Value/Small cap/Growth ETFs

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

Value/Small cap/Growth ETFs

Currency in USD · Last updated May 11, 2025

Asset Allocation

Position	Category/Sector	Target Weight
FITFX Fidelity Flex International Index Fund	Foreign Large Cap Equities	10%
IWD iShares Russell 1000 Value ETF	Large Cap Blend Equities	15%
IWM iShares Russell 2000 ETF	Small Cap Growth Equities	10%
PSOPX JPMorgan Small Cap Value Fund	Small Cap Value Equities	5%
QQQ Invesco QQQ	Large Cap Blend Equities	20%
VB Vanguard Small-Cap ETF	Small Cap Growth Equities	5%
VTV Vanguard Value ETF	Large Cap Value Equities	20%
VUG Vanguard Growth ETF	Large Cap Growth Equities	15%

Benchmark

Rebalance

Performance

Performance Chart

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The earliest data available for this chart is Mar 15, 2017, corresponding to the inception date of FITFX

Returns By Period

	YTD	1M	6M	1Y	5Y*	10Y*
^GSPC S&P 500	-3.77%	7.44%	-5.60%	8.37%	14.12%	10.46%
Value/Small cap/Growth ETFs	-2.25%	8.46%	-5.55%	7.40%	14.65%	N/A
Portfolio components:
VTV Vanguard Value ETF	-0.17%	5.29%	-4.89%	6.55%	14.52%	9.82%
IWD iShares Russell 1000 Value ETF	0.38%	6.69%	-4.38%	6.60%	13.55%	8.29%
QQQ Invesco QQQ	-4.41%	9.37%	-4.80%	11.06%	17.35%	17.24%
VUG Vanguard Growth ETF	-5.41%	9.75%	-4.74%	13.34%	16.55%	14.70%
IWM iShares Russell 2000 ETF	-8.92%	10.51%	-15.23%	-0.59%	10.21%	6.48%
VB Vanguard Small-Cap ETF	-6.65%	10.05%	-11.06%	1.87%	12.36%	7.93%
FITFX Fidelity Flex International Index Fund	10.59%	10.76%	6.63%	9.74%	10.58%	N/A
PSOPX JPMorgan Small Cap Value Fund	-8.34%	10.01%	-19.39%	-8.88%	7.52%	-0.14%

*Annualized

Monthly Returns

The table below presents the monthly returns of Value/Small cap/Growth ETFs, 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	3.24%	-1.48%	-4.90%	-0.92%	2.00%								-2.25%
2024	0.08%	4.68%	3.31%	-4.43%	4.56%	1.93%	3.03%	1.55%	1.80%	-1.36%	6.23%	-4.15%	17.93%
2023	7.83%	-2.23%	2.24%	0.71%	0.69%	6.57%	4.04%	-2.61%	-4.67%	-3.23%	9.27%	6.22%	26.36%
2022	-5.59%	-2.08%	2.77%	-8.72%	0.50%	-8.56%	8.56%	-3.56%	-9.35%	8.14%	5.90%	-5.93%	-18.52%
2021	0.38%	3.74%	3.54%	4.22%	1.02%	1.74%	0.60%	2.73%	-4.16%	5.85%	-1.82%	3.02%	22.47%
2020	-0.78%	-7.91%	-14.38%	12.71%	5.21%	2.98%	5.27%	7.05%	-3.79%	-1.54%	12.93%	5.09%	21.01%
2019	8.76%	3.37%	1.13%	3.99%	-6.98%	6.97%	1.13%	-2.67%	2.17%	2.67%	3.43%	2.86%	29.22%
2018	5.32%	-3.60%	-1.86%	0.57%	2.99%	0.42%	2.98%	3.07%	-0.26%	-7.77%	1.56%	-9.59%	-7.10%
2017			-0.36%	1.27%	1.07%	0.69%	2.28%	0.08%	2.39%	2.24%	2.51%	0.65%	13.52%

Expense Ratio

Value/Small cap/Growth ETFs has an expense ratio of 0.15%, 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.

PSOPX

JPMorgan Small Cap Value Fund

QQQ

Invesco QQQ

IWD

iShares Russell 1000 Value ETF

IWM

iShares Russell 2000 ETF

Vanguard Small-Cap ETF

VTV

Vanguard Value ETF

VUG

Vanguard Growth ETF

FITFX

Fidelity Flex International Index Fund

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Value/Small cap/Growth ETFs is 27, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin 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.

