Ben Felix Five-Factor Portfolio for Canadians

Data: Yahoo Finance adjusted close, fetched live on each visit How this is calculated & what it can't tell you →

What is this portfolio?

The five-factor portfolio is an evidence-based, all-equity strategy popularized by Ben Felix, a Canadian portfolio manager at PWL Capital and host of the Rational Reminder podcast and Common Sense Investing videos. It starts from a globally diversified, roughly market-cap-weighted index core — the same foundation as a plain 3-Fund Bogleheads portfolio — then deliberately overweights the factors that academic research (Fama-French) has linked to higher long-run expected returns — chiefly small-cap value and profitability. The tilt is delivered through Avantis funds (AVUV, AVDV) that screen for cheap, profitable small companies rather than just buying everything small. See how it stacks up against the other lazy portfolios we've backtested.

Own the whole global market first The base is a globally diversified, roughly market-cap-weighted equity core: Canadian (XIC), US (VUN), international developed (XEF), and emerging markets (XEC). On its own that's already a complete couch-potato portfolio — the tilt is layered on top of it.

Tilt toward small-cap value and profitability Overweight small, cheap, profitable companies — the factors Fama and French linked to higher long-run expected returns. Here that's a 10% US sleeve (AVUV) and a 6% international sleeve (AVDV), both Avantis funds that screen for value and profitability rather than buying every small stock.

100% equity — no bonds in the mix The model portfolio holds no fixed income. The idea is to keep the equity engine fully tilted and dial overall risk through your separate stock/bond split — not by watering down the equity sleeves. Want it more conservative? Hold this alongside bonds rather than swapping sleeves out.

Stay disciplined through the lean years Factor premiums are real on average but unreliable year to year — small-cap value lagged the plain market index for much of the 2010s before turning. Rebalance on schedule, expect long stretches of underperformance, and don't abandon the tilt the moment it's out of favour. Sticking with it is the whole strategy.

Risk notice: This is a 100%-equity portfolio — expect 30–50%+ drawdowns in a serious bear market, with no bond ballast to cushion them. The small-cap value tilt adds tracking-error risk: it can trail a plain global index fund for years at a stretch (it did through much of the 2010s) before any premium shows up — if it does in your holding period at all. And because the Avantis sleeves only launched in 2019, this backtest covers a short, single-cycle window — treat the results as illustrative, not predictive. This is educational — see the disclaimer at the bottom of the page.

Building this portfolio as a Canadian

The five-factor approach comes out of academic finance — the Fama-French models, which showed that a handful of factors (market, size, value, and later profitability and investment) explain most of the return differences across diversified portfolios. Ben Felix and his colleagues at PWL Capital translated that research into a concrete, low-cost ETF portfolio Canadian DIY investors can actually build, and made the case for it across hundreds of Rational Reminder episodes and Common Sense Investing videos.

The Canadian wrinkle is which funds deliver the tilt. There's no TSX-listed small-cap value ETF that screens for profitability the way the research calls for, so the value sleeves here use US-listed Avantis funds (AVUV, AVDV) — the same family Felix's firm uses. That means part of the portfolio trades and distributes in US dollars, which matters for both currency exposure and the account you hold it in. The broad-market core, by contrast, is all CAD-listed and priced in Canadian dollars.

ETF picks for each sleeve

Four broad sleeves form a globally diversified, roughly market-cap-weighted core; two Avantis sleeves add the small-cap value and profitability tilt. The core funds are CAD-listed (distributions in Canadian dollars, no conversion to trade); the two factor funds are US-listed because there's no TSX-listed equivalent. MERs are approximate; confirm the current figure on the provider's fund page (linked in Sources).

Sleeve	Ticker	Listing	~MER	Role
Canadian equity	XIC.TO	CAD	~0.06%	Market-cap core
US equity	VUN.TO	CAD	~0.16%	Market-cap core
International developed	XEF.TO	CAD	~0.22%	Market-cap core
Emerging markets	XEC.TO	CAD	~0.27%	Market-cap core
US small-cap value	AVUV	USD	~0.25%	Factor tilt
Intl small-cap value	AVDV	USD	~0.36%	Factor tilt

The simpler cousin is a single all-in-one ETF like XEQT/VEQT (100% global market-cap equity, ~0.20% MER, auto-rebalanced). That gives you the global-market core without the factor tilt or the per-sleeve upkeep — it's the default Benchmark 1 below, so you can see directly what the tilt added. Bear in mind the comparison only runs since the Avantis funds launched in 2019, a short and unusual stretch for judging a multi-decade premium.

