Ben Felix Five Factor Model 60/40 Portfolio: ETF allocation and returns

Simulation Settings

Period: January 1988 - June 2026 (~39 years)
Consolidated Returns as of 30 June 2026

Initial Amount: 1$

Rebalancing: at every Jan 1^st

Currency: CAD

Inflation: Canada

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The Ben Felix Five Factor Model 60/40 Portfolio can be implemented with 7 ETFs. This portfolio has a high risk, indicating it can undergo considerable value changes. It is appropriate for investors with a high risk tolerance who are aiming for higher returns and can handle notable drawdowns.

The portfolio asset allocation is: 60% on the Stock Market, 40% on Fixed Income, 0% on Commodities. In general, bonds are useful for mitigating overall portfolio risk, especially if they are issued by national entities or highly reliable companies. This portfolio has a 40% allocation to bonds, leading to its classification as high risk.

As of June 2026, in the previous 30 Years, the Ben Felix Five Factor Model 60/40 Portfolio obtained a 7.52% compound annual return, with a 8.22% standard deviation. It suffered a maximum drawdown of -24.81% that required 41 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.

About the Author

Ben Felix is the Chief Investment Officer and a Portfolio Manager at PWL Capital, a leading investment firm in Canada.

He has gained significant recognition for his educational contributions to the finance community, particularly through his popular YouTube channel, Common Sense Investing. On this channel, he explains complex investment concepts in a way that is accessible to a broad audience.

In addition to his YouTube presence, Ben co-hosts the Rational Reminder podcast with Cameron Passmore.

If you're looking to deepen your understanding of investing, financial planning, and rational decision-making, we highly recommend following Ben Felix’s insightful content.

Portfolio Overview

In episode 129 of the Rational Reminder Podcast, "Five Factor Investing with ETFs", Ben Felix explores a portfolio model based on the Fama-French Five-Factor Model.

We have also simulated different versions of the portfolio, including up to 60% bonds, following the study conducted by PWL Capital.

This portfolio is for illustration purposes only: actual PWL Capital client portfolios may differ.

For further information, take a look also to Ben's YouTube video

Please note that LazyPortfolioEtf is not an official source of information. Our work is purely a study and tribute to an interesting example of asset allocation created by Ben Felix, one of the most influential figures in the industry.

Asset Allocation and ETFs

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

To effectively implement the asset allocation of the Ben Felix Five Factor Model 60/40 Portfolio, investors can utilize the following selection of ETFs. These ETFs have been chosen specifically for their ability to represent each asset class within the portfolio and facilitate ease of management.

          60% Stocks
        
          40% Fixed Income
        
          0% Commodities

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Weight (%)	ETF Ticker	ETF Currency	ETF Name	Investment Themes (Orig.Currency)
18.00	VUN.TO	CAD	Vanguard US Total Market Index	Equity, U.S., Large Cap (USD)
18.00	XIC.TO	CAD	iShares Core S&P/TSX Capped Composite Index	Stocks (CAD)
9.60	XEF.TO	CAD	iShares Core MSCI EAFE IMI Index	Equity, EAFE, Large Cap (Mix)
6.00	AVUV	→CAD	Avantis US Small Cap Value ETF	Equity, U.S., Small Cap, Value (USD)
4.80	XEC.TO	CAD	iShares Core MSCI Emerging Markets IMI Index	Equity, Emerging Markets, Large Cap (Mix)
3.60	AVDV	→CAD	Avantis International Small Cap Value ETF	Equity, Global ex-US, Small Cap, Value (Mix)
40.00	ZAG.TO	CAD	BMO Aggregate Bond Index	Fixed Income (CAD)
• Not denominated in CAD. Returns are hypotetical, retrieved from the original ETF, applying currency exchange rates or hedging costs when needed.

Most Lazy Portfolios consist of common, well-defined asset classes.
For a more complete view, discover the most popular ETFs used to build these portfolios.

Portfolio and ETF Returns as of Jun 30, 2026

Returns are calculated in CAD, assuming:

no fees or capital gain taxes.
rebalancing: at every January 1^st. How do returns change with different rebalancing strategies?
dividend reinvestment, when applicable.
for non-CAD assets, the adjustment for actual currency exchange rates.
the actual Canada Inflation rates.

