Factor-Based All-Weather Portfolio 2.0

Asset Allocation

Position	Category/Sector	Target Weight
AVDV Avantis International Small Cap Value ETF	Foreign Small & Mid Cap Equities	10%
AVLV Avantis U.S. Large Cap Value ETF	Large Cap Value Equities	12.50%
AVUV Avantis US Small Cap Value ETF	Small Cap Value Equities	12.50%
DBMF iM DBi Managed Futures Strategy ETF	Hedge Fund, Actively Managed	10%
DFAI Dimensional International Core Equity Market ETF	Global Equities, Actively Managed	5%
EMXC iShares MSCI Emerging Markets ex China ETF	Emerging Markets Equities	5%
GLDM SPDR Gold MiniShares Trust	Precious Metals, Gold	10%
SGOV iShares 0-3 Month Treasury Bond ETF	Ultrashort Bond	5%
VGIT Vanguard Intermediate-Term Treasury ETF	Government Bonds	15%
VGLT Vanguard Long-Term Treasury ETF	Government Bonds, Long-Term Bond	10%
XLP State Street Consumer Staples Select Sector SPDR ETF	Consumer Staples Equities	5%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Factor-Based All-Weather Portfolio 2.0, 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 23, 2021, corresponding to the inception date of AVLV

Returns By Period

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.11%	-3.43%	-3.84%	-1.98%	16.08%	16.86%	10.37%	12.29%
Portfolio Factor-Based All-Weather Portfolio 2.0	-0.19%	-2.60%	5.44%	9.89%	22.92%	13.66%	—	—
Portfolio components:
VGIT Vanguard Intermediate-Term Treasury ETF	0.13%	-1.05%	0.03%	0.77%	4.08%	3.19%	0.33%	1.32%
VGLT Vanguard Long-Term Treasury ETF	0.49%	-2.51%	0.35%	-0.58%	0.18%	-1.61%	-4.79%	-0.82%
SGOV iShares 0-3 Month Treasury Bond ETF	0.04%	0.32%	0.92%	1.92%	4.10%	4.81%	3.42%	—
AVLV Avantis U.S. Large Cap Value ETF	-0.01%	-1.86%	7.14%	12.33%	24.40%	18.05%	—	—
AVUV Avantis US Small Cap Value ETF	0.68%	-0.56%	9.54%	12.30%	27.33%	16.21%	10.57%	—
XLP State Street Consumer Staples Select Sector SPDR ETF	0.53%	-6.14%	6.01%	6.51%	3.19%	5.77%	6.56%	7.15%
DFAI Dimensional International Core Equity Market ETF	-0.53%	-2.25%	3.47%	8.49%	28.71%	16.13%	9.65%	—
GLDM SPDR Gold MiniShares Trust	-1.93%	-8.33%	8.33%	21.17%	49.47%	32.89%	21.86%	—
DBMF iM DBi Managed Futures Strategy ETF	0.33%	0.36%	8.44%	15.46%	27.06%	10.31%	8.74%	—
AVDV Avantis International Small Cap Value ETF	-0.97%	-4.17%	7.34%	14.94%	49.48%	23.93%	13.58%	—

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Sep 24, 2021, Factor-Based All-Weather Portfolio 2.0's average daily return is +0.03%, while the average monthly return is +0.71%. At this rate, your investment would double in approximately 8.2 years.

Historically, 64% of months were positive and 36% were negative. The best month was Feb 2026 with a return of +5.3%, while the worst month was Sep 2022 at -5.9%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Factor-Based All-Weather Portfolio 2.0 closed higher 54% of trading days. The best single day was Apr 9, 2025 with a return of +4.2%, while the worst single day was Apr 4, 2025 at -3.0%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	5.27%	5.29%	-5.22%	0.36%									5.44%
2025	2.26%	0.28%	-0.07%	0.22%	2.22%	2.70%	0.07%	3.42%	2.96%	1.12%	2.28%	1.08%	20.08%
2024	-0.60%	1.51%	4.06%	-1.99%	2.66%	-0.06%	3.43%	0.58%	1.65%	-2.12%	2.76%	-3.40%	8.47%
2023	5.03%	-2.64%	0.23%	0.79%	-2.48%	3.38%	2.72%	-2.08%	-2.58%	-1.72%	4.79%	4.86%	10.21%
2022	-2.04%	0.46%	0.81%	-2.97%	0.44%	-5.18%	3.56%	-2.39%	-5.90%	4.41%	5.29%	-2.30%	-6.35%
2021									-1.25%	2.55%	-1.49%	2.56%	2.32%

