Ben Felix Five Factor Model 70/30 Portfolio vs David Swensen Yale Endowment Portfolio Portfolio Comparison

Simulation Settings

Period: January 1988 - September 2025 (~38 years)
Consolidated Returns as of 30 September 2025

Initial Amount: 1$

Rebalancing: at every Jan 1^st

Currency: CAD

Inflation: Canada

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Results

30 Years
(1995/10 - 2025/09)

All Data
(1988/01 - 2025/09)

Inflation Adjusted:

Ben Felix Five Factor Model 70/30 Portfolio

1.00$
Invested Capital
October 1995
9.81$
Final Capital
September 2025
7.91%
Yearly Return
9.26%
Std Deviation
-29.45%
Max Drawdown
43months
Recovery Period

1.00$
Invested Capital
October 1995
5.22$
Final Capital
September 2025
5.67%
Yearly Return
9.26%
Std Deviation
-31.50%
Max Drawdown
72months
Recovery Period

1.00$
Invested Capital
January 1988
22.50$
Final Capital
September 2025
8.60%
Yearly Return
9.21%
Std Deviation
-29.45%
Max Drawdown
43months
Recovery Period

1.00$
Invested Capital
January 1988
9.50$
Final Capital
September 2025
6.15%
Yearly Return
9.21%
Std Deviation
-31.50%
Max Drawdown
72months
Recovery Period

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

David Swensen Yale Endowment Portfolio

1.00$
Invested Capital
October 1995
10.50$
Final Capital
September 2025
8.15%
Yearly Return
10.87%
Std Deviation
-40.68%
Max Drawdown
38months
Recovery Period

1.00$
Invested Capital
October 1995
4.97$
Final Capital
September 2025
5.49%
Yearly Return
10.87%
Std Deviation
-41.66%
Max Drawdown
42months
Recovery Period

1.00$
Invested Capital
January 1988
25.44$
Final Capital
September 2025
8.95%
Yearly Return
10.49%
Std Deviation
-40.68%
Max Drawdown
38months
Recovery Period

1.00$
Invested Capital
January 1988
9.09$
Final Capital
September 2025
6.02%
Yearly Return
10.49%
Std Deviation
-41.66%
Max Drawdown
42months
Recovery Period

As of September 2025, in the previous 30 Years, the Ben Felix Five Factor Model 70/30 Portfolio obtained a 7.91% compound annual return, with a 9.26% standard deviation. It suffered a maximum drawdown of -29.45% that required 43 months to be recovered.

As of September 2025, in the previous 30 Years, the David Swensen Yale Endowment Portfolio obtained a 8.15% compound annual return, with a 10.87% standard deviation. It suffered a maximum drawdown of -40.68% that required 38 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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Asset Allocations and ETFs

The compared portfolios have the following asset allocations.

Ben Felix Five Factor Model 70/30 Portfolio

Weight (%)	Ticker	Name
21.00	VUN.TO	Vanguard US Total Market Index
21.00	XIC.TO	iShares Core S&P/TSX Capped Composite Index
11.20	XEF.TO	iShares Core MSCI EAFE IMI Index
7.00	AVUV	Avantis US Small Cap Value ETF
5.60	XEC.TO	iShares Core MSCI Emerging Markets IMI Index
4.20	AVDV	Avantis International Small Cap Value ETF
30.00	ZAG.TO	BMO Aggregate Bond Index
• Not denominated in CAD.

David Swensen Yale Endowment Portfolio

Weight (%)	Ticker	Name
30.00	VTI	Vanguard Total Stock Market
20.00	VNQ	Vanguard Real Estate
15.00	VEA	Vanguard FTSE Developed Markets
5.00	EEM	iShares MSCI Emerging Markets
15.00	IEI	iShares 3-7 Year Treasury Bond
15.00	TIP	iShares TIPS Bond

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Portfolio Returns as of Sep 30, 2025

Returns are calculated in CAD, assuming:

no fees or capital gain taxes.
rebalancing: at every Jan 1^st.
dividend reinvestment, when applicable.