BEN FELIX FIVE FACTOR MODEL 60/40 PORTFOLIO

Capital Growth

Inflation Adj:

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			Chg (%)		Return (%)	Return (%) as of Jun 30, 2026
			1 Day	Time ET^(*)	---	YTD (6M)	1M	6M	1Y	5Y	10Y	30Y	MAX (~39Y)
Investment Return			---		---	10.45	1.58	10.45	20.80	8.92	8.76	7.52	8.32
Canada Inflation Adjusted Return						7.45	1.58	7.45	17.10	5.03	5.83	5.23	5.84
Component Returns
VUN.TO	CAD	Vanguard US Total Market Index	---	0	---	14.53	2.43	14.53	27.62	14.94	15.72	10.27	11.51
XIC.TO	CAD	iShares Core S&P/TSX Capped Composite Index	---	0	---	11.15	0.80	11.15	32.78	14.61	12.71	8.90	8.18
XEF.TO	CAD	iShares Core MSCI EAFE IMI Index	---	0	---	13.23	2.96	13.23	23.82	11.59	10.57	5.86	5.89
AVUV	→CAD	Avantis US Small Cap Value ETF	---	0	---	29.14	7.43	29.14	46.67	15.55	14.17	11.53	13.15
XEC.TO	CAD	iShares Core MSCI Emerging Markets IMI Index	---	0	---	28.16	2.51	28.16	47.30	10.00	10.61	6.66	11.55
AVDV	→CAD	Avantis International Small Cap Value ETF	---	0	---	16.70	-2.43	16.70	41.34	16.89	13.05	8.91	8.86
ZAG.TO	CAD	BMO Aggregate Bond Index	---	0	---	2.13	0.43	2.13	3.17	0.64	1.54	4.21	5.06
• Not denominated in CAD. Returns are hypotetical, retrieved from the original asset, applying currency exchange rates or hedging costs when needed.
Returns over 1 year are annualized
(*) Eastern Time (ET - America/New York)
The live monthly return is calculated by assuming, for each asset, the weight defined by the base asset allocation.
Canada Inflation is updated to May 2026. Pending updates, the monthly inflation is set at 0% for the subsequent periods. Inflation (annualized) is 1Y: 3.16% , 5Y: 3.70% , 10Y: 2.77% , 30Y: 2.17%

Components correlation, as of 30 June 2026

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Learn about historical correlations here: see how the main asset classes relate to each other.

Readings that may interest you

Portfolio Metrics as of Jun 30, 2026

Metrics are calculated based on monthly returns, assuming:

no fees or capital gain taxes.
rebalancing: at every January 1^st. How do returns change with different rebalancing strategies?
dividend reinvestment, when applicable.
for non-CAD assets, the adjustment for actual currency exchange rates.
the actual Canada Inflation rates.

