Ben Felix Five Factor Model 80/20 Portfolio: Rebalancing Strategy

Data Source: from January 1988 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 80/20 Portfolio with a yearly rebalancing, you would have obtained a 8.39% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 8.06%.

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 80/20 Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on January 1988.

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 80/20 PORTFOLIO RETURNS
Period: January 1988 - 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
(~37Y)
No Rebalancing 31.44 (0) 12.28 (0) 10.32 (0) 8.39 (0) 9.38 (0)
Yearly Rebalancing 27.03 (1) 9.52 (5) 8.64 (10) 8.04 (30) 8.76 (37)
Half Yearly Rebalancing 26.99 (2) 9.59 (10) 8.68 (20) 8.06 (60) 8.72 (74)
Quarterly Rebalancing 26.91 (4) 9.67 (20) 8.70 (40) 8.03 (120) 8.68 (148)
5% Tolerance per asset 27.68 (0) 9.87 (2) 8.79 (3) 8.06 (10) 8.79 (12)
10% Tolerance per asset 27.22 (0) 10.49 (1) 9.04 (1) 8.02 (2) 8.83 (3)

In order to have complete information about the portfolio, please refer to the Ben Felix Five Factor Model 80/20 Portfolio: ETF allocation and returns page.

Performances as of Oct 31, 2024

Historical returns and stats of Ben Felix Five Factor Model 80/20 Portfolio, after implementing different rebalancing strategies.

BEN FELIX FIVE FACTOR MODEL 80/20 PORTFOLIO PERFORMANCES
Period: January 1988 - 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 9.38 (0) 12.03 0.78 -38.38 0.24
Yearly Rebalancing 8.76 (37) 10.28 0.85 -33.91 0.26
Half Yearly Rebalancing 8.72 (74) 10.25 0.85 -33.73 0.26
Quarterly Rebalancing 8.68 (148) 10.28 0.84 -34.19 0.25
5% Tolerance per asset 8.79 (12) 10.40 0.85 -33.79 0.26
10% Tolerance per asset 8.83 (3) 10.74 0.82 -35.48 0.25
(*) Since Jan 1988 (~37 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Oct 31, 2024

Historical Drawdowns of Ben Felix Five Factor Model 80/20 Portfolio, after implementing different rebalancing strategies.

BEN FELIX FIVE FACTOR MODEL 80/20 PORTFOLIO DRAWDOWNS
Period: January 1988 - October 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
No Rebalancing Yearly Half Yearly Quarterly 5% 10%
-38.38
Jun 2007 - Dec 2012
-33.91
Jun 2007 - Feb 2011
-33.73
Jun 2007 - Feb 2011
-34.19
Jun 2007 - Feb 2011
-33.79
Jun 2007 - Feb 2011
-35.48
Jun 2007 - Dec 2012
-28.86
Sep 2000 - Dec 2004
-27.26
Sep 2000 - Dec 2004
-26.52
Sep 2000 - Dec 2004
-26.32
Sep 2000 - Dec 2004
-27.77
Sep 2000 - Dec 2004
-28.40
Sep 2000 - Jan 2005
-19.81
Jan 2020 - Aug 2020
-16.76
Feb 2020 - Aug 2020
-16.76
Feb 2020 - Aug 2020
-16.76
Feb 2020 - Aug 2020
-17.16
Feb 2020 - Aug 2020
-18.67
Feb 2020 - Aug 2020
-17.01
Jan 1990 - Apr 1991
-16.36
Jan 1990 - May 1991
-16.50
Jan 1990 - May 1991
-16.45
Jan 1990 - May 1991
-16.36
Jan 1990 - May 1991
-17.01
Jan 1990 - Apr 1991
-16.13
May 1998 - Jan 1999
-14.87
Jan 2022 - Nov 2023
-14.84
Jan 2022 - Nov 2023
-14.78
Jan 2022 - Jul 2023
-14.87
Jan 2022 - Jul 2023
-15.07
Jan 2022 - Jul 2023
5 Worst Drawdowns - Average
-24.04 -21.83 -21.67 -21.70 -21.99 -22.92
10 Worst Drawdowns - Average
-17.34 -15.79 -15.69 -15.71 -16.00 -16.02

For a deeper insight, please refer to the Ben Felix Five Factor Model 80/20 Portfolio: ETF allocation and returns page.