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
VTV Vanguard Value ETF	0.45	0.82	1.11	0.55	2.00
IWD iShares Russell 1000 Value ETF	0.42	0.78	1.11	0.50	1.80
QQQ Invesco QQQ	0.45	0.81	1.11	0.51	1.65
VUG Vanguard Growth ETF	0.54	0.91	1.13	0.59	2.00
IWM iShares Russell 2000 ETF	-0.06	0.12	1.01	-0.03	-0.10
VB Vanguard Small-Cap ETF	0.07	0.30	1.04	0.09	0.28
FITFX Fidelity Flex International Index Fund	0.63	1.01	1.14	0.79	2.46
PSOPX JPMorgan Small Cap Value Fund	-0.41	-0.38	0.95	-0.24	-0.78

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Value/Small cap/Growth ETFs Sharpe ratios as of May 11, 2025 (values are recalculated daily):

1-Year: 0.40
5-Year: 0.82
All Time: 0.59

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.41 to 0.94, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of Value/Small cap/Growth ETFs compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

Value/Small cap/Growth ETFs provided a 1.45% dividend yield over the last twelve months.

	TTM	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014
Portfolio	1.45%	1.43%	1.56%	1.63%	1.24%	1.38%	1.75%	1.80%	1.51%	1.49%	1.57%	1.44%
Portfolio components:
VTV Vanguard Value ETF	2.33%	2.31%	2.46%	2.52%	2.15%	2.56%	2.50%	2.73%	2.29%	2.44%	2.60%	2.22%
IWD iShares Russell 1000 Value ETF	1.89%	1.88%	2.02%	2.15%	1.62%	2.05%	2.45%	2.71%	2.09%	2.25%	2.47%	2.00%
QQQ Invesco QQQ	0.61%	0.56%	0.62%	0.80%	0.43%	0.55%	0.74%	0.91%	0.84%	1.06%	0.99%	1.41%
VUG Vanguard Growth ETF	0.50%	0.47%	0.58%	0.70%	0.48%	0.66%	0.95%	1.32%	1.14%	1.39%	1.30%	1.21%
IWM iShares Russell 2000 ETF	1.23%	1.15%	1.35%	1.48%	0.94%	1.04%	1.26%	1.40%	1.26%	1.38%	1.54%	1.26%
VB Vanguard Small-Cap ETF	1.51%	1.30%	1.55%	1.59%	1.24%	1.14%	1.39%	1.67%	1.35%	1.50%	1.48%	1.43%
FITFX Fidelity Flex International Index Fund	2.51%	2.77%	2.67%	2.60%	2.25%	1.50%	3.35%	1.92%	1.70%	0.00%	0.00%	0.00%
PSOPX JPMorgan Small Cap Value Fund	1.03%	0.96%	1.46%	1.10%	0.50%	0.74%	1.17%	1.12%	0.70%	0.67%	1.11%	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.

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Worst Drawdowns

The table below displays the maximum drawdowns of the Value/Small cap/Growth ETFs. 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 Value/Small cap/Growth ETFs was 34.71%, occurring on Mar 23, 2020. Recovery took 99 trading sessions.

The current Value/Small cap/Growth ETFs drawdown is 6.98%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-34.71%	Feb 20, 2020	23	Mar 23, 2020	99	Aug 12, 2020	122
-25.66%	Nov 9, 2021	225	Sep 30, 2022	305	Dec 18, 2023	530
-20.88%	Aug 30, 2018	80	Dec 24, 2018	131	Jul 3, 2019	211
-18.39%	Feb 20, 2025	34	Apr 8, 2025	—	—	—
-9.82%	Jan 29, 2018	9	Feb 8, 2018	110	Jul 18, 2018	119

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 8 assets, with an effective number of assets of 6.67, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

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

	^GSPC	FITFX	QQQ	VUG	PSOPX	VTV	IWM	IWD	VB	Portfolio
^GSPC	1.00	0.76	0.91	0.94	0.75	0.85	0.82	0.87	0.86	0.98
FITFX	0.76	1.00	0.68	0.70	0.66	0.71	0.71	0.74	0.73	0.81
QQQ	0.91	0.68	1.00	0.98	0.57	0.62	0.69	0.65	0.72	0.88
VUG	0.94	0.70	0.98	1.00	0.60	0.65	0.72	0.69	0.76	0.90
PSOPX	0.75	0.66	0.57	0.60	1.00	0.83	0.94	0.86	0.93	0.83
VTV	0.85	0.71	0.62	0.65	0.83	1.00	0.81	0.98	0.84	0.87
IWM	0.82	0.71	0.69	0.72	0.94	0.81	1.00	0.85	0.98	0.90
IWD	0.87	0.74	0.65	0.69	0.86	0.98	0.85	1.00	0.89	0.90
VB	0.86	0.73	0.72	0.76	0.93	0.84	0.98	0.89	1.00	0.93
Portfolio	0.98	0.81	0.88	0.90	0.83	0.87	0.90	0.90	0.93	1.00

The correlation results are calculated based on daily price changes starting from Mar 16, 2017

Performance Analysis

Risk Analysis

Optimization

Factor Model

Value/Small cap/Growth ETFs

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Expense Ratio

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

Risk-Adjusted Performance Indicators

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table

Performance Analysis

Risk Analysis

Optimization

Factor Model

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