BEN FELIX FIVE FACTOR MODEL 60/40 PORTFOLIO

Advanced Metrics

1 January 1988 - 30 June 2026 (~39 years)

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	Metrics as of Jun 30, 2026
	YTD (6M)	1M	3M	6M	1Y	3Y	5Y	10Y	20Y	30Y	MAX (~39Y)
Investment Return (%)	10.45	1.58	8.67	10.45	20.80	15.67	8.92	8.76	7.47	7.52	8.32
Growth of 1$	1.10	1.02	1.09	1.10	1.21	1.55	1.53	2.32	4.22	8.81	21.70
Infl. Adjusted Return (%)	7.45	1.58	7.27	7.45	17.10	12.78	5.03	5.83	5.14	5.23	5.84
Canada Inflation (%)	2.79	0.00	1.31	2.79	3.16	2.56	3.70	2.77	2.21	2.17	2.34
Pending updates, the monthly inflation of Jun 2026 and beyond is set at 0%. Returns / Inflation rates over 1 year are annualized.
DRAWDOWN Inflation Adjusted: Inflation Adjusted:				Current	1Y	3Y	5Y	10Y	20Y	30Y	MAX
Deepest Drawdown Depth (%)				0.00	-3.47	-4.85	-14.17	-14.17	-24.81	-24.81	-24.81
Start to Recovery (# months)					3	4	24	24	41	41	41
Start (yyyy mm)					2026 03	2023 08	2022 01	2022 01	2007 06	2007 06	2007 06
Start to Bottom (# months)					1	3	9	9	21	21	21
Bottom (yyyy mm)					2026 03	2023 10	2022 09	2022 09	2009 02	2009 02	2009 02
Bottom to End (# months)					2	1	15	15	20	20	20
End (yyyy mm)					2026 05	2023 11	2023 12	2023 12	2010 10	2010 10	2010 10
Longest Drawdown Depth (%)					same	-3.77	same	same	same	-17.70	-17.70
Start to Recovery (# months)					same	5	same	same	same	41	41
Start (yyyy mm)					2026 03	2025 02	2022 01	2022 01	2007 06	2000 09	2000 09
Start to Bottom (# months)					1	3	9	9	21	31	31
Bottom (yyyy mm)					2026 03	2025 04	2022 09	2022 09	2009 02	2003 03	2003 03
Bottom to End (# months)					2	2	15	15	20	10	10
End (yyyy mm)					2026 05	2025 06	2023 12	2023 12	2010 10	2004 01	2004 01
Longest negative period (# months)					2	5	28	30	44	60	60
Start (yyyy mm)					2026 02	2024 12	2021 07	2021 05	2006 11	2004 03	2004 03
End (yyyy mm)					2026 03	2025 04	2023 10	2023 10	2010 06	2009 02	2009 02
Annualized Return (%)					-1.46	-5.79	-1.60	-0.33	-0.06	-0.07	-0.07
Adjusting for units held makes the drawdown reflect real performance, just like in the no-cash-flow case.
Deepest Drawdown Depth (%)				0.00	-4.33	-5.15	-19.15	-19.15	-27.16	-27.16	-27.16
Start to Recovery (# months)					3	4	33	33	68	68	68
Start (yyyy mm)					2026 03	2023 08	2022 01	2022 01	2007 02	2007 02	2007 02
Start to Bottom (# months)					1	3	6	6	25	25	25
Bottom (yyyy mm)					2026 03	2023 10	2022 06	2022 06	2009 02	2009 02	2009 02
Bottom to End (# months)					2	1	27	27	43	43	43
End (yyyy mm)					2026 05	2023 11	2024 09	2024 09	2012 09	2012 09	2012 09
Longest Drawdown Depth (%)					same	-5.00	same	same	same	same	same
Start to Recovery (# months)					same	6	same	same	same	same	same
Start (yyyy mm)					2026 03	2025 02	2022 01	2022 01	2007 02	2007 02	2007 02
Start to Bottom (# months)					1	3	6	6	25	25	25
Bottom (yyyy mm)					2026 03	2025 04	2022 06	2022 06	2009 02	2009 02	2009 02
Bottom to End (# months)					2	3	27	27	43	43	43
End (yyyy mm)					2026 05	2025 07	2024 09	2024 09	2012 09	2012 09	2012 09
Longest negative period (# months)					4	6	36	58	67	111	111
Start (yyyy mm)					2025 12	2024 12	2021 07	2017 12	2007 01	1999 12	1999 12
End (yyyy mm)					2026 03	2025 05	2024 06	2022 09	2012 07	2009 02	2009 02
Annualized Return (%)					-0.47	-1.66	-0.70	-0.16	-0.02	-0.06	-0.06
