All World minus Small Cap Growth (BT)
Uses mutual funds for more years of back testing (BT)
Asset Allocation
Performance
Performance Chart
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The earliest data available for this chart is Aug 27, 1999, corresponding to the inception date of VTMGX
Returns By Period
As of May 11, 2025, the All World minus Small Cap Growth (BT) returned 2.11% Year-To-Date and 8.70% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -3.77% | 7.44% | -5.60% | 8.37% | 14.12% | 10.46% |
| All World minus Small Cap Growth (BT) | 2.11% | 9.45% | -1.20% | 8.33% | 14.90% | 8.70% |
| Portfolio components: | ||||||
VFINX Vanguard 500 Index Fund Investor Shares | -3.34% | 7.56% | -4.99% | 9.73% | 15.84% | 12.35% |
VTMGX Vanguard Developed Markets Index Fund Admiral Shares | 11.97% | 10.67% | 8.08% | 9.24% | 11.56% | 5.54% |
VISVX Vanguard Small Cap Value Index Fund | -5.71% | 9.76% | -11.19% | 0.76% | 15.85% | 7.61% |
DISVX DFA International Small Cap Value Portfolio | 17.52% | 12.35% | 14.20% | 16.44% | 16.08% | 4.75% |
DFEVX DFA Emerging Markets Value Portfolio | 5.36% | 11.17% | 0.84% | 4.15% | 12.30% | 4.54% |
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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 3.16% | -0.40% | -2.72% | 0.32% | 1.83% | 2.11% | |||||||
| 2024 | -0.48% | 4.02% | 3.80% | -3.47% | 4.60% | 0.40% | 3.46% | 1.74% | 1.99% | -2.58% | 4.15% | -3.71% | 14.24% |
| 2023 | 7.55% | -2.76% | 1.06% | 1.33% | -1.97% | 6.30% | 4.20% | -2.93% | -3.96% | -3.26% | 8.58% | 5.91% | 20.59% |
| 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% | 4.71% | 21.99% |
| 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% |
| 2019 | 8.39% | 2.72% | 0.35% | 3.39% | -6.53% | 6.38% | -0.29% | -2.86% | 2.75% | 2.64% | 2.38% | 3.44% | 24.25% |
| 2018 | 4.97% | -4.44% | -1.27% | 0.77% | 0.81% | -0.73% | 3.07% | 0.86% | 0.07% | -8.07% | 1.55% | -8.24% | -11.01% |
| 2017 | 2.68% | 2.78% | 0.97% | 1.28% | 1.14% | 1.03% | 2.51% | 0.15% | 2.34% | 1.91% | 2.08% | 1.21% | 22.00% |
| 2016 | -5.74% | -0.36% | 8.20% | 1.66% | 0.17% | -0.38% | 4.64% | 0.52% | 0.77% | -1.67% | 2.79% | 1.90% | 12.54% |
| 2015 | -1.83% | 5.73% | -1.13% | 2.44% | 0.41% | -2.08% | -0.05% | -6.15% | -3.25% | 7.20% | -0.27% | -2.46% | -2.18% |
| 2014 | -3.70% | 4.90% | 1.00% | 0.38% | 2.07% | 2.30% | -2.12% | 2.97% | -3.93% | 1.63% | 1.09% | -1.19% | 5.10% |
Expense Ratio
All World minus Small Cap Growth (BT) has an expense ratio of 0.20%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of All World minus Small Cap Growth (BT) is 44, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
VFINX Vanguard 500 Index Fund Investor Shares | 0.52 | 0.88 | 1.13 | 0.56 | 2.16 |
VTMGX Vanguard Developed Markets Index Fund Admiral Shares | 0.58 | 0.95 | 1.13 | 0.75 | 2.20 |
VISVX Vanguard Small Cap Value Index Fund | 0.03 | 0.28 | 1.04 | 0.08 | 0.24 |
DISVX DFA International Small Cap Value Portfolio | 0.99 | 1.44 | 1.21 | 1.29 | 4.06 |
DFEVX DFA Emerging Markets Value Portfolio | 0.35 | 0.56 | 1.08 | 0.32 | 0.89 |
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Dividends
Dividend yield
All World minus Small Cap Growth (BT) provided a 2.28% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.28% | 2.34% | 2.38% | 2.27% | 2.07% | 1.89% | 2.20% | 2.35% | 2.07% | 2.17% | 2.20% | 2.23% |
| Portfolio components: | ||||||||||||
VFINX Vanguard 500 Index Fund Investor Shares | 1.23% | 1.14% | 1.36% | 1.57% | 1.15% | 1.84% | 1.77% | 1.94% | 1.69% | 1.92% | 1.99% | 1.74% |
VTMGX Vanguard Developed Markets Index Fund Admiral Shares | 2.91% | 3.34% | 3.14% | 2.88% | 3.14% | 2.02% | 3.03% | 3.33% | 2.77% | 3.06% | 2.91% | 3.70% |
VISVX Vanguard Small Cap Value Index Fund | 2.14% | 1.86% | 2.00% | 1.91% | 1.64% | 1.58% | 1.95% | 2.20% | 1.68% | 1.66% | 1.85% | 1.62% |
DISVX DFA International Small Cap Value Portfolio | 3.22% | 3.72% | 3.75% | 2.40% | 2.76% | 1.85% | 2.47% | 2.20% | 2.54% | 2.60% | 2.01% | 2.09% |
DFEVX DFA Emerging Markets Value Portfolio | 4.51% | 4.68% | 4.39% | 4.44% | 3.81% | 2.46% | 2.47% | 2.49% | 2.44% | 1.99% | 2.55% | 2.63% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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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 59.34%, occurring on Mar 9, 2009. Recovery took 983 trading sessions.
The current All World minus Small Cap Growth (BT) drawdown is 3.00%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -59.34% | Nov 1, 2007 | 339 | Mar 9, 2009 | 983 | Feb 1, 2013 | 1322 |
| -37.22% | Jan 21, 2020 | 44 | Mar 23, 2020 | 162 | Nov 10, 2020 | 206 |
| -36.34% | Mar 28, 2000 | 636 | Oct 9, 2002 | 307 | Dec 29, 2003 | 943 |
| -23.96% | Jan 5, 2022 | 186 | Sep 30, 2022 | 303 | Dec 14, 2023 | 489 |
| -20.75% | Jan 29, 2018 | 229 | Dec 24, 2018 | 232 | Nov 25, 2019 | 461 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 5 assets, with an effective number of assets of 3.85, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| ^GSPC | DFEVX | DISVX | VISVX | VTMGX | VFINX | Portfolio | |
|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.61 | 0.60 | 0.85 | 0.73 | 1.00 | 0.94 |
| DFEVX | 0.61 | 1.00 | 0.72 | 0.59 | 0.73 | 0.61 | 0.75 |
| DISVX | 0.60 | 0.72 | 1.00 | 0.61 | 0.85 | 0.60 | 0.77 |
| VISVX | 0.85 | 0.59 | 0.61 | 1.00 | 0.68 | 0.85 | 0.90 |
| VTMGX | 0.73 | 0.73 | 0.85 | 0.68 | 1.00 | 0.73 | 0.87 |
| VFINX | 1.00 | 0.61 | 0.60 | 0.85 | 0.73 | 1.00 | 0.94 |
| Portfolio | 0.94 | 0.75 | 0.77 | 0.90 | 0.87 | 0.94 | 1.00 |