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SCV Comparison
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SCV Comparison

Last updated Sep 17, 2024

Asset Allocation

SLYV 12.5%FISVX 12.5%AVUV 12.5%DFSV 12.5%AVDV 12.5%RWJ 12.5%RFV 12.5%RZV 12.5%EquityEquity
PositionCategory/SectorWeight
AVDV
Avantis International Small Cap Value ETF		Foreign Small & Mid Cap Equities, Actively Managed
12.50%
AVUV
Avantis U.S. Small Cap Value ETF		Small Cap Value Equities, Actively Managed
12.50%
DFSV
Dimensional US Small Cap Value ETF		Small Cap Value Equities
12.50%
FISVX
Fidelity Small Cap Value Index Fund		Small Cap Value Equities
12.50%
RFV
Invesco S&P MidCap 400® Pure Value ETF		Small Cap Value Equities
12.50%
RWJ
Invesco S&P SmallCap 600 Revenue ETF		Small Cap Value Equities
12.50%
RZV
Invesco S&P SmallCap 600® Pure Value ETF		Small Cap Value Equities
12.50%
SLYV
SPDR S&P 600 Small Cap Value ETF		Small Cap Value Equities
12.50%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in SCV Comparison, 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

0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
7.71%
9.39%
SCV Comparison
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Feb 24, 2022, corresponding to the inception date of DFSV

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		18.10%1.42%9.39%26.58%13.42%10.88%
SCV Comparison5.21%1.43%7.71%18.61%N/AN/A
Portfolio components:
SLYV
SPDR S&P 600 Small Cap Value ETF		4.08%2.13%9.38%16.80%8.62%8.44%
FISVX
Fidelity Small Cap Value Index Fund		7.28%2.11%10.35%19.71%8.55%N/A
AVUV
Avantis U.S. Small Cap Value ETF		5.43%1.00%6.73%20.44%N/AN/A
DFSV
Dimensional US Small Cap Value ETF		4.22%0.84%6.56%17.85%N/AN/A
AVDV
Avantis International Small Cap Value ETF		12.24%2.44%9.20%20.00%N/AN/A
RWJ
Invesco S&P SmallCap 600 Revenue ETF		8.28%1.78%10.44%19.99%16.99%10.67%
RFV
Invesco S&P MidCap 400® Pure Value ETF		-0.69%-0.27%2.42%15.95%14.60%9.70%
RZV
Invesco S&P SmallCap 600® Pure Value ETF		0.71%1.37%6.44%17.12%11.92%6.97%

Monthly Returns

The table below presents the monthly returns of SCV Comparison, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-4.04%2.44%4.73%-6.11%5.26%-3.31%10.54%-1.94%5.21%
202311.66%-1.83%-6.49%-1.51%-3.83%9.48%6.81%-3.93%-4.78%-5.59%8.99%12.13%19.81%
20222.70%1.26%-6.09%2.91%-10.71%9.08%-3.18%-10.52%13.79%5.97%-5.79%-3.66%

Expense Ratio

SCV Comparison features an expense ratio of 0.28%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

RWJ
Invesco S&P SmallCap 600 Revenue ETF
Expense ratio chart for RWJ: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
AVDV
Avantis International Small Cap Value ETF
Expense ratio chart for AVDV: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%
RFV
Invesco S&P MidCap 400® Pure Value ETF
Expense ratio chart for RFV: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
RZV
Invesco S&P SmallCap 600® Pure Value ETF
Expense ratio chart for RZV: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
DFSV
Dimensional US Small Cap Value ETF
Expense ratio chart for DFSV: current value at 0.31% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.31%
AVUV
Avantis U.S. Small Cap Value ETF
Expense ratio chart for AVUV: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
SLYV
SPDR S&P 600 Small Cap Value ETF
Expense ratio chart for SLYV: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
FISVX
Fidelity Small Cap Value Index Fund
Expense ratio chart for FISVX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of SCV Comparison is 11, indicating that it is in the bottom 11% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of SCV Comparison is 1111
SCV Comparison
The Sharpe Ratio Rank of SCV Comparison is 88Sharpe Ratio Rank
The Sortino Ratio Rank of SCV Comparison is 88Sortino Ratio Rank
The Omega Ratio Rank of SCV Comparison is 88Omega Ratio Rank
The Calmar Ratio Rank of SCV Comparison is 2020Calmar Ratio Rank
The Martin Ratio Rank of SCV Comparison is 1010Martin 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.

