Consolidated Returns as of 31 October 2024
Managing the Ben Felix Five Factor Model 40/60 Portfolio with a yearly rebalancing, you would have obtained a 7.24% compound annual return in the last 30 Years.
With a quarterly rebalancing, over the same period, the return would have been 6.41%.
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.
At fixed time intervals:
- Yearly: Jan 1st
- Half Yearly: Jan 1st, Jul 1st
- Quarterly: Jan 1st, Apr 1st, Jul 1st, Oct 1st
Portfolio Returns as of Oct 31, 2024
Implementing different rebalancing strategies, the Ben Felix Five Factor Model 40/60 Portfolio guaranteed the following returns.
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)
| Return (%) and number of rebalances as of Oct 31, 2024 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y | 10Y | 30Y |
MAX (~37Y) |
|||||
| No Rebalancing | 27.15 | (0) | 9.31 | (0) | 8.08 | (0) | 7.24 | (0) | 7.95 | (0) |
| Yearly Rebalancing | 19.26 | (1) | 4.95 | (5) | 5.33 | (10) | 6.42 | (30) | 7.09 | (37) |
| Half Yearly Rebalancing | 19.15 | (2) | 5.00 | (10) | 5.38 | (20) | 6.41 | (60) | 7.05 | (74) |
| Quarterly Rebalancing | 19.07 | (4) | 5.08 | (20) | 5.41 | (40) | 6.43 | (120) | 7.06 | (148) |
| 5% Tolerance per asset | 19.49 | (1) | 5.02 | (2) | 5.39 | (4) | 6.50 | (14) | 7.18 | (16) |
| 10% Tolerance per asset | 19.47 | (0) | 5.25 | (1) | 5.56 | (2) | 6.45 | (3) | 7.25 | (4) |
In order to have complete information about the portfolio, please refer to the Ben Felix Five Factor Model 40/60 Portfolio: ETF allocation and returns page.
Performances as of Oct 31, 2024
Historical returns and stats of Ben Felix Five Factor Model 40/60 Portfolio, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
| No Rebalancing | 7.95 | (0) | 8.35 | 0.95 | -23.13 | 0.34 |
| Yearly Rebalancing | 7.09 | (37) | 6.46 | 1.10 | -15.30 | 0.46 |
| Half Yearly Rebalancing | 7.05 | (74) | 6.44 | 1.10 | -15.38 | 0.46 |
| Quarterly Rebalancing | 7.06 | (148) | 6.46 | 1.09 | -15.91 | 0.44 |
| 5% Tolerance per asset | 7.18 | (16) | 6.53 | 1.10 | -15.72 | 0.46 |
| 10% Tolerance per asset | 7.25 | (4) | 6.83 | 1.06 | -17.24 | 0.42 |
Drawdowns as of Oct 31, 2024
Historical Drawdowns of Ben Felix Five Factor Model 40/60 Portfolio, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
||||
|---|---|---|---|---|---|
| No Rebalancing | Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-23.13
Apr 2007 - Sep 2010
|
-15.30
Jun 2008 - Nov 2009
|
-15.38
Jun 2008 - Nov 2009
|
-15.91
Jun 2008 - Nov 2009
|
-15.72
Jun 2008 - Sep 2009
|
-17.24
Jun 2008 - Apr 2010
|
|
-15.02
Jan 2022 - Dec 2023
|
-13.55
Jan 2022 - Mar 2024
|
-13.55
Jan 2022 - Mar 2024
|
-13.47
Jan 2022 - Mar 2024
|
-13.56
Jan 2022 - Feb 2024
|
-13.95
Jan 2022 - Feb 2024
|
|
-14.54
Feb 2020 - Jul 2020
|
-9.73
Feb 1994 - Jul 1995
|
-9.73
Feb 1994 - Jul 1995
|
-9.78
Feb 1994 - Jul 1995
|
-9.90
Feb 1994 - Aug 1995
|
-9.85
Feb 1994 - Jul 1995
|
|
-13.68
Sep 2000 - Dec 2003
|
-9.52
Feb 2020 - Jul 2020
|
-9.52
Feb 2020 - Jul 2020
|
-9.52
Feb 2020 - Jun 2020
|
-9.53
Feb 2020 - Jul 2020
|
-9.80
Feb 2020 - Jul 2020
|
|
-10.68
Feb 1994 - Sep 1995
|
-7.83
May 1998 - Nov 1998
|
-7.93
Aug 1990 - Feb 1991
|
-7.93
Aug 1990 - Feb 1991
|
-9.00
Aug 1990 - Feb 1991
|
-9.00
Aug 1990 - Feb 1991
|
| 5 Worst Drawdowns - Average | |||||
| -15.41 | -11.18 | -11.22 | -11.32 | -11.54 | -11.97 |
| 10 Worst Drawdowns - Average | |||||
| -11.84 | -8.60 | -8.55 | -8.58 | -8.70 | -9.29 |
For a deeper insight, please refer to the Ben Felix Five Factor Model 40/60 Portfolio: ETF allocation and returns page.
