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Ben Felix 5 Factor

Last updated Mar 1, 2024

Asset Allocation


CSPX.L 42%VEA 24%AVUV 14%VWO 12%AVDV 8%EquityEquity
PositionCategory/SectorWeight
CSPX.L
iShares Core S&P 500 UCITS ETF USD (Acc)
Large Cap Growth Equities

42%

VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities

24%

AVUV
Avantis U.S. Small Cap Value ETF
Small Cap Value Equities, Actively Managed

14%

VWO
Vanguard FTSE Emerging Markets ETF
Emerging Markets Equities

12%

AVDV
Avantis International Small Cap Value ETF
Foreign Small & Mid Cap Equities, Actively Managed

8%

S&P 500

Performance

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


30.00%40.00%50.00%60.00%70.00%SeptemberOctoberNovemberDecember2024February
60.48%
71.15%
Ben Felix 5 Factor
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 26, 2019, corresponding to the inception date of AVUV

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.84%3.48%13.06%28.97%12.72%10.71%
Ben Felix 5 Factor 2.85%2.22%10.09%18.66%N/AN/A
CSPX.L
iShares Core S&P 500 UCITS ETF USD (Acc)
6.25%3.17%12.99%30.20%14.26%12.36%
AVUV
Avantis U.S. Small Cap Value ETF
-0.81%-0.65%10.76%11.59%N/AN/A
VEA
Vanguard FTSE Developed Markets ETF
1.63%2.16%8.54%13.19%6.63%4.86%
AVDV
Avantis International Small Cap Value ETF
-0.29%1.09%6.85%9.05%N/AN/A
VWO
Vanguard FTSE Emerging Markets ETF
-0.19%3.09%4.23%5.72%2.87%3.68%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.35%
2023-2.91%-3.78%-3.50%8.53%6.23%

Sharpe Ratio

The current Ben Felix 5 Factor Sharpe ratio is 1.57. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.57

The Sharpe ratio of Ben Felix 5 Factor is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.501.001.502.00SeptemberOctoberNovemberDecember2024February
1.57
2.30
Ben Felix 5 Factor
Benchmark (^GSPC)
Portfolio components

Dividend yield

Ben Felix 5 Factor granted a 1.67% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
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%
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
1.67%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
3.10%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
3.29%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
3.53%3.52%4.11%2.63%1.91%3.23%2.88%2.30%2.52%3.26%2.86%2.73%

Expense Ratio

The Ben Felix 5 Factor features an expense ratio of 0.11%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.36%
0.00%2.15%
0.25%
0.00%2.15%
0.08%
0.00%2.15%
0.07%
0.00%2.15%
0.05%
0.00%2.15%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.30
Ben Felix 5 Factor
1.57
CSPX.L
iShares Core S&P 500 UCITS ETF USD (Acc)
2.53
AVUV
Avantis U.S. Small Cap Value ETF
0.61
VEA
Vanguard FTSE Developed Markets ETF
0.99
AVDV
Avantis International Small Cap Value ETF
0.65
VWO
Vanguard FTSE Emerging Markets ETF
0.42

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

CSPX.LAVUVVWOAVDVVEA
CSPX.L1.000.460.460.560.58
AVUV0.461.000.570.760.74
VWO0.460.571.000.740.79
AVDV0.560.760.741.000.94
VEA0.580.740.790.941.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2024February
-0.19%
0
Ben Felix 5 Factor
Benchmark (^GSPC)
Portfolio components

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 0.19%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-36.26%Jan 21, 202045Mar 23, 2020143Oct 12, 2020188
-24.21%Jan 5, 2022200Oct 12, 2022302Dec 14, 2023502
-6.6%Oct 13, 202014Oct 30, 20204Nov 5, 202018
-5.42%Nov 9, 202130Dec 20, 202111Jan 4, 202241
-4.56%Sep 7, 202120Oct 4, 202112Oct 20, 202132

Volatility Chart

The current Ben Felix 5 Factor volatility is 3.06%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%SeptemberOctoberNovemberDecember2024February
3.06%
3.90%
Ben Felix 5 Factor
Benchmark (^GSPC)
Portfolio components
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