The foreign withholding tax gotcha — the part US blogs skip. The US government withholds 15% of the dividends US stocks pay to foreign investors. How much of that you avoid or recover depends entirely on which account holds the fund:

RRSP: a US-listed ETF holding US stocks (e.g. VTI) is exempt from the 15% under the Canada-US tax treaty. A CAD-listed ETF holding US stocks (e.g. VUN) is not — the 15% is lost inside the fund. For the US sleeve, VTI-in-RRSP beats VUN-in-RRSP by roughly the dividend yield × 15% (about 0.2% per year), on top of the lower MER.
TFSA: the 15% applies no matter what you hold, and it's not recoverable. The treaty doesn't cover the TFSA (it was created in 2009, after the treaty's last major revision). There's no way to dodge US withholding tax on US equity inside a TFSA.
Non-registered: the 15% applies but you can claim it back as a foreign tax credit on your return. A taxable account doesn't permanently lose the withholding tax — you just front it for the year.

This backtest uses dividend-adjusted prices and does not model withholding tax, so real after-tax returns on the US and international sleeves run slightly below the chart unless they're held in the right account. Educational only — not tax advice.

Where to hold each sleeve (asset location)

If you've only got one account funded, hold everything there and don't overthink it. The choices below start to matter once a portfolio spans more than one account type. These are general considerations, not a recommendation for your situation.

US equity

RRSP, as a US-listed ETF (VTI) if avoiding the 15% withholding tax matters to you. If it lands in a TFSA instead, the withholding tax is unavoidable — and usually fine, because the TFSA's tax-free growth outweighs it over time.

Small-cap value (AVUV / AVDV)

RRSP works well for AVUV. It's US-listed and holds US stocks, so its US dividends escape the 15% withholding tax in an RRSP under the Canada-US treaty. AVDV holds international stocks through a US listing, so its foreign withholding isn't recoverable in a registered account either way — hold it wherever your asset location otherwise lands.

Canadian equity

Non-registered first, if you're spilling over. Canadian eligible dividends get the dividend tax credit and capital gains are only half-taxed, so Canadian equity is the most tax-efficient thing to hold in a taxable account.

International equity

TFSA or RRSP. International withholding tax generally isn't recoverable in registered accounts regardless, so location here is driven by tax deferral rather than withholding — shelter it like any other equity.

Asset location is a real optimization, but a second-order one. Getting your savings rate and your overall stock/bond split right matters far more than which account holds which sleeve. Don't let perfect asset location stop you from simply starting.

Sources

Five-factor philosophy + model allocation. PWL Capital — Five-Factor Investing with ETFs (Benjamin Felix, PDF). Factor research underpinning it: Fama & French three- and five-factor models.
Foreign withholding tax by account type (RRSP treaty exemption, TFSA non-coverage, non-registered foreign tax credit). Vanguard Canada: The impact of withholding taxes on Canadian ETF investors (PDF); BlackRock Canada: Understanding Foreign Withholding Tax (PDF).
ETF MERs. Provider fund pages: iShares Canada (XIC, XEF, XEC), Vanguard Canada (VUN), Avantis Investors (AVUV, AVDV). Confirm the current MER on the fund page before relying on it.

Figures accessed 2026-05-28. Tax rules change; verify against canada.ca and the fund prospectus before acting.

Portfolio configuration

Saved presets

Portfolio assets — up to 10. Leave unused slots empty.

Asset 1

Asset 2

Asset 3

Asset 4

Asset 5

Asset 6

Asset 7

Asset 8

Asset 9

Asset 10

Filled weights must sum to 100%. Current total: 100% (4 assets)

Backtest mechanics

Starting capital ($)

Start date

Rebalance frequency

Rebalance tolerance (%)

Commission + slippage (%)

Risk-free rate (%, annual)

Benchmark 1 (buy & hold)

Benchmark 2 (buy & hold)

Cash flow — contributions & withdrawals

Amount per period ($)

Direction

Frequency

Cash goes into

XIC.TOiShares S&P/TSX Capped Composite · VUN.TOVanguard US Total Market · AVUVAvantis US Small-Cap Value · XEF.TOiShares MSCI EAFE IMI · AVDVAvantis Intl Small-Cap Value · XEC.TOiShares MSCI EM IMI Data through: —

Return

Risk

Quick reality check before you get excited. This is a learning tool, not financial advice. Every number on this page came straight from the inputs you set above — change the start date or growth target and the whole picture shifts. Play with the dials, see what moves, but don't mistake a backtest for a guarantee.

