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All World minus Small Cap Growth (BT)

Last updated Oct 2, 2023

Uses mutual funds for more years of back testing (BT)

Asset Allocation


VFINX 40%VTMGX 20%VISVX 20%DISVX 10%DFEVX 10%EquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
VFINX
Vanguard 500 Index Fund Investor Shares
Large Cap Blend Equities40%
VTMGX
Vanguard Developed Markets Index Fund Admiral Shares
Large Cap Growth Equities, Foreign Large Cap Equities20%
VISVX
Vanguard Small Cap Value Index Fund
Small Cap Value Equities20%
DISVX
DFA International Small Cap Value Portfolio
Foreign Small & Mid Cap Equities10%
DFEVX
DFA Emerging Markets Value Portfolio
Emerging Markets Diversified10%

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


-2.00%0.00%2.00%4.00%6.00%8.00%10.00%12.00%MayJuneJulyAugustSeptember
1.89%
3.97%
All World minus Small Cap Growth (BT)
Benchmark (^GSPC)
Portfolio components

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 month6 monthsYear-To-Date1 year5 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%
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%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20231.05%1.33%-1.97%6.30%4.20%-2.93%

Sharpe Ratio

The current All World minus Small Cap Growth (BT) Sharpe ratio is 1.13. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.001.13

The Sharpe ratio of All World minus Small Cap Growth (BT) 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-0.500.000.501.00MayJuneJulyAugustSeptember
1.13
0.89
All World minus Small Cap Growth (BT)
Benchmark (^GSPC)
Portfolio components

Dividend yield

All World minus Small Cap Growth (BT) granted a 2.13% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
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%
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.


0.46%
0.00%2.15%
0.45%
0.00%2.15%
0.19%
0.00%2.15%
0.14%
0.00%2.15%
0.07%
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
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

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

DFEVXVISVXDISVXVFINXVTMGX
DFEVX1.000.600.720.610.73
VISVX0.601.000.600.860.68
DISVX0.720.601.000.600.85
VFINX0.610.860.601.000.73
VTMGX0.730.680.850.731.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptember
-8.12%
-10.60%
All World minus Small Cap Growth (BT)
Benchmark (^GSPC)
Portfolio components

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, 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, 2022
-20.48%Jan 29, 2018229Dec 24, 2018226Nov 15, 2019455

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.


2.00%2.50%3.00%3.50%4.00%4.50%5.00%5.50%MayJuneJulyAugustSeptember
2.96%
3.17%
All World minus Small Cap Growth (BT)
Benchmark (^GSPC)
Portfolio components