Ben Felix Five Factor Model 100/0 Portfolio: ETF allocation and returns

Period: January 1985 - September 2024 (~40 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: CAD
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1.00$
Initial Capital
October 1994
12.42$
Final Capital
September 2024
8.76%
Yearly Return
12.64
Std Deviation
-42.33%
Max Drawdown
68 months
Recovery Period
1.00$
Initial Capital
January 1985
45.98$
Final Capital
September 2024
10.11%
Yearly Return
12.97
Std Deviation
-42.33%
Max Drawdown
68 months
Recovery Period

The Ben Felix Five Factor Model 100/0 Portfolio can be implemented with 6 ETFs. This portfolio has a very high risk, meaning it can experience significant fluctuations in value. It is suitable for investors with a high risk tolerance who are seeking substantial returns and can withstand large drawdowns.

The asset allocation is the following: 100% on the Stock Market, 0% 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 0% allocation to bonds, leading to its classification as very high risk.

As of September 2024, in the previous 30 Years, the Ben Felix Five Factor Model 100/0 Portfolio obtained a 8.76% compound annual return, with a 12.64% standard deviation. It suffered a maximum drawdown of -42.33% that required 68 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

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 100/0 Portfolio has the following asset allocation:

100% Stocks
0% Fixed Income
0% Commodities

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The Ben Felix Five Factor Model 100/0 Portfolio can be implemented with the following ETFs:

Weight
(%)
ETF
Ticker
ETF
Currency
ETF Name Investment Themes (Orig.Currency)
30.00
VUN.TO
CAD Vanguard US Total Market Index Equity, U.S., Large Cap (USD)
30.00
XIC.TO
CAD iShares Core S&P/TSX Capped Composite Index Stocks (CAD)
16.00
XEF.TO
CAD iShares Core MSCI EAFE IMI Index Equity, EAFE, Large Cap (Mix)
10.00
AVUV
→CAD Avantis US Small Cap Value ETF Equity, U.S., Small Cap, Value (USD)
8.00
XEC.TO
CAD iShares Core MSCI Emerging Markets IMI Index Equity, Emerging Markets, Large Cap (Mix)
6.00
AVDV
→CAD Avantis International Small Cap Value ETF Equity, Global ex-US, Small Cap, Value (Mix)
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 Sep 30, 2024

The Ben Felix Five Factor Model 100/0 Portfolio guaranteed the following returns.

Returns are calculated in CAD, assuming:
BEN FELIX FIVE FACTOR MODEL 100/0 PORTFOLIO
Time Period: 1 January 1985 - 30 September 2024 (~40 years)
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Sep 30, 2024
  1 Day Time ET(*) Oct 2024 YTD
(9M)
1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
Ben Felix Five Factor Model 100/0 Portfolio n.a. n.a. 17.69 2.50 8.54 27.80 12.02 10.33 8.76 10.11
Canada Inflation Adjusted return 15.15 2.50 7.20 25.20 8.22 7.59 6.49 7.46
Components
VUN.TO
CAD Vanguard US Total Market Index n.a. - n.a. 22.65 2.39 9.29 34.14 15.32 14.46 10.55 11.37
XIC.TO
CAD iShares Core S&P/TSX Capped Composite Index n.a. - n.a. 17.01 3.14 9.78 26.50 10.79 8.00 7.92 7.32
XEF.TO
CAD iShares Core MSCI EAFE IMI Index n.a. - n.a. 14.68 1.16 6.46 23.89 8.22 7.70 5.06 8.02
AVUV
→CAD Avantis US Small Cap Value ETF n.a. - n.a. 10.11 0.59 2.88 23.96 16.10 11.97 11.51 12.83
XEC.TO
CAD iShares Core MSCI Emerging Markets IMI Index n.a. - n.a. 17.51 5.65 12.09 23.19 6.01 5.51 5.03 9.06
AVDV
→CAD Avantis International Small Cap Value ETF n.a. - n.a. 17.24 2.35 8.83 24.96 10.64 8.40 7.36 10.17
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. Pending updates, the monthly inflation is set at 0% for the subsequent periods. Inflation (annualized) is 1Y: 2.08% , 5Y: 3.50% , 10Y: 2.55% , 30Y: 2.13%
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Capital Growth as of Sep 30, 2024

An investment of 1$, from October 1994 to September 2024, would be worth 12.42$, with a total return of 1141.78% (8.76% annualized).