Heads up for Canadian readers. This portfolio mixes currencies: the four broad sleeves are CAD-listed (priced in Canadian dollars) while the two Avantis value sleeves (AVUV, AVDV) are US-listed (priced in USD). The backtest blends them without converting, so the chart isn't a clean single-currency return. On top of that, holding US-listed ETFs adds currency risk (CAD/USD can swing 10–15% in a year), foreign withholding tax on US distributions (0% in an RRSP under the treaty, 15% and unrecoverable in a TFSA), and every rebalance is a taxable event in a non-registered account. The numbers above ignore all of that — real after-tax, after-FX returns in CAD will differ.

Next rebalance signal

Portfolio vs. benchmarks

Start-date sensitivity — rolling CAGR by start date

Drawdown from peak

Annual returns

Allocation over time

Cumulative contributions vs. portfolio value

What follows are simulations, not predictions. The market doesn't know we ran them — and neither do taxes, fees, or how you'll actually feel when your account is down 50%. Use these to get a sense of the risk, not to plan around a specific outcome.

Monte Carlo — 10-year forward projection (2,000 paths)

What is this telling me?

We ran 2,000 imaginary versions of the next 10 years by replaying real historical daily return patterns in random order. Each "path" is one possible future. Together they show the full range — from lucky outcomes to unlucky ones — so you can see what this portfolio might realistically do going forward.

Green line (median path)

Half of all 2,000 futures ended above this line, half below. Think of it as the single most representative outcome — not a guarantee, just the middle of the range.

Orange bands

The darker band shows where the middle 50% of futures landed. The lighter outer band covers 90% of all simulated futures. A wider band means more uncertainty.

Median CAGR

The typical yearly growth rate across all simulations — like a compound interest rate. A 30% CAGR means your money roughly triples every ~4 years in the median scenario.

Risk of Ruin

The % of futures where your portfolio fell below 50% of what you started with. This is the worst-case catastrophic loss risk — you should be comfortable with this number before investing.

Probability of Loss

The % of futures where you ended 10 years with less money than you started. Even over a long horizon, some paths go negative — this tells you how often that happened.

Mean Max Drawdown

On average across all futures, how far did the portfolio fall from its peak before recovering? For example, -60% means at some point you'd be watching your account drop by more than half. This is the emotional pain number.

⚠️ Important: This is based on historical patterns and does not predict the future. Diversification reduces risk but never eliminates it — in a severe market crash, correlations rise and most assets can fall together. Past performance does not guarantee future results.

Percentile fan chart — portfolio value (block-bootstrap, not assuming normality)

50th pct (median) 25th–75th pct band 5th–95th pct band

Stress tests — portfolio performance during market crises

What is this telling me?

Unlike the Monte Carlo which simulates imaginary futures, stress tests look at what actually happened during real historical market crises. Because this portfolio spreads across assets that don't all move together and rebalances back to target weights, crashes affect it differently than holding any single asset alone.

Return %

How much the total portfolio gained or lost from the start to the end of that crisis window. A -39% return means if you had $100,000 at the start, you'd have about $61,000 at the end of that period.

Max Drawdown

The worst single drop from a peak during that period — the lowest your account would have looked. This is deeper than the overall return because it captures the scariest moment before any recovery.

Days

How many trading days the period covered. Shorter crashes (like COVID in 2020) recovered faster. Longer downturns (like 2022) dragged on and gave the portfolio less opportunity to average down.

Why some periods are missing

A crisis period can only be shown when every asset in the portfolio has real price data covering it. If one of your chosen ETFs launched after a given crisis (for example, the 2008 Financial Crisis), that period is hidden — there's no real data to backtest it.

💡 Tip: Large negative returns during crashes are expected with this portfolio. The key is whether the portfolio recovers — look at the Post-COVID Recovery row to see how dramatically the portfolio can rebound after a crash.

