PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions

All World minus Small Cap Growth (BTC/GOLD added)

Last updated Feb 24, 2024

Asset Allocation


GLDM 5%BTC-USD 5%SPLG 36%VEA 18%AVUV 18%AVDV 9%AVES 9%CommodityCommodityCryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
GLDM
SPDR Gold MiniShares Trust
Precious Metals, Gold

5%

BTC-USD
Bitcoin

5%

SPLG
SPDR Portfolio S&P 500 ETF
Large Cap Blend Equities

36%

VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities

18%

AVUV
Avantis U.S. Small Cap Value ETF
Small Cap Value Equities, Actively Managed

18%

AVDV
Avantis International Small Cap Value ETF
Foreign Small & Mid Cap Equities, Actively Managed

9%

AVES
Avantis Emerging Markets Value ETF
Emerging Markets Equities, Actively Managed

9%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in All World minus Small Cap Growth (BTC/GOLD added), 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


-5.00%0.00%5.00%10.00%15.00%20.00%SeptemberOctoberNovemberDecember2024February
16.55%
18.14%
All World minus Small Cap Growth (BTC/GOLD added)
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 30, 2021, corresponding to the inception date of AVES

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.69%4.52%15.50%26.83%12.76%10.70%
All World minus Small Cap Growth (BTC/GOLD added)3.57%3.55%15.56%24.05%N/AN/A
BTC-USD
Bitcoin
20.03%20.45%94.33%115.32%42.96%36.86%
SPLG
SPDR Portfolio S&P 500 ETF
6.83%4.19%15.57%30.13%14.63%12.88%
VEA
Vanguard FTSE Developed Markets ETF
1.98%2.99%9.92%14.75%6.83%4.70%
AVUV
Avantis U.S. Small Cap Value ETF
-1.74%-0.61%11.49%11.60%N/AN/A
AVDV
Avantis International Small Cap Value ETF
-0.88%0.47%7.89%10.49%N/AN/A
GLDM
SPDR Gold MiniShares Trust
-1.30%0.85%6.01%12.32%8.77%N/A
AVES
Avantis Emerging Markets Value ETF
2.58%5.65%10.63%16.32%N/AN/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.57%
20234.29%-3.27%-3.44%-1.13%8.30%6.57%

Sharpe Ratio

The current All World minus Small Cap Growth (BTC/GOLD added) Sharpe ratio is 1.63. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.63

The Sharpe ratio of All World minus Small Cap Growth (BTC/GOLD added) 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 Ratio0.000.501.001.502.00SeptemberOctoberNovemberDecember2024February
1.63
2.23
All World minus Small Cap Growth (BTC/GOLD added)
Benchmark (^GSPC)
Portfolio components

Dividend yield

All World minus Small Cap Growth (BTC/GOLD added) granted a 1.99% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
All World minus Small Cap Growth (BTC/GOLD added)1.99%2.04%2.06%1.52%1.29%1.29%1.41%1.13%1.26%1.24%1.31%1.08%
BTC-USD
Bitcoin
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPLG
SPDR Portfolio S&P 500 ETF
1.35%1.44%1.69%1.25%1.54%1.79%2.23%1.75%1.97%1.98%1.79%1.71%
VEA
Vanguard FTSE Developed Markets ETF
3.09%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%
AVUV
Avantis U.S. Small Cap Value ETF
1.68%1.65%1.74%1.28%1.21%0.38%0.00%0.00%0.00%0.00%0.00%0.00%
AVDV
Avantis International Small Cap Value ETF
3.31%3.29%3.17%2.39%1.67%0.37%0.00%0.00%0.00%0.00%0.00%0.00%
GLDM
SPDR Gold MiniShares Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AVES
Avantis Emerging Markets Value ETF
3.86%3.96%3.70%0.62%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 (BTC/GOLD added) 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.


0.36%
0.00%2.15%
0.25%
0.00%2.15%
0.18%
0.00%2.15%
0.05%
0.00%2.15%
0.03%
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
^GSPC
S&P 500
2.23
All World minus Small Cap Growth (BTC/GOLD added)
1.63
BTC-USD
Bitcoin
2.76
SPLG
SPDR Portfolio S&P 500 ETF
1.71
VEA
Vanguard FTSE Developed Markets ETF
0.61
AVUV
Avantis U.S. Small Cap Value ETF
1.03
AVDV
Avantis International Small Cap Value ETF
0.63
GLDM
SPDR Gold MiniShares Trust
0.44
AVES
Avantis Emerging Markets Value ETF
0.76

Asset Correlations Table

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

GLDMBTC-USDSPLGAVUVAVESAVDVVEA
GLDM1.000.090.080.140.310.340.30
BTC-USD0.091.000.330.300.300.310.34
SPLG0.080.331.000.740.610.680.76
AVUV0.140.300.741.000.590.730.71
AVES0.310.300.610.591.000.760.78
AVDV0.340.310.680.730.761.000.92
VEA0.300.340.760.710.780.921.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2024February00
All World minus Small Cap Growth (BTC/GOLD added)
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the All World minus Small Cap Growth (BTC/GOLD added). 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 (BTC/GOLD added) was 26.49%, occurring on Oct 2, 2022. Recovery took 437 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-26.49%Nov 9, 2021328Oct 2, 2022437Dec 13, 2023765
-3.36%Dec 28, 202321Jan 17, 202412Jan 29, 202433
-1.83%Feb 13, 20241Feb 13, 20242Feb 15, 20243
-1.58%Oct 26, 20212Oct 27, 20215Nov 1, 20217
-1.42%Jan 30, 20242Jan 31, 20248Feb 8, 202410

Volatility Chart

The current All World minus Small Cap Growth (BTC/GOLD added) volatility is 3.00%, 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%4.50%5.00%SeptemberOctoberNovemberDecember2024February
3.00%
3.90%
All World minus Small Cap Growth (BTC/GOLD added)
Benchmark (^GSPC)
Portfolio components
0 comments