)					8.09	8.88	8.75	7.14	6.20	6.20	6.47
Sharpe Ratio					0.93	-0.11	0.29	0.51	0.70	0.65	0.65
Sortino Ratio					1.30	-0.16	0.41	0.71	0.93	0.87	0.88
Ulcer Index					1.48	6.70	5.39	3.98	3.66	3.33	3.34
Ratio: Return / Standard Deviation					1.59	0.26	0.54	0.71	0.93	1.02	1.09
Ratio: Return / Deepest Drawdown					3.44	0.17	0.35	0.38	0.38	0.41	0.46
Positive Months (%)					66.66	52.77	61.66	65.00	68.75	67.22	68.18
Positive Months					8	19	37	78	165	242	300
Negative Months					4	17	23	42	75	118	140
LONG TERM RETURNS Inflation Adjusted: Inflation Adjusted:					1Y	3Y	5Y	10Y	20Y	30Y	MAX
Best 10 Years Return (%) - Annualized								5.09	7.94	8.46	11.79
Worst 10 Years Return (%) - Annualized								5.09	4.46	3.69	3.69
Best 10 Years Return (%) - Annualized								2.47	6.15	6.36	9.59
Worst 10 Years Return (%) - Annualized								2.47	1.84	1.52	1.52
TIMEFRAMES Inflation Adjusted: Inflation Adjusted:		1M	3M	6M	1Y	3Y	5Y	10Y	20Y	30Y	MAX
··· As of Aug 2024 - Over the previous 30Y
Best Rolling Return (%) - Annualized					22.69	14.98	12.05	8.46	7.47	6.31
Worst Rolling Return (%) - Annualized					-12.76	-2.26	1.26	3.69	4.98	6.31
Positive Periods (%)					84.2	97.8	100.0	100.0	100.0	100.0
Best Rolling Return (%) - Annualized					20.65	13.46	10.21	6.36	5.55	4.09
Worst Rolling Return (%) - Annualized					-17.56	-4.15	-0.65	1.52	3.00	4.09
Positive Periods (%)					79.3	81.5	96.3	100.0	100.0	100.0
95% VaR - Value at Risk (%) - Cumulative		2.41	3.51	4.04	5.70	0.00	0.00	0.00	0.00
95% CVaR - Conditional Value at Risk (%)		3.16	4.80	5.86	9.54	0.51	0.00	0.00	0.00
99% VaR - Value at Risk (%) - Cumulative		3.63	5.62	7.03	10.90	4.85	0.00	0.00	0.00
99% CVaR - Conditional Value at Risk (%)		4.41	6.97	8.93	11.91	5.89	0.00	0.00	0.00
Short term VaRs: analytical \| 1+ year VaRs: historical data
Safe Withdrawal Rate (%)					87.99	29.46	19.32	10.55	6.31	6.38
Perpetual Withdrawal Rate (%)					---	---	---	1.59	2.90	4.47
% based on initial capital, inflation-adj. monthly withdrawals afterwards \| Credits: BestRetirementPortfolio.com
··· All available data (Jan 1988 - Aug 2024)
Best Rolling Return (%) - Annualized					29.01	18.29	13.08	11.79	8.39	7.59
Worst Rolling Return (%) - Annualized					-12.76	-2.26	1.26	3.69	4.98	5.79
Positive Periods (%)					84.8	98.2	100.0	100.0	100.0	100.0
Best Rolling Return (%) - Annualized					27.36	16.38	11.43	9.59	5.99	5.64
Worst Rolling Return (%) - Annualized					-17.56	-4.15	-0.65	1.52	3.00	3.65
Positive Periods (%)					79.7	85.1	97.1	100.0	100.0	100.0
95% VaR - Value at Risk (%) - Cumulative		2.48	3.55	3.99	4.95	0.00	0.00	0.00	0.00
95% CVaR - Conditional Value at Risk (%)		3.26	4.90	5.89	8.94	0.00	0.00	0.00	0.00
99% VaR - Value at Risk (%) - Cumulative		3.75	5.76	7.11	10.86	3.49	0.00	0.00	0.00
99% CVaR - Conditional Value at Risk (%)		4.56	7.16	9.09	11.57	5.55	0.00	0.00	0.00
Short term VaRs: analytical \| 1+ year VaRs: historical data
Safe Withdrawal Rate (%)					87.99	29.46	19.32	10.55	6.31	5.89
Perpetual Withdrawal Rate (%)					---	---	---	1.59	2.90	3.93
% based on initial capital, inflation-adj. monthly withdrawals afterwards \| Credits: BestRetirementPortfolio.com

