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All World minus Small Cap Growth (BT)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VFINX 40%VTMGX 20%VISVX 20%DISVX 10%DFEVX 10%EquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
DFEVX
DFA Emerging Markets Value Portfolio
Emerging Markets Diversified

10%

DISVX
DFA International Small Cap Value Portfolio
Foreign Small & Mid Cap Equities

10%

VFINX
Vanguard 500 Index Fund Investor Shares
Large Cap Blend Equities

40%

VISVX
Vanguard Small Cap Value Index Fund
Small Cap Value Equities

20%

VTMGX
Vanguard Developed Markets Index Fund Admiral Shares
Large Cap Growth Equities, Foreign Large Cap Equities

20%

S&P 500

Performance

Performance Chart

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


250.00%300.00%350.00%400.00%450.00%500.00%550.00%600.00%FebruaryMarchAprilMayJuneJuly
570.78%
308.30%
All World minus Small Cap Growth (BT)
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 27, 1999, corresponding to the inception date of VTMGX

Returns By Period

As of Jul 17, 2024, the All World minus Small Cap Growth (BT) returned 13.98% Year-To-Date and 9.07% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.41%0.33%13.74%21.39%13.11%10.77%
All World minus Small Cap Growth (BT)11.24%1.94%12.54%16.89%11.16%8.77%
VFINX
Vanguard 500 Index Fund Investor Shares
16.21%0.40%14.46%23.05%14.91%12.73%
VTMGX
Vanguard Developed Markets Index Fund Admiral Shares
6.58%1.87%9.28%10.34%7.03%4.76%
VISVX
Vanguard Small Cap Value Index Fund
7.46%5.20%10.30%13.39%10.30%8.44%
DISVX
DFA International Small Cap Value Portfolio
10.32%3.18%13.69%15.27%8.76%4.96%
DFEVX
DFA Emerging Markets Value Portfolio
8.63%0.39%13.86%13.51%6.24%3.71%

Monthly Returns

The table below presents the monthly returns of All World minus Small Cap Growth (BT), with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.48%4.02%3.80%-3.47%4.60%0.40%11.24%
20237.55%-2.76%1.05%1.33%-1.97%6.30%4.20%-2.93%-3.96%-3.26%8.58%5.92%20.60%
2022-3.75%-1.47%1.73%-7.03%1.03%-9.09%7.18%-3.75%-9.66%7.27%8.48%-3.99%-14.21%
2021-0.43%4.56%3.98%4.30%2.13%0.22%0.42%2.40%-3.54%4.58%-2.83%4.78%22.08%
2020-2.58%-8.39%-17.27%11.53%4.52%2.66%4.21%5.72%-3.06%-1.53%13.77%5.50%11.50%
20198.39%2.72%0.35%3.39%-6.53%6.38%-0.29%-2.86%2.75%2.64%2.38%3.69%24.55%
20184.97%-4.44%-1.27%0.77%0.81%-0.73%3.07%0.86%0.07%-8.07%1.55%-7.94%-10.71%
20172.68%2.78%0.97%1.28%1.14%1.03%2.51%0.15%2.34%1.91%2.08%1.53%22.39%
2016-5.74%-0.36%8.20%1.66%0.17%-0.38%4.64%0.52%0.77%-1.67%2.79%2.21%12.88%
2015-1.83%5.73%-1.13%2.44%0.41%-2.08%-0.05%-6.15%-3.25%7.20%-0.27%-2.31%-2.04%
2014-3.70%4.90%1.00%0.38%2.07%2.30%-2.12%2.97%-3.93%1.63%1.09%-1.02%5.28%
20134.93%0.52%2.86%2.15%0.43%-2.43%5.37%-2.63%5.54%4.13%1.72%2.11%27.19%

Expense Ratio

All World minus Small Cap Growth (BT) has an expense ratio of 0.20%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for DISVX: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
Expense ratio chart for DFEVX: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for VISVX: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for VFINX: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
Expense ratio chart for VTMGX: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of All World minus Small Cap Growth (BT) is 45, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of All World minus Small Cap Growth (BT) is 4545
All World minus Small Cap Growth (BT)
The Sharpe Ratio Rank of All World minus Small Cap Growth (BT) is 4545Sharpe Ratio Rank
The Sortino Ratio Rank of All World minus Small Cap Growth (BT) is 4747Sortino Ratio Rank
The Omega Ratio Rank of All World minus Small Cap Growth (BT) is 4545Omega Ratio Rank
The Calmar Ratio Rank of All World minus Small Cap Growth (BT) is 4949Calmar Ratio Rank
The Martin Ratio Rank of All World minus Small Cap Growth (BT) is 3838Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

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.


