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Aug-2024
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Aug-2024

Last updated Sep 20, 2024

Asset Allocation

AVUVX 25.5%VOO 21.5%VYMI 9%AVDV 9%DFFVX 8%VGT 4.5%EWX 2.25%AVEM 2.25%VFIFX 18%CryptocurrencyCryptocurrencyEquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
AVDV
Avantis International Small Cap Value ETF		Foreign Small & Mid Cap Equities, Actively Managed
9%
AVEM
Avantis Emerging Markets Equity ETF		Foreign Large Cap Equities
2.25%
AVUVX
Avantis U.S. Small Cap Value Fund		Small Cap Value Equities
25.50%
BTC-USD
Bitcoin
0%
DFFVX
DFA U.S. Targeted Value Portfolio		Small Cap Value Equities
8%
EWX
SPDR S&P Emerging Markets Small Cap ETF		Emerging Markets Equities
2.25%
VFIFX
Vanguard Target Retirement 2050 Fund		Target Retirement Date, Diversified Portfolio
18%
VGT
Vanguard Information Technology ETF		Technology Equities
4.50%
VOO
Vanguard S&P 500 ETF		Large Cap Growth Equities
21.50%
VYMI
Vanguard International High Dividend Yield ETF		Foreign Large Cap Equities, Dividend
9%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Aug-2024, 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%AprilMayJuneJulyAugustSeptember
8.25%
9.16%
Aug-2024
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 4, 2019, corresponding to the inception date of AVUVX

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.79%2.08%9.01%29.79%13.85%11.12%
Aug-202413.92%2.39%8.24%27.44%N/AN/A
Portfolio components:
VOO
Vanguard S&P 500 ETF		20.99%1.86%9.93%33.86%15.70%13.16%
AVUVX
Avantis U.S. Small Cap Value Fund		8.85%3.69%5.98%25.80%N/AN/A
VGT
Vanguard Information Technology ETF		20.21%-0.41%9.87%41.05%22.92%20.50%
VYMI
Vanguard International High Dividend Yield ETF		12.84%2.39%8.73%21.09%8.61%N/A
AVDV
Avantis International Small Cap Value ETF		14.21%2.29%9.93%24.20%N/AN/A
EWX
SPDR S&P Emerging Markets Small Cap ETF		5.91%1.57%6.80%14.40%8.94%4.66%
AVEM
Avantis Emerging Markets Equity ETF		10.85%0.02%8.35%20.80%6.95%N/A
VFIFX
Vanguard Target Retirement 2050 Fund		14.89%1.75%8.19%26.42%10.68%8.87%
DFFVX
DFA U.S. Targeted Value Portfolio		8.94%3.64%7.12%25.34%14.08%9.27%
BTC-USD
Bitcoin		48.92%2.89%-1.31%136.91%44.42%65.75%

Monthly Returns

The table below presents the monthly returns of Aug-2024, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.97%3.46%3.99%-3.94%4.56%0.35%4.71%0.21%13.92%
20238.05%-2.15%-0.68%0.53%-1.86%7.27%5.22%-2.78%-3.70%-3.45%8.48%7.22%22.96%
2022-3.35%-0.88%1.74%-7.05%1.88%-9.79%8.06%-3.37%-9.73%9.10%7.36%-4.80%-12.49%
20211.31%6.37%4.69%3.67%2.58%0.22%-0.36%2.33%-2.66%4.65%-2.31%4.38%27.36%
2020-3.86%-8.58%-19.13%14.38%4.87%3.20%4.04%6.50%-3.59%-0.04%14.62%6.21%14.37%
20194.47%4.47%

Expense Ratio

Aug-2024 has an expense ratio of 0.19%, 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.

EWX
SPDR S&P Emerging Markets Small Cap ETF
Expense ratio chart for EWX: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%
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%
AVEM
Avantis Emerging Markets Equity ETF
Expense ratio chart for AVEM: current value at 0.33% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.33%
DFFVX
DFA U.S. Targeted Value Portfolio
Expense ratio chart for DFFVX: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
AVUVX
Avantis U.S. Small Cap Value Fund
Expense ratio chart for AVUVX: 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%
VYMI
Vanguard International High Dividend Yield ETF
Expense ratio chart for VYMI: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%
VGT
Vanguard Information Technology ETF
Expense ratio chart for VGT: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
VFIFX
Vanguard Target Retirement 2050 Fund
Expense ratio chart for VFIFX: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
VOO
Vanguard S&P 500 ETF
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Aug-2024 is 23, indicating that it is in the bottom 23% 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 Aug-2024 is 2323
Aug-2024
The Sharpe Ratio Rank of Aug-2024 is 2323Sharpe Ratio Rank
The Sortino Ratio Rank of Aug-2024 is 1919Sortino Ratio Rank
The Omega Ratio Rank of Aug-2024 is 2525Omega Ratio Rank
The Calmar Ratio Rank of Aug-2024 is 1111Calmar Ratio Rank
The Martin Ratio Rank of Aug-2024 is 3737Martin 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.