Return % per crisis period

Stress period detail

Period	Return	Max DD	Days

Date	Action	Pre total	Max drift	Trade $	Post total	Allocation after

Date	Type	Amount	Into	Before	After	Allocation after

Metric	Portfolio

Year	Inflation	Portfolio
Year	Inflation	Return	Balance

How these numbers are calculated

Data source

Prices come from Yahoo Finance via yfinance with auto_adjust=True, so closes are dividend-adjusted (every fund's distribution stream is included). This portfolio uses a mix of listing currencies: the four broad-market sleeves (XIC, VUN, XEF, XEC) are CAD-listed and priced in Canadian dollars, while the two Avantis small-cap value sleeves (AVUV, AVDV) are US-listed and priced in USD. The backtest treats each price series in its own currency and does not convert between them, so the AVUV/AVDV sleeves don't capture CAD/USD moves the way the CAD-listed sleeves do. Read the blended results as an approximation — the currency mix is a known simplification, not an exact model of what a Canadian holder experienced.

CAGR

(end_value / start_value)^(1/years) − 1, where years = trading_days / 252.

Annualized volatility

std(daily_returns) × √252. Population std (divisor = n). Assumes daily returns are independent and identically distributed; in practice returns show mild autocorrelation and fat tails, so treat the annualized figure as an approximation.

Sharpe ratio

(mean_daily − rfr_daily) / std_daily × √252, where rfr_daily = (1 + rfr_annual)^(1/252) − 1. The risk-free rate is whatever you set in the config above. Default 2% is a rough time-weighted average for 2015–2022 (T-bill yield was near 0% in 2015–2021, ~5% in 2023+). For period-accurate ratios, override to match your chosen backtest window. Also reported with a standard error band: SE(Sharpe) = √((1 + 0.5·Sharpe²) / T_years) (Lo 2002, IID approximation).

Sortino ratio

(mean_daily − rfr_daily) × 252 / downside_dev_annualized, where downside deviation only counts days with returns below rfr_daily, summed-of-squares divided by total n (Sortino & Price 1994 convention).

Maximum drawdown

Largest peak-to-trough percentage loss using daily close prices only. Intraday lows are not captured, so actual lived drawdowns may be a few percent worse.

Monte Carlo

Block-bootstrap resampling of historical daily portfolio returns. Default: 2,000 paths, 10-year horizon, 5-day blocks, RNG seed = 42 on first render (click "Re-run with new seed" to see how stable the bands are). Block-bootstrapping preserves short-term autocorrelation and volatility clustering — it does not assume normal/Gaussian returns. Risk of Ruin = % of paths ending below 50% of the anchor value; Probability of Loss = % ending below the anchor value.

The MC projection anchor is configurable via the toggle above the section. Default: initial capital (matches a fresh investor's mental model: "if I start today with $X, what range of outcomes might I see in 10 years?"). The alternative is anchoring on the backtest's ending value (useful when asking "if I'm already at $X, what's next?").

Limitation: 5-day blocks preserve weekly autocorrelation but not regime/crisis dependencies. Heavier-tailed events than what's in the historical sample won't appear.

Stress tests

Hardcoded historical windows (2018 vol, COVID 2020, post-COVID recovery, 2022 rate hikes, 2022 tech crash, plus GFC 2008 if data exists). Only windows with ≥5 trading days of overlapping data are shown. The Avantis small-cap value sleeves (AVUV, AVDV) only began trading in September 2019, which caps the whole backtest at roughly 2020 onward — pre-2020 windows (GFC 2008, the 2018 selloff) won't render. Drop those two sleeves if you want to test a longer history with the broad-market core alone.

Transaction frictions

Commission + slippage is applied symmetrically — the sell side receives price × (1 − f), the buy side pays price × (1 + f). Default 0.10% per side ≈ 0.20% round-trip, realistic for Canadian discount brokers on highly-liquid ETFs.

What's NOT modeled

Taxes — every rebalance is a taxable event in a non-registered account
Currency / FX — all returns are USD, ignoring CAD/USD volatility
Foreign withholding tax on US ETF distributions (treatment depends on account type)
Inflation — returns are nominal, not real (subtract ~2–3% per year for real CAGR)
Settlement delays — assumes T+0 cash availability
Bid-ask spread variability — uses closing price, not actual fill price

Source code

All calculations are open and inspectable in the public repository — Python tools (Monte Carlo, stress tests) and JS in this page itself.

The bottom line: this is a learning tool, full stop. Every number depends on the inputs you chose, so different choices give you different results. Even diversified portfolios can lose 20–40% in a bad year, and no backtest changes that. Foreign withholding tax, currency drag, and tax-wrapper choice can all shift the real-world outcome meaningfully from what the chart shows. Before you put real money on the line, sit down with a registered Canadian advisor. That's what they're there for.