Ben Felix Five Factor Model 40/60 Portfolio: Rebalancing Strategy

Data Source: from January 1988 to September 2024
Consolidated Returns as of 30 September 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 40/60 Portfolio with a yearly rebalancing, you would have obtained a 7.23% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 6.42%.

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 Sep 30, 2024

Implementing different rebalancing strategies, the Ben Felix Five Factor Model 40/60 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 40/60 PORTFOLIO RETURNS
Period: January 1988 - September 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of Sep 30, 2024
Rebalancing Strategy 1Y 5Y 10Y 30Y MAX
(~37Y)
No Rebalancing 24.62 (0) 9.37 (0) 8.17 (0) 7.23 (0) 7.94 (0)
Yearly Rebalancing 18.89 (1) 5.10 (5) 5.45 (10) 6.43 (30) 7.11 (37)
Half Yearly Rebalancing 18.85 (2) 5.17 (10) 5.50 (20) 6.42 (60) 7.08 (74)
Quarterly Rebalancing 18.81 (4) 5.24 (20) 5.52 (40) 6.44 (120) 7.09 (147)
5% Tolerance per asset 19.10 (1) 5.17 (2) 5.50 (4) 6.51 (14) 7.20 (16)
10% Tolerance per asset 19.09 (0) 5.40 (1) 5.66 (2) 6.46 (3) 7.28 (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 Sep 30, 2024

Historical returns and stats of Ben Felix Five Factor Model 40/60 Portfolio, after implementing different rebalancing strategies.

BEN FELIX FIVE FACTOR MODEL 40/60 PORTFOLIO PERFORMANCES
Period: January 1988 - September 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
No Rebalancing 7.94 (0) 8.36 0.95 -23.13 0.34
Yearly Rebalancing 7.11 (37) 6.46 1.10 -15.30 0.47
Half Yearly Rebalancing 7.08 (74) 6.44 1.10 -15.38 0.46
Quarterly Rebalancing 7.09 (147) 6.47 1.10 -15.91 0.45
5% Tolerance per asset 7.20 (16) 6.54 1.10 -15.72 0.46
10% Tolerance per asset 7.28 (4) 6.83 1.07 -17.24 0.42
(*) Since Jan 1988 (~37 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Sep 30, 2024

Historical Drawdowns of Ben Felix Five Factor Model 40/60 Portfolio, after implementing different rebalancing strategies.

BEN FELIX FIVE FACTOR MODEL 40/60 PORTFOLIO DRAWDOWNS
Period: January 1988 - September 2024
Swipe left to see all data
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.