The Inflation Adjusted Capital would be 6.59$, with a net total return of 559.26% (6.49% annualized).

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An investment of 1$, from January 1985 to September 2024, would be worth 45.98$, with a total return of 4498.46% (10.11% annualized).

The Inflation Adjusted Capital would be 17.45$, with a net total return of 1645.03% (7.46% annualized).

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Portfolio Metrics as of Sep 30, 2024

Metrics of Ben Felix Five Factor Model 100/0 Portfolio, updated as of 30 September 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:
BEN FELIX FIVE FACTOR MODEL 100/0 PORTFOLIO
Advanced Metrics
Time Period: 1 January 1985 - 30 September 2024 (~40 years)
Swipe left to see all data
Metrics as of Sep 30, 2024
YTD
(9M)
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~40Y)
Investment Return (%)
17.69 2.50 6.98 8.54 27.80 9.60 12.02 10.33 9.06 8.76 10.11
Growth of 1$ 1.18 1.02 1.07 1.09 1.28 1.32 1.76 2.67 5.66 12.42 45.98
Infl. Adjusted Return (%)
15.15 2.50 6.71 7.20 25.20 5.16 8.22 7.59 6.72 6.49 7.46
Canada Inflation (%) 2.21 0.00 0.25 1.25 2.08 4.23 3.50 2.55 2.19 2.13 2.47
Pending updates, the monthly inflation of Sep 2024 and beyond is set at 0%. 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 -1.99 -15.56 -20.43 -20.43 -42.33 -42.33 -42.33
Start to Recovery (# months)
2 19 10 10 68 68 68
Start (yyyy mm) 2024 04 2022 01 2020 02 2020 02 2007 06 2007 06 2007 06
Start to Bottom (# months) 1 9 2 2 21 21 21
Bottom (yyyy mm) 2024 04 2022 09 2020 03 2020 03 2009 02 2009 02 2009 02
Bottom to End (# months) 1 10 8 8 47 47 47
End (yyyy mm) 2024 05 2023 07 2020 11 2020 11 2013 01 2013 01 2013 01
Longest Drawdown Depth (%) -1.83
same
-15.56 -15.56
same

same

same
Start to Recovery (# months)
2 19 19
Start (yyyy mm) 2023 10 2022 01 2022 01 2022 01 2007 06 2007 06 2007 06
Start to Bottom (# months) 1 9 9 9 21 21 21
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 1 10 10 10 47 47 47
End (yyyy mm) 2023 11 2023 07 2023 07 2023 07 2013 01 2013 01 2013 01
Longest negative period (# months)
1 24 26 37 71 116 116
Start (yyyy mm) 2023 10 2021 11 2021 09 2017 03 2007 01 1999 07 1999 07
End (yyyy mm) 2023 10 2023 10 2023 10 2020 03 2012 11 2009 02 2009 02
Annualized Return (%) -19.91 -1.07 -0.83 -0.55 -0.03 -0.04 -0.04
Deepest Drawdown Depth (%) 0.00 -2.48 -20.37 -20.37 -20.37 -43.65 -43.65 -43.65
Start to Recovery (# months)
2 26 26 26 78 78 78
Start (yyyy mm) 2024 04 2022 01 2022 01 2022 01 2007 02 2007 02 2007 02
Start to Bottom (# months) 1 9 9 9 25 25 25
Bottom (yyyy mm) 2024 04 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 1 17 17 17 53 53 53
End (yyyy mm) 2024 05 2024 02 2024 02 2024 02 2013 07 2013 07 2013 07
Longest Drawdown Depth (%) -1.89
same

