VWCE or Value + Quality? What 56 years of crises say
A factor portfolio does not protect you in a crash. On paper it wins over the long run; the actual funds have trailed the market.
I was reviewing my portfolio and wanted a simple answer: if, instead of VWCE, I held half in a Value ETF (IS3S) and half in a Quality ETF (IS3Q), would I lose less in a crash? And what would that bet cost me when it does not pay off?
The ETFs only exist since 2014, so I rebuilt both portfolios from Kenneth French’s public academic data: large, cheap firms for Value, large, profitable firms for Quality. On paper, since 1970, 50/50 returned 10.9% a year against 9.5% for the market.
Total return, dividends reinvested, log scale. Grey bands are crises, from the market peak to the low.
In the big crashes, it protects you from nothing
The 2007-09 financial crisis: the market lost 53.6%, 50/50 lost 54.4%. The 2020 pandemic: 21.8% against 24.9%. In both, 50/50 fell further.
It fell clearly less only when expensive stocks deflated. In 1973-74 it lost 37.9%, against 46.5%. After the dot-com bubble it lost 34.4% and was back at its peak in under 4 years; the market lost 44.6% and needed more than 5.
Every crisis, from peak to recovery
Each line starts at the pre-crisis peak and ends when the portfolio is back at that level. Vertical: how much it lost; horizontal: how many years passed. Point at a line to highlight it.
Crisis table
Decline = months from peak to low. Recovery = months from the low back to the peak. The difference is in percentage points; positive means 50/50 fell less.
The price: the years you fall behind
In 18 of the 57 years, 50/50 earned less than the market. On average by 2.2 percentage points, but in 2020 by 8.2.
The long stretches are harder to live with. The lead of 50/50 over the market peaked in October 2008 and was only surpassed in March 2025. More than 16 years in which you gained nothing extra for choosing something other than the market.
Return gap: 50/50 minus VWCE
Each bar is a calendar year, in percentage points. Above the line, years when 50/50 earned more; below, years when it fell behind.
It looks better on paper than in your account
Academic data has no fees and is not the ETFs you can actually buy. So I put the returns iShares publishes for IS3S and IS3Q next to it, for the ten full years the funds have existed.
With the real funds, 50/50 returned 10.7% a year. A global ETF returned 11.7%. It trailed in 6 years out of 10, five of them in a row, from 2016 to 2020, at the end of which you had 12.9% less money. Over the same ten years, the academic data shows an edge of 0.8 points a year.
The actual funds, year by year
Calendar-year returns in USD, as published by iShares. 50/50 is the average of IS3S and IS3Q, i.e. a portfolio rebalanced every January. The global ETF is iShares MSCI ACWI, because VWCE only exists since 2019.
| Year | IS3S (Value) | IS3Q (Quality) | 50/50 | Global ETF | Difference | Difference in the academic data |
|---|---|---|---|---|---|---|
| 2016 | 8.1% | 5.0% | 6.6% | 7.8% | −1.2 | +1.5 |
| 2017 | 22.2% | 23.1% | 22.6% | 23.9% | −1.3 | −0.9 |
| 2018 | −13.9% | −7.3% | −10.6% | −9.5% | −1.1 | −0.7 |
| 2019 | 19.1% | 30.5% | 24.8% | 26.4% | −1.6 | −0.6 |
| 2020 | −3.9% | 14.9% | 5.5% | 15.6% | −10.1 | −8.2 |
| 2021 | 20.0% | 23.2% | 21.6% | 18.7% | +2.9 | +4.6 |
| 2022 | −10.0% | −19.2% | −14.6% | −18.2% | +3.6 | +7.1 |
| 2023 | 19.4% | 25.7% | 22.5% | 22.3% | +0.2 | −1.2 |
| 2024 | 5.3% | 16.6% | 11.0% | 17.4% | −6.4 | +0.1 |
| 2025 | 39.6% | 15.4% | 27.5% | 22.4% | +5.1 | +4.9 |
| Per year, 2016-2025 | 10.7% | 11.7% | −0.9 | +0.8 |
What I do with this
The “you lose less in crashes” argument does not hold. What remains is the promise of a higher long-run return, which is there in the historical data but has not yet shown up in the real funds. To collect it, you have to sit through years below the market without changing course halfway. If you are not sure you can, VWCE is the safer choice, because it is the one you will not abandon.
How I calculated this
Data. All charts come from the Kenneth R. French Data Library, September 2026 edition. The market is all stocks, weighted by market value. Value is the large firms with the highest book-to-market ratio (“Big HiBM”). Quality is the large firms with the highest operating profitability (“Big HiOP”). I use the US for 1970 - June 1990 and developed markets from July 1990 to September 2026. 50/50 is rebalanced once a year. The EUR view uses the monthly exchange rate published by FRED.
Limits. The academic portfolios are not the ETFs: they have no costs, exclude emerging markets and pick firms differently from the indices that IS3S and IS3Q track. The table of real funds shows how much that matters. Before 1990 everything is US only. Lows are month-end closes, so milder than daily ones. Returns are nominal, before taxes.
The code and data are in the site’s repo. I am not a financial adviser and this is not a recommendation.
- Kenneth R. French Data Library: market factors and the 2x3 portfolios on size and B/M, and on size and profitability, US and developed markets
- Fund returns: the iShares pages for IS3S, IS3Q and iShares MSCI ACWI, read on 9 November 2026
- EUR/USD rate: FRED, series DEXUSEU
- Fama and French (1992, 2015); Novy-Marx (2013); Asness, Frazzini and Pedersen (2019)