Return Comparison

Capital Growth

30 Years
(1995/10 - 2025/09)

All Data
(1988/01 - 2025/09)

Inflation Adjusted:

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	Initial Amount $	Final Amount $	Total Return (%)	Annualized (%)
Five Factor Model 70/30 Ben Felix	1 $	9.81 $	880.53%	7.91%
Yale Endowment David Swensen	1 $	10.50 $	950.06%	8.15%
	Oct 1995	Sep 2025

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	Initial Amount $	Final Amount $	Total Return (%)	Annualized (%)
Five Factor Model 70/30 Ben Felix	1 $	5.22 $	422.39%	5.67%
Yale Endowment David Swensen	1 $	4.97 $	397.03%	5.49%
	Oct 1995	Sep 2025

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	Initial Amount $	Final Amount $	Total Return (%)	Annualized (%)
Five Factor Model 70/30 Ben Felix	1 $	22.50 $	2 149.62%	8.60%
Yale Endowment David Swensen	1 $	25.44 $	2 444.03%	8.95%
	Jan 1988	Sep 2025

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	Initial Amount $	Final Amount $	Total Return (%)	Annualized (%)
Five Factor Model 70/30 Ben Felix	1 $	9.50 $	850.08%	6.15%
Yale Endowment David Swensen	1 $	9.09 $	809.24%	6.02%
	Jan 1988	Sep 2025

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		Return (%) as of Sep 30, 2025
		YTD (9M)	1M	6M	1Y	5Y	10Y	30Y	MAX (~38Y)
	Five Factor Model 70/30 Ben Felix	13.28	3.90	12.79	16.82	10.91	9.03	7.91	8.60
	Yale Endowment David Swensen	12.90	1.93	11.35	9.50	8.48	8.13	8.15	8.95
Returns over 1 year are annualized.

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Portfolio Metrics as of Sep 30, 2025

The following metrics, updated as of 30 September 2025, provide an overview of performance and risk, with the best value in each row highlighted within the table.

METRIC COMPARISON

Period: 1 October 2024 - 30 September 2025 (1 year)

Period: 1 October 2020 - 30 September 2025 (5 years)

Period: 1 October 2015 - 30 September 2025 (10 years)

Period: 1 October 1995 - 30 September 2025 (30 years)

Period: 1 January 1988 - 30 September 2025 (~38 years)

1 Year

5 Years

10 Years

30 Years

All (1988/01 - 2025/09)

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	Five Factor Model 70/30	Yale Endowment
Author	Ben Felix	David Swensen
ASSET ALLOCATION
Stocks	70%	70%
Fixed Income	30%	30%
Commodities	0%	0%
PERFORMANCES
Annualized Return (%)	16.82	9.50
Infl. Adjusted (%)	14.19	6.53
DRAWDOWN
Deepest Drawdown Depth (%)	-4.42	-3.63
Start to Recovery (months)	5	6
Longest Drawdown Depth (%)	-4.42	-3.63
Start to Recovery (months)	5	6
Longest Negative Period (months)	5	7
RISK INDICATORS
Standard Deviation (%)	7.93	7.68
Sharpe Ratio	1.57	0.67
Sortino Ratio	2.12	0.84
Ulcer Index	1.48	1.54
Ratio: Return / Standard Deviation	2.12	1.24
Ratio: Return / Deepest Drawdown	3.81	2.62
Metrics calculated over the period 1 October 2024 - 30 September 2025

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	Five Factor Model 70/30	Yale Endowment
Author	Ben Felix	David Swensen
ASSET ALLOCATION
Stocks	70%	70%
Fixed Income	30%	30%
Commodities	0%	0%
PERFORMANCES
Annualized Return (%)	10.91	8.48
Infl. Adjusted (%)	6.87	3.84
DRAWDOWN
Deepest Drawdown Depth (%)	-14.52	-22.63
Start to Recovery (months)	24	31
Longest Drawdown Depth (%)	-14.52	-22.63
Start to Recovery (months)	24	31
Longest Negative Period (months)	29	34
RISK INDICATORS
Standard Deviation (%)	9.82	12.17
Sharpe Ratio	0.82	0.46
Sortino Ratio	1.13	0.61
Ulcer Index	4.65	8.65
Ratio: Return / Standard Deviation	1.11	0.70
Ratio: Return / Deepest Drawdown	0.75	0.37
Metrics calculated over the period 1 October 2020 - 30 September 2025