SCV Comparison
Sharpe ratio
The chart of Sharpe ratio for SCV Comparison, currently valued at 0.87, compared to the broader market-1.000.001.002.003.004.000.87
Sortino ratio
The chart of Sortino ratio for SCV Comparison, currently valued at 1.36, compared to the broader market-2.000.002.004.001.36
Omega ratio
The chart of Omega ratio for SCV Comparison, currently valued at 1.16, compared to the broader market0.801.001.201.401.601.801.16
Calmar ratio
The chart of Calmar ratio for SCV Comparison, currently valued at 1.05, compared to the broader market0.002.004.006.008.001.05
Martin ratio
The chart of Martin ratio for SCV Comparison, currently valued at 4.16, compared to the broader market0.0010.0020.0030.004.16
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.96, compared to the broader market-1.000.001.002.003.004.001.96
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.65, compared to the broader market-2.000.002.004.002.65
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.77, compared to the broader market0.002.004.006.008.001.77
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 10.43, compared to the broader market0.0010.0020.0030.0010.43
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SLYV
SPDR S&P 600 Small Cap Value ETF		0.731.201.140.723.02
FISVX
Fidelity Small Cap Value Index Fund		0.861.381.160.864.04
AVUV
Avantis U.S. Small Cap Value ETF		0.911.421.171.534.50
DFSV
Dimensional US Small Cap Value ETF		0.811.291.151.063.91
AVDV
Avantis International Small Cap Value ETF		1.301.801.221.806.68
RWJ
Invesco S&P SmallCap 600 Revenue ETF		0.831.361.160.954.05
RFV
Invesco S&P MidCap 400® Pure Value ETF		0.721.121.130.893.18
RZV
Invesco S&P SmallCap 600® Pure Value ETF		0.651.101.130.742.83

Sharpe Ratio

The current SCV Comparison Sharpe ratio is 0.87. 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 1.63 to 2.29, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of SCV Comparison 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 Ratio0.501.001.502.002.503.00AprilMayJuneJulyAugustSeptember
0.87
1.96
SCV Comparison
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

SCV Comparison granted a 1.68% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
SCV Comparison1.68%1.77%1.93%2.28%1.08%0.87%0.87%1.10%0.52%1.29%1.24%0.54%
Portfolio components:
SLYV
SPDR S&P 600 Small Cap Value ETF		2.19%2.11%1.47%1.94%1.40%1.66%2.14%5.53%2.18%6.55%7.50%1.58%
FISVX
Fidelity Small Cap Value Index Fund		1.72%2.06%3.69%9.55%1.33%0.62%0.00%0.00%0.00%0.00%0.00%0.00%
AVUV
Avantis U.S. Small Cap Value ETF		1.63%1.65%1.74%1.28%1.21%0.38%0.00%0.00%0.00%0.00%0.00%0.00%
DFSV
Dimensional US Small Cap Value ETF		1.28%1.29%0.90%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AVDV
Avantis International Small Cap Value ETF		3.01%3.29%3.17%2.39%1.67%0.37%0.00%0.00%0.00%0.00%0.00%0.00%
RWJ
Invesco S&P SmallCap 600 Revenue ETF		1.23%1.34%1.02%0.61%0.89%1.22%1.44%0.91%0.61%0.74%0.57%1.27%
RFV
Invesco S&P MidCap 400® Pure Value ETF		1.26%1.27%2.05%1.60%1.52%1.71%1.39%1.36%0.88%1.79%1.19%0.80%
RZV
Invesco S&P SmallCap 600® Pure Value ETF		1.09%1.13%1.43%0.86%0.63%1.03%2.03%1.02%0.46%1.24%0.68%0.64%

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.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-3.26%
-0.60%
SCV Comparison
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the SCV Comparison. 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 SCV Comparison was 20.72%, occurring on Sep 26, 2022. Recovery took 87 trading sessions.

The current SCV Comparison drawdown is 3.26%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-20.72%Mar 30, 2022124Sep 26, 202287Jan 31, 2023211
-16.54%Feb 3, 2023185Oct 27, 202333Dec 14, 2023218
-9.66%Aug 1, 20243Aug 5, 2024———
-7.49%Apr 1, 202413Apr 17, 202460Jul 15, 202473
-7.41%Dec 28, 202313Jan 17, 202445Mar 21, 202458

Volatility

Volatility Chart

The current SCV Comparison volatility is 5.84%, 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%4.00%6.00%8.00%AprilMayJuneJulyAugustSeptember
5.84%
4.09%
SCV Comparison
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.
AVDVRFVRZVRWJFISVXAVUVSLYVDFSV
AVDV1.000.770.740.750.770.780.760.78
RFV0.771.000.940.940.940.950.950.96
RZV0.740.941.000.970.950.950.970.96
RWJ0.750.940.971.000.960.960.970.96
FISVX0.770.940.950.961.000.970.980.98
AVUV0.780.950.950.960.971.000.960.99
SLYV0.760.950.970.970.980.961.000.98
DFSV0.780.960.960.960.980.990.981.00
The correlation results are calculated based on daily price changes starting from Feb 25, 2022