Terms and Definitions

Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
Longest negative period: it's the maximum period for which an overall negative return has been observed.
Standard Deviation: it's a measure of the dispersion of returns around the mean.
Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
Value at Risk (VaR): it's an evaluation of a cumulative worst-case loss (in absolute value), associated with a probability (95%-99%) and a time horizon. For short term, it's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns. For long term is retrieved by the historical rolling return data.
Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed.
Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

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Portfolio Components Correlation

Correlation measures to what degree the returns of two assets move in relation to each other. It is a statistical measure that describes the extent to which the returns of one asset are related to the returns of another asset.

COMPONENTS MONTHLY CORRELATIONS

Monthly correlations as of 31 August 2024

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Terms and Definitions

Correlation values range between -1 and +1

A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.
A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.

Learn about historical correlations here: see how the main asset classes relate to each other.

Drawdowns

A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.

BEN FELIX FIVE FACTOR MODEL 40/60 PORTFOLIO

Drawdown periods

Drawdown periods - Inflation Adjusted

Time Period: 1 September 1994 - 31 August 2024 (30 Years)

Time Period: 1 January 1988 - 31 August 2024 (~37 years)

Inflation Adjusted:

Chart Table Range

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Rolling Returns

For a detailed rolling return analysis, click here
Ben Felix Five Factor Model 40/60 Portfolio: Rolling Returns

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

BEN FELIX FIVE FACTOR MODEL 40/60 PORTFOLIO

Annualized Rolling Returns

Annualized Rolling Returns - Inflation Adjusted

Time Period: 1 September 1994 - 31 August 2024 (30 Years)

Time Period: 1 January 1988 - 31 August 2024 (~37 years)

Inflation Adjusted:

Return Chart Capital Chart Table

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The values shown for the rolling periods represent key statistical points: the minimum, maximum, median, and the 15th and 85th percentiles. These percentiles give insight into the distribution of the data, indicating the range within which the central 70% of the values lie, while the median represents the middle value.

Seasonality

In which months is it better to invest in Ben Felix Five Factor Model 40/60 Portfolio?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past. They are retrieved considering the time period from January 1988 to August 2024.

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For further information about the seasonality, check the Asset Class Seasonality page.

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Ben Felix Five Factor Model 40/60 Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

BEN FELIX FIVE FACTOR MODEL 40/60 PORTFOLIO

Monthly Returns Distribution

Time Period: 1 September 1994 - 31 August 2024 (30 Years)

Time Period: 1 January 1988 - 31 August 2024 (~37 years)

242 Positive Months (67%) - 118 Negative Months (33%)

300 Positive Months (68%) - 140 Negative Months (32%)

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Methodology

Returns, up to September 2019, have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can find additional information on extended Data Sources here.

For non-CAD assets, returns are calculated based on the performance of the original asset, adjusted for actual currency exchange rates.

In particular, the series derived from equivalent datasets are:

Vanguard US Total Market Index (VUN.TO), up to September 2013
iShares Core S&P/TSX Capped Composite Index (XIC.TO), up to March 2001
iShares Core MSCI EAFE IMI Index (XEF.TO), up to May 2013
Avantis US Small Cap Value ETF (AVUV) to CAD, up to September 2019
iShares Core MSCI Emerging Markets IMI Index (XEC.TO), up to May 2013
Avantis International Small Cap Value ETF (AVDV) to CAD, up to September 2019
BMO Aggregate Bond Index (ZAG.TO), up to February 2010

Portfolio efficiency

The following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.

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In the following table, you can compare the current portfolio with a list of famous portfolios. Metrics are calculated over the last 30 Years.

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Table of contents

About the Author: Ben Felix

Portfolio Overview

Asset Allocation and ETFs

Portfolio and ETF Returns as of Aug 31, 2024

Capital Growth as of Aug 31, 2024

Portfolio Metrics as of Aug 31, 2024

Portfolio Components Correlation

Drawdowns

Rolling Returns

Seasonality

Monthly Returns

Portfolio efficiency