Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in US, 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 Every 3 months.
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The earliest data available for this chart is Sep 26, 2019, corresponding to the inception date of AVUV
Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -4.18% | -3.84% | -1.98% | 21.98% | 16.86% | 10.37% | 12.29% |
Portfolio US | -0.33% | -3.72% | 7.72% | 11.95% | 42.38% | 19.41% | 10.22% | — |
| Portfolio components: | ||||||||
AVUV Avantis US Small Cap Value ETF | 0.68% | -1.17% | 9.54% | 11.38% | 38.64% | 16.21% | 10.57% | — |
AVDV Avantis International Small Cap Value ETF | -0.97% | -4.69% | 7.34% | 13.75% | 53.23% | 23.93% | 13.58% | — |
QMOM Alpha Architect U.S. Quantitative Momentum ETF | -0.26% | -2.75% | 6.55% | 8.92% | 24.23% | 16.10% | 6.48% | 12.39% |
IMOM Alpha Architect International Quantitative Momentum ETF | -0.87% | -7.13% | 6.47% | 12.78% | 50.33% | 18.90% | 6.94% | 7.22% |
Monthly Returns
Based on dividend-adjusted daily data since Sep 27, 2019, US's average daily return is +0.06%, while the average monthly return is +1.27%. At this rate, your investment would double in approximately 4.6 years.
Historically, 60% of months were positive and 40% were negative. The best month was Nov 2020 with a return of +16.5%, while the worst month was Mar 2020 at -21.6%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 4 months.
On a daily basis, US closed higher 54% of trading days. The best single day was Mar 24, 2020 with a return of +9.8%, while the worst single day was Mar 16, 2020 at -10.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 7.00% | 7.06% | -7.15% | 1.28% | 7.72% | ||||||||
| 2025 | 3.52% | -2.73% | -1.46% | 0.77% | 6.21% | 4.77% | -0.11% | 5.19% | 2.79% | 0.32% | 2.36% | 1.97% | 25.84% |
| 2024 | -0.01% | 4.12% | 4.60% | -4.62% | 5.62% | -3.06% | 5.77% | 0.26% | 1.60% | -2.77% | 6.52% | -5.23% | 12.44% |
| 2023 | 6.73% | -1.62% | -2.35% | -0.44% | -4.32% | 6.96% | 4.96% | -3.08% | -3.70% | -4.16% | 9.39% | 7.89% | 15.76% |
| 2022 | -5.55% | 0.30% | 1.66% | -5.79% | 2.62% | -11.55% | 8.41% | -2.09% | -10.04% | 10.63% | 7.36% | -4.28% | -10.60% |
| 2021 | 3.60% | 4.89% | 1.80% | 3.16% | 1.01% | -0.76% | -0.90% | 2.55% | -2.88% | 3.92% | -3.90% | 2.82% | 15.92% |
Benchmark Metrics
US has an annualized alpha of 2.49%, beta of 0.94, and R² of 0.76 versus S&P 500 Index. Calculated based on daily prices since September 27, 2019.
- This portfolio captured 102.88% of S&P 500 Index gains but only 97.35% of its losses — a favorable profile for investors.
- This portfolio generated an annualized alpha of 2.49% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- With beta of 0.94 and R² of 0.76, this portfolio moves broadly in line with S&P 500 Index — much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 2.49%
- Beta
- 0.94
- R²
- 0.76
- Upside Capture
- 102.88%
- Downside Capture
- 97.35%
Expense Ratio
US has an expense ratio of 0.36%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Rank
US ranks 81 for risk / return — in the top 81% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.83 | 0.88 | +0.95 |
Sortino ratioReturn per unit of downside risk | 2.47 | 1.37 | +1.10 |
Omega ratioGain probability vs. loss probability | 1.37 | 1.21 | +0.17 |
Calmar ratioReturn relative to maximum drawdown | 2.79 | 1.39 | +1.40 |
Martin ratioReturn relative to average drawdown | 12.03 | 6.43 | +5.60 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
AVUV Avantis US Small Cap Value ETF | 62 | 1.17 | 1.73 | 1.24 | 1.90 | 7.48 |
AVDV Avantis International Small Cap Value ETF | 94 | 2.69 | 3.38 | 1.55 | 3.76 | 15.42 |
QMOM Alpha Architect U.S. Quantitative Momentum ETF | 33 | 0.63 | 0.99 | 1.14 | 1.30 | 4.45 |
IMOM Alpha Architect International Quantitative Momentum ETF | 88 | 2.10 | 2.67 | 1.40 | 3.02 | 12.68 |
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Dividends
Dividend yield
US provided a 1.88% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.88% | 2.00% | 2.96% | 2.25% | 3.00% | 1.38% | 1.00% | 0.46% | 0.17% | 0.25% | 0.18% |
| Portfolio components: | |||||||||||
AVUV Avantis US Small Cap Value ETF | 1.39% | 1.58% | 1.61% | 1.65% | 1.74% | 1.28% | 1.21% | 0.38% | 0.00% | 0.00% | 0.00% |
AVDV Avantis International Small Cap Value ETF | 2.97% | 3.05% | 4.31% | 3.29% | 3.17% | 2.39% | 1.67% | 0.36% | 0.00% | 0.00% | 0.00% |
QMOM Alpha Architect U.S. Quantitative Momentum ETF | 0.51% | 0.54% | 1.40% | 0.87% | 1.59% | 0.12% | 0.08% | 0.01% | 0.05% | 0.13% | 0.34% |
IMOM Alpha Architect International Quantitative Momentum ETF | 2.37% | 2.53% | 4.52% | 2.95% | 6.06% | 1.27% | 0.59% | 1.17% | 0.78% | 1.11% | 0.54% |
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 US. 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 US was 41.73%, occurring on Mar 18, 2020. Recovery took 142 trading sessions.
The current US drawdown is 6.21%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -41.73% | Jan 17, 2020 | 42 | Mar 18, 2020 | 142 | Oct 8, 2020 | 184 |
| -26.32% | Nov 9, 2021 | 221 | Sep 26, 2022 | 346 | Feb 12, 2024 | 567 |
| -17.7% | Dec 5, 2024 | 84 | Apr 8, 2025 | 33 | May 27, 2025 | 117 |
| -10.67% | Feb 27, 2026 | 16 | Mar 20, 2026 | — | — | — |
| -9.98% | Jul 17, 2024 | 14 | Aug 5, 2024 | 32 | Sep 19, 2024 | 46 |
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 4 assets, with an effective number of assets of 3.85, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| Benchmark | QMOM | IMOM | AVUV | AVDV | Portfolio | |
|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.72 | 0.66 | 0.72 | 0.71 | 0.82 |
| QMOM | 0.72 | 1.00 | 0.64 | 0.63 | 0.59 | 0.82 |
| IMOM | 0.66 | 0.64 | 1.00 | 0.52 | 0.78 | 0.80 |
| AVUV | 0.72 | 0.63 | 0.52 | 1.00 | 0.72 | 0.88 |
| AVDV | 0.71 | 0.59 | 0.78 | 0.72 | 1.00 | 0.88 |
| Portfolio | 0.82 | 0.82 | 0.80 | 0.88 | 0.88 | 1.00 |