All World minus Small Cap Growth (BT)
Sharpe ratio
The chart of Sharpe ratio for All World minus Small Cap Growth (BT), currently valued at 1.48, compared to the broader market-1.000.001.002.003.004.005.001.48
Sortino ratio
The chart of Sortino ratio for All World minus Small Cap Growth (BT), currently valued at 2.16, compared to the broader market-2.000.002.004.006.002.16
Omega ratio
The chart of Omega ratio for All World minus Small Cap Growth (BT), currently valued at 1.26, compared to the broader market0.801.001.201.401.601.801.26
Calmar ratio
The chart of Calmar ratio for All World minus Small Cap Growth (BT), currently valued at 1.33, compared to the broader market0.002.004.006.008.0010.001.33
Martin ratio
The chart of Martin ratio for All World minus Small Cap Growth (BT), currently valued at 4.56, compared to the broader market0.0010.0020.0030.0040.004.56
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market-1.000.001.002.003.004.005.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.002.004.006.008.0010.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.0010.0020.0030.0040.006.82

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VFINX
Vanguard 500 Index Fund Investor Shares
1.972.781.351.887.69
VTMGX
Vanguard Developed Markets Index Fund Admiral Shares
0.821.251.150.582.35
VISVX
Vanguard Small Cap Value Index Fund
0.801.271.150.802.50
DISVX
DFA International Small Cap Value Portfolio
1.141.701.201.354.20
DFEVX
DFA Emerging Markets Value Portfolio
1.201.711.211.143.37

Sharpe Ratio

The current All World minus Small Cap Growth (BT) Sharpe ratio is 1.90. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.62 to 2.48, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of All World minus Small Cap Growth (BT) with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.48
1.82
All World minus Small Cap Growth (BT)
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

All World minus Small Cap Growth (BT) granted a 2.29% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
All World minus Small Cap Growth (BT)2.29%2.40%2.27%2.15%1.89%2.43%2.72%2.39%2.50%2.35%2.41%2.30%
VFINX
Vanguard 500 Index Fund Investor Shares
1.22%1.36%1.57%1.15%1.84%1.77%1.94%1.69%1.92%1.99%1.74%1.73%
VTMGX
Vanguard Developed Markets Index Fund Admiral Shares
3.30%3.14%2.88%3.14%2.02%3.03%3.33%2.77%3.06%2.91%3.70%2.61%
VISVX
Vanguard Small Cap Value Index Fund
1.97%2.00%1.90%1.63%1.58%1.95%2.20%1.68%1.66%1.85%1.62%1.71%
DISVX
DFA International Small Cap Value Portfolio
3.42%3.87%2.40%3.51%1.84%3.97%5.91%5.75%5.85%3.51%3.94%3.60%
DFEVX
DFA Emerging Markets Value Portfolio
4.11%4.39%4.44%3.82%2.47%3.28%2.49%2.44%1.99%2.55%2.62%3.85%

Drawdowns

Drawdowns Chart

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


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-2.40%
-2.86%
All World minus Small Cap Growth (BT)
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the All World minus Small Cap Growth (BT). A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the All World minus Small Cap Growth (BT) was 58.24%, occurring on Mar 9, 2009. Recovery took 962 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-58.24%Nov 1, 2007339Mar 9, 2009962Jan 2, 20131301
-37.22%Jan 21, 202044Mar 23, 2020162Nov 10, 2020206
-35.99%Mar 28, 2000636Oct 9, 2002306Dec 26, 2003942
-23.96%Jan 5, 2022186Sep 30, 2022303Dec 14, 2023489
-20.48%Jan 29, 2018229Dec 24, 2018226Nov 15, 2019455

Volatility

Volatility Chart

The current All World minus Small Cap Growth (BT) volatility is 2.43%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%FebruaryMarchAprilMayJuneJuly
2.43%
2.76%
All World minus Small Cap Growth (BT)
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

DFEVXVISVXDISVXVFINXVTMGX
DFEVX1.000.590.720.610.73
VISVX0.591.000.610.850.68
DISVX0.720.611.000.600.85
VFINX0.610.850.601.000.73
VTMGX0.730.680.850.731.00
The correlation results are calculated based on daily price changes starting from Aug 30, 1999