Ben Felix 5 Factor
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Asset Allocation
Performance
Performance Chart
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 Quarterly
The earliest data available for this chart is Sep 26, 2019, corresponding to the inception date of AVUV
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 13.20% | -1.28% | 10.32% | 18.23% | 12.31% | 10.58% |
| Ben Felix 5 Factor | 10.10% | 1.34% | 10.06% | 15.25% | N/A | N/A |
| Portfolio components: | ||||||
CSPX.L iShares Core S&P 500 UCITS ETF USD (Acc) | 14.62% | -0.18% | 12.06% | 21.11% | 14.05% | 12.36% |
AVUV Avantis U.S. Small Cap Value ETF | 9.60% | 10.27% | 11.26% | 19.57% | N/A | N/A |
VEA Vanguard FTSE Developed Markets ETF | 5.14% | 0.04% | 6.63% | 8.29% | 6.76% | 4.63% |
AVDV Avantis International Small Cap Value ETF | 7.48% | 1.51% | 8.94% | 12.19% | N/A | N/A |
VWO Vanguard FTSE Emerging Markets ETF | 5.71% | -1.26% | 8.21% | 5.35% | 3.41% | 2.43% |
Monthly Returns
The table below presents the monthly returns of Ben Felix 5 Factor , with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.35% | 3.23% | 3.83% | -3.04% | 3.71% | 1.54% | 10.10% | ||||||
| 2023 | 7.62% | -2.57% | 0.86% | 1.29% | -2.02% | 6.33% | 4.51% | -2.91% | -3.78% | -3.50% | 8.53% | 6.23% | 21.23% |
| 2022 | -4.50% | -1.56% | 2.05% | -6.90% | 0.22% | -8.72% | 6.70% | -3.29% | -9.15% | 6.17% | 7.37% | -3.17% | -15.45% |
| 2021 | 0.91% | 4.40% | 3.52% | 3.77% | 2.34% | 0.36% | 0.04% | 2.43% | -3.03% | 4.13% | -2.29% | 4.28% | 22.55% |
| 2020 | -2.77% | -8.77% | -15.27% | 10.92% | 4.43% | 3.15% | 4.51% | 6.57% | -2.77% | -1.63% | 12.69% | 5.51% | 13.74% |
| 2019 | -0.06% | 2.67% | 2.57% | 3.77% | 9.22% |
Expense Ratio
Ben Felix 5 Factor has an expense ratio of 0.11%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Ben Felix 5 Factor is 46, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
CSPX.L iShares Core S&P 500 UCITS ETF USD (Acc) | 1.95 | 2.84 | 1.36 | 1.89 | 9.32 |
AVUV Avantis U.S. Small Cap Value ETF | 1.03 | 1.63 | 1.19 | 1.57 | 4.03 |
VEA Vanguard FTSE Developed Markets ETF | 0.93 | 1.39 | 1.17 | 0.67 | 3.58 |
AVDV Avantis International Small Cap Value ETF | 1.13 | 1.67 | 1.20 | 1.08 | 4.90 |
VWO Vanguard FTSE Emerging Markets ETF | 0.61 | 0.95 | 1.11 | 0.28 | 2.36 |
Dividends
Dividend yield
Ben Felix 5 Factor granted a 1.67% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ben Felix 5 Factor | 1.67% | 1.67% | 1.69% | 1.44% | 1.02% | 1.20% | 1.15% | 0.94% | 1.03% | 1.09% | 1.23% | 0.95% |
| Portfolio components: | ||||||||||||
CSPX.L iShares Core S&P 500 UCITS ETF USD (Acc) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
AVUV Avantis U.S. Small Cap Value ETF | 1.57% | 1.65% | 1.74% | 1.28% | 1.21% | 0.38% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VEA Vanguard FTSE Developed Markets ETF | 3.36% | 3.15% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% | 3.68% | 2.60% |
AVDV Avantis International Small Cap Value ETF | 3.14% | 3.29% | 3.17% | 2.39% | 1.67% | 0.37% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VWO Vanguard FTSE Emerging Markets ETF | 3.24% | 3.52% | 4.11% | 2.63% | 1.91% | 3.23% | 2.88% | 2.30% | 2.52% | 3.26% | 2.86% | 2.73% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
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 36.26%, occurring on Mar 23, 2020. Recovery took 143 trading sessions.
The current Ben Felix 5 Factor drawdown is 3.08%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -36.26% | Jan 21, 2020 | 45 | Mar 23, 2020 | 143 | Oct 12, 2020 | 188 |
| -24.21% | Jan 5, 2022 | 200 | Oct 12, 2022 | 302 | Dec 14, 2023 | 502 |
| -6.6% | Oct 13, 2020 | 14 | Oct 30, 2020 | 4 | Nov 5, 2020 | 18 |
| -5.42% | Nov 9, 2021 | 30 | Dec 20, 2021 | 11 | Jan 4, 2022 | 41 |
| -4.56% | Sep 7, 2021 | 20 | Oct 4, 2021 | 12 | Oct 20, 2021 | 32 |
Volatility
Volatility Chart
The current Ben Felix 5 Factor volatility is 3.02%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
Diversification
Asset Correlations Table
| CSPX.L | AVUV | VWO | AVDV | VEA | |
|---|---|---|---|---|---|
| CSPX.L | 1.00 | 0.45 | 0.46 | 0.55 | 0.57 |
| AVUV | 0.45 | 1.00 | 0.57 | 0.76 | 0.74 |
| VWO | 0.46 | 0.57 | 1.00 | 0.73 | 0.79 |
| AVDV | 0.55 | 0.76 | 0.73 | 1.00 | 0.93 |
| VEA | 0.57 | 0.74 | 0.79 | 0.93 | 1.00 |