Adjusting for units held makes the drawdown reflect real performance, just like in the no-cash-flow case.
RISK INDICATORS					1Y	3Y	5Y	10Y	20Y	30Y	MAX
Standard Deviation (%)					6.77	7.59	9.09	8.84	8.12	8.22	8.20
Sharpe Ratio					2.51	1.46	0.60	0.74	0.73	0.64	0.66
Sortino Ratio					3.04	1.94	0.82	0.99	0.97	0.85	0.87
Ulcer Index					0.97	1.43	4.83	3.87	5.11	5.48	5.07
Ratio: Return / Standard Deviation					3.07	2.06	0.98	0.99	0.92	0.91	1.01
Ratio: Return / Deepest Drawdown					6.00	3.23	0.63	0.62	0.30	0.30	0.34
Positive Months (%)					83.33	66.66	60.00	66.66	67.50	65.55	66.88
Positive Months					10	24	36	80	162	236	309
Negative Months					2	12	24	40	78	124	153
LONG TERM RETURNS Inflation Adjusted: Inflation Adjusted:					1Y	3Y	5Y	10Y	20Y	30Y	MAX
Best 10 Years Return (%) - Annualized								8.76	9.76	9.76	13.62
Worst 10 Years Return (%) - Annualized								8.76	5.54	3.02	3.02
Best 10 Years Return (%) - Annualized								5.83	7.94	7.94	11.38
Worst 10 Years Return (%) - Annualized								5.83	3.30	0.80	0.80
TIMEFRAMES Inflation Adjusted: Inflation Adjusted:		1M	3M	6M	1Y	3Y	5Y	10Y	20Y	30Y	MAX
··· As of Jun 2026 - Over the previous 30Y
Best Rolling Return (%) - Annualized					27.47	15.74	13.11	9.76	7.47	7.52
Worst Rolling Return (%) - Annualized					-19.92	-5.13	-0.07	3.02	4.99	7.52
Positive Periods (%)					80.2	90.1	99.6	100.0	100.0	100.0
Best Rolling Return (%) - Annualized					25.97	13.67	11.16	7.94	5.24	5.23
Worst Rolling Return (%) - Annualized					-21.04	-7.47	-1.94	0.80	3.09	5.23
Positive Periods (%)					75.6	81.2	96.0	100.0	100.0	100.0
95% VaR - Value at Risk (%) - Cumulative		3.27	4.86	5.76	9.55	4.55	0.00	0.00	0.00
95% CVaR - Conditional Value at Risk (%)		4.26	6.57	8.17	13.57	8.49	0.00	0.00	0.00
99% VaR - Value at Risk (%) - Cumulative		4.89	7.66	9.72	17.08	12.85	0.00	0.00	0.00
99% CVaR - Conditional Value at Risk (%)		5.92	9.44	12.24	18.73	14.23	0.00	0.00	0.00
Short term VaRs: analytical \| 1+ year VaRs: historical data
Safe Withdrawal Rate (%)					87.50	28.97	18.05	9.88	6.01	6.45
Perpetual Withdrawal Rate (%)					---	---	---	0.91	2.79	5.05
% based on initial capital, inflation-adj. monthly withdrawals afterwards \| Credits: BestRetirementPortfolio.com
··· All available data (Jan 1988 - Jun 2026)
Best Rolling Return (%) - Annualized					32.07	19.91	15.03	13.62	9.06	8.31
Worst Rolling Return (%) - Annualized					-19.92	-5.13	-0.07	3.02	4.99	6.60
Positive Periods (%)					82.7	92.5	99.7	100.0	100.0	100.0
Best Rolling Return (%) - Annualized					30.38	17.98	13.36	11.38	6.50	6.37
Worst Rolling Return (%) - Annualized					-21.04	-7.47	-1.94	0.80	3.09	4.45
Positive Periods (%)					77.8	85.7	97.0	100.0	100.0	100.0
95% VaR - Value at Risk (%) - Cumulative		3.20	4.66	5.36	7.56	3.43	0.00	0.00	0.00
95% CVaR - Conditional Value at Risk (%)		4.18	6.36	7.77	12.38	7.45	0.00	0.00	0.00
99% VaR - Value at Risk (%) - Cumulative		4.81	7.45	9.32	16.04	11.87	0.00	0.00	0.00
99% CVaR - Conditional Value at Risk (%)		5.84	9.23	11.83	17.82	13.77	0.00	0.00	0.00
Short term VaRs: analytical \| 1+ year VaRs: historical data
Safe Withdrawal Rate (%)					87.50	28.97	18.05	9.88	6.01	6.29
Perpetual Withdrawal Rate (%)					---	---	---	0.91	2.79	4.63
% based on initial capital, inflation-adj. monthly withdrawals afterwards \| Credits: BestRetirementPortfolio.com