same

same

same

same

same
Start to Recovery (# months)
2
Start (yyyy mm) 2023 10 2022 01 2022 01 2022 01 2007 02 2007 02 2007 02
Start to Bottom (# months) 1 9 9 9 25 25 25
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 1 17 17 17 53 53 53
End (yyyy mm) 2023 11 2024 02 2024 02 2024 02 2013 07 2013 07 2013 07
Longest negative period (# months)
1 27 32 40 81 148 148
Start (yyyy mm) 2023 10 2021 11 2021 03 2016 12 2006 04 2000 04 2000 04
End (yyyy mm) 2023 10 2024 01 2023 10 2020 03 2012 12 2012 07 2012 07
Annualized Return (%) -20.51 -0.41 -1.20 -0.86 -0.10 -0.01 -0.01
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 9.05 13.03 14.77 12.62 12.30 12.64 12.97
Sharpe Ratio 2.48 0.47 0.67 0.70 0.62 0.51 0.54
Sortino Ratio 3.38 0.66 0.88 0.93 0.81 0.67 0.70
Ulcer Index 0.76 5.54 5.54 4.62 9.93 11.45 10.71
Ratio: Return / Standard Deviation 3.07 0.74 0.81 0.82 0.74 0.69 0.78
Ratio: Return / Deepest Drawdown 13.95 0.62 0.59 0.51 0.21 0.21 0.24
Positive Months (%)
75.00 52.77 63.33 64.16 66.66 64.16 65.40
Positive Months 9 19 38 77 160 231 312
Negative Months 3 17 22 43 80 129 165
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 10.33 13.32 13.32 17.26
Worst 10 Years Return (%) - Annualized 5.59 0.81 0.81
Best 10 Years Return (%) - Annualized 7.59 11.44 11.44 14.96
Worst 10 Years Return (%) - Annualized 3.88 -1.17 -1.17
TIMEFRAMES
Inflation Adjusted:
Inflation Adjusted:
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
··· As of Sep 2024 - Over the previous 30Y
Best Rolling Return (%) - Annualized 48.66 22.48 18.34 13.32 9.30 8.76
Worst Rolling Return (%) - Annualized -33.82 -12.13 -3.13 0.81 4.70
Positive Periods (%) 75.3 84.9 92.6 100.0 100.0 100.0
Best Rolling Return (%) - Annualized 45.46 20.37 16.49 11.44 7.09 6.49
Worst Rolling Return (%) - Annualized -34.75 -14.56 -4.95 -1.17 2.81
Positive Periods (%) 73.0 83.0 81.7 95.0 100.0 100.0
95% VaR - Value at Risk (%) - Cumulative
5.23 8.08 10.08 17.06 20.26 4.57 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 6.75 10.71 13.79 24.69 24.85 8.12 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
7.72 12.39 16.17 30.00 28.59 10.72 0.00 0.00
99% CVaR - Conditional Value at Risk (%) 9.30 15.13 20.04 32.08 31.18 13.59 0.00 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 77.31 24.97 15.50 8.52 5.28 7.40
Perpetual Withdrawal Rate (%) --- --- --- --- 2.31 6.28
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
··· All available data (Jan 1985 - Sep 2024)
Best Rolling Return (%) - Annualized 48.66 23.46 19.00 17.26 11.42 10.07
Worst Rolling Return (%) - Annualized -33.82 -12.13 -3.13 0.81 4.70 8.00
Positive Periods (%) 76.8 88.4 94.7 100.0 100.0 100.0
Best Rolling Return (%) - Annualized 45.46 21.16 17.29 14.96 8.45 7.75
Worst Rolling Return (%) - Annualized -34.75 -14.56 -4.95 -1.17 2.81 5.81
Positive Periods (%) 74.0 85.7 86.3 96.6 100.0 100.0
95% VaR - Value at Risk (%) - Cumulative
5.28 8.04 9.83 14.52 15.63 1.45 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 6.84 10.73 13.63 22.45 22.84 6.70 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
7.83 12.46 16.08 27.58 28.18 9.45 0.00 0.00
99% CVaR - Conditional Value at Risk (%) 9.46 15.27 20.06 31.01 30.33 12.64 0.00 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 77.31 24.97 15.50 8.52 5.28 6.21
Perpetual Withdrawal Rate (%) --- --- --- --- 2.31 5.10
% 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 30 September 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 100/0 PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Time Period: 1 October 1994 - 30 September 2024 (30 Years)
Time Period: 1 January 1985 - 30 September 2024 (~40 years)
Inflation Adjusted:

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Rolling Returns

For a detailed rolling return analysis, click here
Ben Felix Five Factor Model 100/0 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 100/0 PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Time Period: 1 October 1994 - 30 September 2024 (30 Years)
Time Period: 1 January 1985 - 30 September 2024 (~40 years)
Inflation Adjusted:

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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 100/0 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 1985 to September 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 100/0 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 100/0 PORTFOLIO
Monthly Returns Distribution
Time Period: 1 October 1994 - 30 September 2024 (30 Years)
Time Period: 1 January 1985 - 30 September 2024 (~40 years)
231 Positive Months (64%) - 129 Negative Months (36%)
312 Positive Months (65%) - 165 Negative Months (35%)

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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

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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The first official book of
Build wealth
with Lazy Portfolios and Passive Investing