Ben Felix 5 Factor

The chart shows the growth of an initial investment of $10,000 in Ben Felix 5 Factor, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Every 3 months.

Based on dividend-adjusted daily data since Sep 27, 2019, Ben Felix 5 Factor's average daily return is +0.06%, while the average monthly return is +1.16%. At this rate, your investment would double in approximately 5.0 years.

Historically, 65% of months were positive and 35% were negative. The best month was Nov 2020 with a return of +13.4%, while the worst month was Mar 2020 at -18.4%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Ben Felix 5 Factor closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +9.6%, while the worst single day was Mar 12, 2020 at -11.2%.

Ben Felix 5 Factor has an annualized alpha of -0.43%, beta of 0.89, and R² of 0.85 versus S&P 500 Index. Calculated based on daily prices since September 27, 2019.

• This portfolio participated in 98.25% of S&P 500 Index downside but only 90.83% of its upside — more exposed to losses than it benefited from rallies.
• With beta of 0.89 and R² of 0.85, this portfolio moves broadly in line with S&P 500 Index — much of its variation is explained by market exposure rather than independent behavior.

Ben Felix 5 Factor has an expense ratio of 0.17%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

Ben Felix 5 Factor ranks 72 for risk / return — better than 72% of portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Ben Felix 5 Factor Sharpe ratios as of Apr 10, 2026 (values are recalculated daily):

• 1-Year: 3.02
• 5-Year: 0.67
• All Time: 0.67

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 1.86 to 2.86, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Ben Felix 5 Factor compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

Ben Felix 5 Factor provided a 1.69% dividend yield over the last twelve months.

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

The table below displays the maximum drawdowns of the Ben Felix 5 Factor. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Ben Felix 5 Factor was 38.24%, occurring on Mar 23, 2020. Recovery took 163 trading sessions.

The current Ben Felix 5 Factor drawdown is 2.40%.

The chart below shows the rolling one-month volatility.