Terms and Definitions

Annualized Portfolio Return: the annualized geometric mean return of the portfolio. When cashflows are involved, it is calculated using the Money-Weighted Rate of Return (MWRR), based on the Modified Dietz formula.
Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration. When cashflows are involved, portfolio values are normalized by the invested capital (i.e. owned quotes) at each time step: this isolates the effect of market performance from capital contributions, avoiding misleading drawdowns caused by large inflows that artificially lift portfolio value and, as a result, the drawdowns match the ones without cash flows.
Longest negative period: it's the maximum period for which an overall negative return has been observed.
Standard Deviation: it's a measure of the dispersion of returns around the mean.
Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
Value at Risk (VaR): it's an evaluation of a cumulative worst-case loss (in absolute value), associated with a probability (95%-99%) and a time horizon. For short term, it's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns. For long term is retrieved by the historical rolling return data.
Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed.
Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

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.

BEN FELIX FIVE FACTOR MODEL 60/40 PORTFOLIO

Drawdown periods

Inflation Adj:

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Rolling Return Analysis

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

BEN FELIX FIVE FACTOR MODEL 60/40 PORTFOLIO

Annualized Rolling Returns — Over Time & Distribution

The values shown for the rolling periods represent key statistical points: the minimum, maximum, median, and two user-defined percentiles. The lower and upper percentiles (default: 15th and 85th) can be adjusted using the inputs above. They give insight into the distribution of the data, while the median represents the middle value.

Holding Periods and Returns

Holding periods are based on rolling periods: each rolling window represents the return an investor would have achieved by holding the investment for a fixed period (e.g., 10, 20, or 30 years) starting from different dates.

BEN FELIX FIVE FACTOR MODEL 60/40 PORTFOLIO

Annualized Rolling Returns

Inflation Adj:

Percentiles: – Changes pending. Click 'Update' to refresh

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Time to Target

What it shows: Months to reach your target capital from each historical entry point, accounting for your initial investment and periodic contributions.

BEN FELIX FIVE FACTOR MODEL 60/40 PORTFOLIO

Time to reach your Target Capital

Monthly Returns and Seasonality

This section provides a visual/tabular representation of the performance variability in the Ben Felix Five Factor Model 60/40 Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

BEN FELIX FIVE FACTOR MODEL 60/40 PORTFOLIO

Monthly Returns Distribution

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Monthly Seasonality Analysis

38 full years are available for analysis


Avg Return (%)
Win Count
Loss Count
Win %
Worst Return (%)
Best Return (%)

For further information about the seasonality, check the Asset Class Seasonality page.

Methodology

Returns, up to September 2019, have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.

For non-CAD assets, returns are calculated based on the performance of the original asset, adjusted for actual currency exchange rates.

You can find additional information on extended Data Sources here.

In particular, the series derived from equivalent datasets are:

Vanguard US Total Market Index (VUN.TO), up to September 2013
iShares Core S&P/TSX Capped Composite Index (XIC.TO), up to March 2001
iShares Core MSCI EAFE IMI Index (XEF.TO), up to May 2013
Avantis US Small Cap Value ETF (AVUV) to CAD, up to September 2019
iShares Core MSCI Emerging Markets IMI Index (XEC.TO), up to May 2013
Avantis International Small Cap Value ETF (AVDV) to CAD, up to September 2019
BMO Aggregate Bond Index (ZAG.TO), up to February 2010

Portfolio efficiency

Compare Ben Felix Five Factor Model 60/40 Portfolio performance and efficiency against top portfolios to identify strengths and areas for improvement.

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			Allocation
			Stocks	Bonds	Comm	Ann. Return▾	Standard Deviation	Ulcer Index	Deepest Drawdown	Longest Drawdown	Longest Neg.Period	Avg Rank

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			Allocation
			Stocks	Bonds	Comm	Ann. Return▾	Standard Deviation	Ulcer Index	Deepest Drawdown	Longest Drawdown	Longest Neg.Period	Avg Rank

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			Allocation
			Stocks	Bonds	Comm	Ann. Return▾	Standard Deviation	Ulcer Index	Deepest Drawdown	Longest Drawdown	Longest Neg.Period	Avg Rank

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Drawdown Analysis			Occurrencies (End of Month)			Cumulative
Phase	Frequency	Range	#Num	Every (Avg)	Frequency	Range	Frequency

Drawdown Analysis			Occurrencies (End of Month)			Cumulative
Phase	Frequency	Range	#Num	Every (Avg)	Frequency	Range	Frequency

Drawdown Analysis			Occurrencies (End of Month)			Cumulative
Phase	Frequency	Range	#Num	Every (Avg)	Frequency	Range	Frequency

Drawdown Analysis			Occurrencies (End of Month)			Cumulative
Phase	Frequency	Range	#Num	Every (Avg)	Frequency	Range	Frequency

Rolling Period	Worst Period			Latest	Negative Periods
Rolling Period	Ann. Return	From To	Ann. Return	Latest	Negative Periods	Ann. Return	Ann. Return	Ann. Return	From To

Annualized rolling and percentiles/median returns over full calendar month periods.

	Intra Year Stats		Monthly Return (%)
Year	Return	Drawdown	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec

Table of contents

About the Author

Portfolio Overview

Asset Allocation and ETFs

Portfolio and ETF Returns as of Jun 30, 2026

Portfolio Metrics as of Jun 30, 2026

Drawdowns

Rolling Return Analysis

Holding Periods and Returns

Time to Target

Monthly Returns and Seasonality

Portfolio efficiency