All World minus Small Cap Growth (BT)
Uses mutual funds for more years of back testing (BT)
Asset Allocation
Performance
The chart shows the growth of an initial investment of $10,000 in All World minus Small Cap Growth (BT), 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
As of Oct 2, 2023, the All World minus Small Cap Growth (BT) returned 8.15% Year-To-Date and 8.03% of annualized return in the last 10 years.
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -5.04% | 4.35% | 11.68% | 19.59% | 7.99% | 9.86% |
| All World minus Small Cap Growth (BT) | -4.59% | 2.33% | 8.15% | 20.82% | 6.30% | 8.03% |
| Portfolio components: | ||||||
VFINX Vanguard 500 Index Fund Investor Shares | -4.95% | 5.11% | 12.95% | 21.44% | 9.81% | 11.85% |
VTMGX Vanguard Developed Markets Index Fund Admiral Shares | -3.84% | -1.69% | 5.89% | 24.00% | 3.25% | 4.00% |
VISVX Vanguard Small Cap Value Index Fund | -5.89% | 1.37% | 1.97% | 13.78% | 5.08% | 8.01% |
DISVX DFA International Small Cap Value Portfolio | -3.32% | 0.32% | 6.87% | 27.48% | 2.30% | 4.37% |
DFEVX DFA Emerging Markets Value Portfolio | -3.22% | 3.02% | 6.87% | 17.85% | 2.61% | 2.90% |
| Returns over 1 year are annualized | ||||||
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 1.05% | 1.33% | -1.97% | 6.30% | 4.20% | -2.93% |
Dividend yield
All World minus Small Cap Growth (BT) granted a 2.13% 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 (BT) | 2.13% | 2.30% | 2.24% | 2.00% | 2.65% | 3.05% | 2.76% | 2.98% | 2.86% | 3.04% | 2.96% | 3.45% |
| Portfolio components: | ||||||||||||
VFINX Vanguard 500 Index Fund Investor Shares | 1.48% | 1.59% | 1.18% | 1.91% | 1.88% | 2.10% | 1.86% | 2.16% | 2.28% | 2.03% | 2.06% | 2.49% |
VTMGX Vanguard Developed Markets Index Fund Admiral Shares | 3.16% | 2.94% | 3.29% | 2.19% | 3.36% | 3.81% | 3.27% | 3.71% | 3.64% | 4.76% | 3.47% | 4.09% |
VISVX Vanguard Small Cap Value Index Fund | 2.24% | 1.93% | 1.69% | 1.66% | 2.09% | 2.41% | 1.88% | 1.89% | 2.14% | 1.91% | 2.05% | 3.03% |
DISVX DFA International Small Cap Value Portfolio | 2.41% | 2.44% | 3.66% | 1.99% | 4.37% | 6.77% | 6.97% | 7.51% | 4.78% | 5.55% | 5.27% | 5.38% |
DFEVX DFA Emerging Markets Value Portfolio | 2.20% | 4.49% | 4.03% | 2.71% | 3.70% | 2.91% | 2.92% | 2.44% | 3.20% | 3.37% | 5.07% | 4.92% |
Expense Ratio
The All World minus Small Cap Growth (BT) has a high expense ratio of 0.20%, indicating higher-than-average management fees. 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 | |
|---|---|---|---|---|---|
VFINX Vanguard 500 Index Fund Investor Shares | 0.99 | ||||
VTMGX Vanguard Developed Markets Index Fund Admiral Shares | 1.34 | ||||
VISVX Vanguard Small Cap Value Index Fund | 0.52 | ||||
DISVX DFA International Small Cap Value Portfolio | 1.60 | ||||
DFEVX DFA Emerging Markets Value Portfolio | 1.30 |
Asset Correlations Table
| DFEVX | VISVX | DISVX | VFINX | VTMGX | |
|---|---|---|---|---|---|
| DFEVX | 1.00 | 0.60 | 0.72 | 0.61 | 0.73 |
| VISVX | 0.60 | 1.00 | 0.60 | 0.86 | 0.68 |
| DISVX | 0.72 | 0.60 | 1.00 | 0.60 | 0.85 |
| VFINX | 0.61 | 0.86 | 0.60 | 1.00 | 0.73 |
| VTMGX | 0.73 | 0.68 | 0.85 | 0.73 | 1.00 |
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 (BT). 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 (BT) is 58.25%, recorded on Mar 9, 2009. It took 962 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -58.25% | Nov 1, 2007 | 339 | Mar 9, 2009 | 962 | Jan 2, 2013 | 1301 |
| -37.22% | Jan 21, 2020 | 44 | Mar 23, 2020 | 162 | Nov 10, 2020 | 206 |
| -35.99% | Mar 28, 2000 | 636 | Oct 9, 2002 | 306 | Dec 26, 2003 | 942 |
| -23.96% | Jan 5, 2022 | 186 | Sep 30, 2022 | — | — | — |
| -20.48% | Jan 29, 2018 | 229 | Dec 24, 2018 | 226 | Nov 15, 2019 | 455 |
Volatility Chart
The current All World minus Small Cap Growth (BT) volatility is 2.96%, 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.