All World minus Small Cap Growth
Asset Allocation
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
Returns
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | 0.33% | 11.48% | 14.66% | 16.16% | 1.11% | N/A |
| All World minus Small Cap Growth | 0.75% | 9.41% | 11.33% | 17.80% | 0.97% | N/A |
| Portfolio components: | ||||||
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 |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| AVES | AVUV | VOO | AVDV | VEA | |
|---|---|---|---|---|---|
| AVES | 1.00 | 0.65 | 0.65 | 0.82 | 0.82 |
| AVUV | 0.65 | 1.00 | 0.81 | 0.78 | 0.76 |
| VOO | 0.65 | 0.81 | 1.00 | 0.76 | 0.83 |
| AVDV | 0.82 | 0.78 | 0.76 | 1.00 | 0.95 |
| VEA | 0.82 | 0.76 | 0.83 | 0.95 | 1.00 |
Dividend yield
All World minus Small Cap Growth granted a 2.19% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| All World minus Small Cap Growth | 2.19% | 2.33% | 1.75% | 1.52% | 1.59% | 1.66% | 1.44% | 1.65% | 1.70% | 1.82% | 1.57% | 1.88% |
| Portfolio components: | ||||||||||||
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.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer 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.
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, 2022 | 186 | Sep 30, 2022 | — | — | — |
| -5.99% | Nov 9, 2021 | 16 | Dec 1, 2021 | 23 | Jan 4, 2022 | 39 |
| -1.25% | Oct 26, 2021 | 2 | Oct 27, 2021 | 3 | Nov 1, 2021 | 5 |
| -0.88% | Oct 4, 2021 | 1 | Oct 4, 2021 | 3 | Oct 7, 2021 | 4 |
| -0.65% | Oct 8, 2021 | 3 | Oct 12, 2021 | 2 | Oct 14, 2021 | 5 |
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.