Aug-2024
Sharpe ratio
The chart of Sharpe ratio for Aug-2024, currently valued at 1.70, compared to the broader market-1.000.001.002.003.004.001.70
Sortino ratio
The chart of Sortino ratio for Aug-2024, currently valued at 2.24, compared to the broader market-2.000.002.004.006.002.24
Omega ratio
The chart of Omega ratio for Aug-2024, currently valued at 1.31, compared to the broader market0.801.001.201.401.601.801.31
Calmar ratio
The chart of Calmar ratio for Aug-2024, currently valued at 0.79, compared to the broader market0.002.004.006.008.0010.000.79
Martin ratio
The chart of Martin ratio for Aug-2024, currently valued at 10.20, compared to the broader market0.0010.0020.0030.0010.20
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.23, compared to the broader market-1.000.001.002.003.004.002.23
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.00, compared to the broader market-2.000.002.004.006.003.00
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.40, compared to the broader market0.801.001.201.401.601.801.40
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.02, compared to the broader market0.002.004.006.008.0010.002.02
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 13.08, compared to the broader market0.0010.0020.0030.0013.08
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VOO
Vanguard S&P 500 ETF		2.423.211.441.2114.75
AVUVX
Avantis U.S. Small Cap Value Fund		0.951.381.180.474.53
VGT
Vanguard Information Technology ETF		1.401.901.250.676.58
VYMI
Vanguard International High Dividend Yield ETF		1.682.231.290.8110.61
AVDV
Avantis International Small Cap Value ETF		1.572.041.280.8210.34
EWX
SPDR S&P Emerging Markets Small Cap ETF		0.761.051.140.244.16
AVEM
Avantis Emerging Markets Equity ETF		1.341.821.240.306.94
VFIFX
Vanguard Target Retirement 2050 Fund		2.092.861.380.9613.02
DFFVX
DFA U.S. Targeted Value Portfolio		0.991.451.180.535.02
BTC-USD
Bitcoin		1.362.041.200.806.02

Sharpe Ratio

The current Aug-2024 Sharpe ratio is 1.70. 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 1.88 to 2.55, 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 Aug-2024 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 Ratio1.001.502.002.503.003.50AprilMayJuneJulyAugustSeptember
1.70
2.23
Aug-2024
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Aug-2024 granted a 1.95% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Aug-20241.95%2.15%4.14%5.47%1.53%1.67%1.89%1.56%1.47%1.47%1.32%1.34%
Portfolio components:
VOO
Vanguard S&P 500 ETF		1.26%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
AVUVX
Avantis U.S. Small Cap Value Fund		1.44%1.57%8.07%5.83%0.73%0.14%0.00%0.00%0.00%0.00%0.00%0.00%
VGT
Vanguard Information Technology ETF		0.64%0.65%0.91%0.64%0.82%1.11%1.29%0.99%1.31%1.28%1.12%1.05%
VYMI
Vanguard International High Dividend Yield ETF		4.35%4.58%4.70%4.30%3.22%4.20%4.29%3.21%2.39%0.00%0.00%0.00%
AVDV
Avantis International Small Cap Value ETF		2.96%3.29%3.17%2.39%1.67%0.37%0.00%0.00%0.00%0.00%0.00%0.00%
EWX
SPDR S&P Emerging Markets Small Cap ETF		2.15%2.32%3.00%2.77%2.24%2.73%3.26%2.30%2.46%3.04%2.74%2.33%
AVEM
Avantis Emerging Markets Equity ETF		2.76%3.06%2.77%2.61%1.60%0.34%0.00%0.00%0.00%0.00%0.00%0.00%
VFIFX
Vanguard Target Retirement 2050 Fund		1.92%2.21%2.38%12.83%1.84%2.20%2.51%1.92%2.04%2.36%2.03%1.84%
DFFVX
DFA U.S. Targeted Value Portfolio		2.14%2.26%5.17%8.12%1.52%3.82%5.95%5.58%4.24%5.84%5.52%6.45%
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%

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.

-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember00
Aug-2024
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Aug-2024. 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 Aug-2024 was 38.94%, occurring on Mar 23, 2020. Recovery took 231 trading sessions.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-38.94%Jan 21, 202063Mar 23, 2020231Nov 9, 2020294
-22.66%Jan 5, 2022269Sep 30, 2022299Jul 26, 2023568
-10.84%Aug 1, 202388Oct 27, 202345Dec 11, 2023133
-8.61%Jul 17, 202420Aug 5, 202445Sep 19, 202465
-6.65%Nov 9, 202123Dec 1, 202134Jan 4, 202257

Volatility

Volatility Chart

The current Aug-2024 volatility is 4.72%, 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%3.00%4.00%5.00%6.00%7.00%AprilMayJuneJulyAugustSeptember
4.72%
4.31%
Aug-2024
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.
BTC-USDVGTEWXAVUVXDFFVXAVEMAVDVVOOVYMIVFIFX
BTC-USD1.000.270.220.240.230.250.260.270.260.28
VGT0.271.000.560.500.510.610.570.870.560.81
EWX0.220.561.000.540.540.860.700.620.740.70
AVUVX0.240.500.541.000.970.550.710.680.700.73
DFFVX0.230.510.540.971.000.540.720.700.700.74
AVEM0.250.610.860.550.541.000.720.650.780.75
AVDV0.260.570.700.710.720.721.000.700.900.81
VOO0.270.870.620.680.700.650.701.000.710.92
VYMI0.260.560.740.700.700.780.900.711.000.82
VFIFX0.280.810.700.730.740.750.810.920.821.00
The correlation results are calculated based on daily price changes starting from Dec 5, 2019