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	Five Factor Model 70/30	Yale Endowment
Author	Ben Felix	David Swensen
ASSET ALLOCATION
Stocks	70%	70%
Fixed Income	30%	30%
Commodities	0%	0%
PERFORMANCES
Annualized Return (%)	9.03	8.13
Infl. Adjusted (%)	6.23	4.84
DRAWDOWN
Deepest Drawdown Depth (%)	-14.94	-22.63
Start to Recovery (months)	7	31
Longest Drawdown Depth (%)	-14.52	-22.63
Start to Recovery (months)	24	31
Longest Negative Period (months)	35	34
RISK INDICATORS
Standard Deviation (%)	9.65	11.02
Sharpe Ratio	0.74	0.56
Sortino Ratio	0.99	0.74
Ulcer Index	3.94	6.54
Ratio: Return / Standard Deviation	0.94	0.74
Ratio: Return / Deepest Drawdown	0.60	0.36
Metrics calculated over the period 1 October 2015 - 30 September 2025

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	Five Factor Model 70/30	Yale Endowment
Author	Ben Felix	David Swensen
ASSET ALLOCATION
Stocks	70%	70%
Fixed Income	30%	30%
Commodities	0%	0%
PERFORMANCES
Annualized Return (%)	7.91	8.15
Infl. Adjusted (%)	5.67	5.49
DRAWDOWN
Deepest Drawdown Depth (%)	-29.45	-40.68
Start to Recovery (months)	43	38
Longest Drawdown Depth (%)	-29.45	-40.68
Start to Recovery (months)	43	38
Longest Negative Period (months)	102	62
RISK INDICATORS
Standard Deviation (%)	9.26	10.87
Sharpe Ratio	0.61	0.54
Sortino Ratio	0.80	0.70
Ulcer Index	6.83	7.44
Ratio: Return / Standard Deviation	0.85	0.75
Ratio: Return / Deepest Drawdown	0.27	0.20
Metrics calculated over the period 1 October 1995 - 30 September 2025

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	Five Factor Model 70/30	Yale Endowment
Author	Ben Felix	David Swensen
ASSET ALLOCATION
Stocks	70%	70%
Fixed Income	30%	30%
Commodities	0%	0%
PERFORMANCES
Annualized Return (%)	8.60	8.95
Infl. Adjusted (%)	6.15	6.02
DRAWDOWN
Deepest Drawdown Depth (%)	-29.45	-40.68
Start to Recovery (months)	43	38
Longest Drawdown Depth (%)	-29.45	-40.68
Start to Recovery (months)	43	38
Longest Negative Period (months)	102	62
RISK INDICATORS
Standard Deviation (%)	9.21	10.49
Sharpe Ratio	0.62	0.58
Sortino Ratio	0.82	0.75
Ulcer Index	6.31	6.81
Ratio: Return / Standard Deviation	0.93	0.85
Ratio: Return / Deepest Drawdown	0.29	0.22
Metrics calculated over the period 1 January 1988 - 30 September 2025

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.

DRAWDOWN COMPARISON

Period: 1 October 1995 - 30 September 2025 (30 years)

Period: 1 January 1988 - 30 September 2025 (~38 years)

30 Years
(1995/10 - 2025/09)

Chart Table

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Five Factor Model 70/30			Yale Endowment
Drawdown (%)	Recovery (#Months)	From To	Drawdown (%)	Recovery (#Months)	From To
			-40.68	38	Nov 2007 Dec 2010
-29.45	43	Jun 2007 Dec 2010
			-22.63	31	Jan 2022 Jul 2024
-22.60	42	Sep 2000 Feb 2004
-14.94	7	Feb 2020 Aug 2020
			-14.79	7	Feb 2020 Aug 2020
-14.52	24	Jan 2022 Dec 2023
-12.63	9	May 1998 Jan 1999
			-12.17	10	May 2011 Feb 2012
			-10.97	9	Apr 1998 Dec 1998
			-10.82	33	Sep 2000 May 2003
-8.84	9	Jun 2011 Feb 2012
-8.57	7	Sep 2018 Mar 2019
			-8.41	7	Sep 2018 Mar 2019
-6.52	12	Aug 2015 Jul 2016

