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All World minus Small Cap Growth

Last updated Sep 21, 2023

Asset Allocation


VOO 40%VEA 20%AVUV 20%AVDV 10%AVES 10%EquityEquity
PositionCategory/SectorWeight
VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities40%
VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities20%
AVUV
Avantis U.S. Small Cap Value ETF
Small Cap Value Equities, Actively Managed20%
AVDV
Avantis International Small Cap Value ETF
Foreign Small & Mid Cap Equities, Actively Managed10%
AVES
Avantis Emerging Markets Value ETF
Emerging Markets Equities, Actively Managed10%

Performance

The chart shows the growth of an initial investment of $10,000 in All World minus Small Cap Growth, 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


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
9.20%
10.86%
All World minus Small Cap Growth
Benchmark (^GSPC)
Portfolio components

Returns


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark0.33%11.48%14.66%16.16%1.11%N/A
All World minus Small Cap Growth0.75%9.41%11.33%17.80%0.97%N/A
VOO
Vanguard S&P 500 ETF
0.48%12.46%16.07%18.16%2.77%N/A
VEA
Vanguard FTSE Developed Markets ETF
1.65%5.08%9.62%21.13%-2.42%N/A
AVDV
Avantis International Small Cap Value ETF
2.32%6.11%8.85%20.95%-1.17%N/A
AVUV
Avantis U.S. Small Cap Value ETF
-1.30%11.12%5.78%13.19%3.37%N/A
AVES
Avantis Emerging Markets Value ETF
2.58%5.57%8.86%13.41%-3.84%N/A

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

AVESAVUVVOOAVDVVEA
AVES1.000.650.650.820.82
AVUV0.651.000.810.780.76
VOO0.650.811.000.760.83
AVDV0.820.780.761.000.95
VEA0.820.760.830.951.00

Sharpe Ratio

The current All World minus Small Cap Growth Sharpe ratio is 0.86. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.86

The Sharpe ratio of All World minus Small Cap Growth lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio-0.500.000.501.00AprilMayJuneJulyAugustSeptember
0.86
0.74
All World minus Small Cap Growth
Benchmark (^GSPC)
Portfolio components

Dividend yield

All World minus Small Cap Growth granted a 2.19% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
All World minus Small Cap Growth2.19%2.33%1.75%1.52%1.59%1.66%1.44%1.65%1.70%1.82%1.57%1.88%
VOO
Vanguard S&P 500 ETF
1.53%1.71%1.28%1.60%1.99%2.23%1.96%2.26%2.41%2.17%2.19%2.65%
VEA
Vanguard FTSE Developed Markets ETF
3.08%2.97%3.32%2.22%3.38%3.84%3.27%3.71%3.66%4.75%3.47%4.08%
AVDV
Avantis International Small Cap Value ETF
3.26%3.23%2.52%1.80%0.40%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AVUV
Avantis U.S. Small Cap Value ETF
1.42%1.76%1.31%1.26%0.40%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AVES
Avantis Emerging Markets Value ETF
3.46%3.74%0.65%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Expense Ratio

The All World minus Small Cap Growth features an expense ratio of 0.14%, 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%
0.05%
0.00%2.15%
0.03%
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
VOO
Vanguard S&P 500 ETF
0.85
VEA
Vanguard FTSE Developed Markets ETF
1.01
AVDV
Avantis International Small Cap Value ETF
0.99
AVUV
Avantis U.S. Small Cap Value ETF
0.43
AVES
Avantis Emerging Markets Value ETF
0.71

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-5.46%
-8.22%
All World minus Small Cap Growth
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the All World minus Small Cap Growth. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the All World minus Small Cap Growth is 24.24%, recorded on Sep 30, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-24.24%Jan 5, 2022186Sep 30, 2022
-5.99%Nov 9, 202116Dec 1, 202123Jan 4, 202239
-1.25%Oct 26, 20212Oct 27, 20213Nov 1, 20215
-0.88%Oct 4, 20211Oct 4, 20213Oct 7, 20214
-0.65%Oct 8, 20213Oct 12, 20212Oct 14, 20215

Volatility Chart

The current All World minus Small Cap Growth volatility is 3.35%, 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.


2.00%3.00%4.00%5.00%6.00%AprilMayJuneJulyAugustSeptember
3.35%
3.47%
All World minus Small Cap Growth
Benchmark (^GSPC)
Portfolio components