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Five Factor Model 70/30			Yale Endowment
Drawdown (%)	Recovery (#Months)	From To	Drawdown (%)	Recovery (#Months)	From To
			-40.68	38	Nov 2007 Dec 2010
-29.45	43	Jun 2007 Dec 2010
			-22.63	31	Jan 2022 Jul 2024
-22.60	42	Sep 2000 Feb 2004
-14.94	7	Feb 2020 Aug 2020
			-14.79	7	Feb 2020 Aug 2020
-14.52	24	Jan 2022 Dec 2023
-14.10	15	Jan 1990 Mar 1991
-12.63	9	May 1998 Jan 1999
			-12.63	14	Jan 1990 Feb 1991
			-12.17	10	May 2011 Feb 2012
			-10.97	9	Apr 1998 Dec 1998
			-10.82	33	Sep 2000 May 2003
-8.84	9	Jun 2011 Feb 2012
-8.57	7	Sep 2018 Mar 2019

Rolling Returns

By selecting the 'Rolling Period', the chart and data will update. To study a different date range, change the Simulation Settings.

You can explore the Rolling Returns for a single portfolio, or check the return differential, by switching on "Head To Head" toggle.

Rolling Returns Comparison

Annualized Rolling Returns Chart

Rolling Returns Chart - Inflation Adjusted

Time Period: 1 January 1988 - 30 September 2025 (~38 years)

Rolling Period:

Five Factor Model 70/30
Yale Endowment

Head To Head (Ptf 1 vs Ptf 2):

Canada Inflation Adjusted:

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Yearly Returns

For each year, the following table provides the return and intra-year drawdown. The highlighted returns represent the highest values for that specific year.

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	Five Factor Model 70/30		Yale Endowment
Year	Return (%)	Drawdown (%)	Return (%)	Drawdown (%)
2025	13.28	-4.42	12.90	-2.00
2024	17.19	-2.01	9.42	-3.92
2023	13.73	-5.14	14.45	-8.62
2022	-9.66	-14.52	-17.82	-22.63
2021	13.78	-2.50	17.84	-3.58
2020	9.52	-14.94	10.35	-14.79
2019	16.50	-3.39	21.39	-2.68
2018	-3.65	-8.57	-5.76	-8.41
2017	9.74	-3.22	13.79	0.00
2016	8.94	-3.28	7.40	-3.21
2015	6.38	-6.52	-0.29	-6.50
2014	11.98	-1.92	9.76	-3.40
2013	20.01	-2.14	12.04	-4.27
2012	9.59	-4.20	13.44	-4.70
2011	-1.38	-8.84	2.46	-12.17
2010	10.49	-5.91	14.85	-7.93
2009	17.53	-9.45	23.34	-16.98
2008	-18.07	-21.41	-25.11	-30.37
2007	-1.64	-4.90	4.93	-4.58
2006	15.20	-4.47	17.78	-2.66
2005	11.39	-2.34	8.67	-2.69
2004	9.65	-3.14	16.01	-5.84
2003	16.29	-5.81	26.59	-1.98
2002	-7.37	-14.54	-3.49	-9.34
2001	-2.13	-12.52	-1.98	-9.29
2000	0.58	-9.42	3.33	-5.76
1999	16.58	-3.54	13.91	-2.69
1998	10.68	-12.63	8.26	-10.97
1997	13.97	-2.98	15.25	-3.44
1996	15.86	-3.46	15.04	-2.41
1995	15.94	-1.38	20.31	-1.03
1994	-0.45	-7.46	-2.86	-8.21
1993	29.08	-1.66	20.71	-3.68
1992	8.28	-2.64	5.36	-3.21
1991	23.42	-3.62	29.05	-3.46
1990	-8.71	-14.10	-6.06	-12.63
1989	19.60	-2.48	21.59	-1.39
1988	10.42	-2.70	15.34	-2.25

Table of contents

Resources & Extras

Asset Allocations and ETFs

Portfolio Returns as of Sep 30, 2025

Portfolio Metrics as of Sep 30, 2025

Drawdowns

Rolling Returns

Yearly Returns