Benchmark Metrics

Factor-Based All-Weather Portfolio 2.0 has an annualized alpha of 4.35%, beta of 0.43, and R² of 0.65 versus S&P 500 Index. Calculated based on daily prices since September 24, 2021.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (56.30%) than losses (51.81%) — typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 4.35% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
Beta of 0.43 indicates this portfolio moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.

Alpha: 4.35%

Beta: 0.43

R²: 0.65

Upside Capture: 56.30%

Downside Capture: 51.81%

Expense Ratio

Factor-Based All-Weather Portfolio 2.0 has an expense ratio of 0.23%, 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.

Top 10 holdings

DBMF

iM DBi Managed Futures Strategy ETF

EMXC

iShares MSCI Emerging Markets ex China ETF

AVDV

Avantis International Small Cap Value ETF

AVUV

Avantis US Small Cap Value ETF

DFAI

Dimensional International Core Equity Market ETF

AVLV

Avantis U.S. Large Cap Value ETF

GLDM

SPDR Gold MiniShares Trust

SGOV

iShares 0-3 Month Treasury Bond ETF

XLP

State Street Consumer Staples Select Sector SPDR ETF

VGIT

Vanguard Intermediate-Term Treasury ETF

Return for Risk

Risk / Return Rank

Factor-Based All-Weather Portfolio 2.0 ranks 89 for risk / return — in the top 89% 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.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	2.17	0.88	+1.29
Sortino ratio Return per unit of downside risk	2.98	1.37	+1.61
Omega ratio Gain probability vs. loss probability	1.44	1.21	+0.23
Calmar ratio Return relative to maximum drawdown	3.20	1.39	+1.81
Martin ratio Return relative to average drawdown	12.36	6.43	+5.93
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
VGIT Vanguard Intermediate-Term Treasury ETF	52	1.08	1.61	1.19	1.64	5.01
VGLT Vanguard Long-Term Treasury ETF	11	0.02	0.09	1.01	0.01	0.02
SGOV iShares 0-3 Month Treasury Bond ETF	100	20.63	286.00	202.83	412.76	4,634.41
AVLV Avantis U.S. Large Cap Value ETF	70	1.31	1.88	1.29	1.84	8.79
AVUV Avantis US Small Cap Value ETF	63	1.17	1.73	1.24	1.90	7.48
XLP State Street Consumer Staples Select Sector SPDR ETF	16	0.23	0.43	1.05	0.30	0.71
DFAI Dimensional International Core Equity Market ETF	83	1.72	2.36	1.35	2.66	10.31
GLDM SPDR Gold MiniShares Trust	81	1.80	2.23	1.33	2.59	9.40
DBMF iM DBi Managed Futures Strategy ETF	94	2.25	3.05	1.48	4.38	18.76
AVDV Avantis International Small Cap Value ETF	95	2.69	3.38	1.55	3.76	15.42

Sharpe Ratio

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.

Factor-Based All-Weather Portfolio 2.0 Sharpe ratios as of Apr 3, 2026 (values are recalculated daily):

1-Year: 2.17
All Time: 0.92

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 0.98 to 1.66, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Factor-Based All-Weather Portfolio 2.0 compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

Factor-Based All-Weather Portfolio 2.0 provided a 2.75% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.75%	2.88%	3.05%	2.40%	2.58%	2.22%	1.16%	1.89%	0.86%	0.69%	0.65%	0.70%
Portfolio components:
VGIT Vanguard Intermediate-Term Treasury ETF	3.82%	3.79%	3.67%	2.73%	1.74%	1.69%	2.23%	2.24%	2.05%	1.67%	1.69%	1.69%
VGLT Vanguard Long-Term Treasury ETF	4.52%	4.44%	4.33%	3.33%	2.84%	1.82%	2.15%	2.46%	2.71%	2.55%	2.69%	3.21%
SGOV iShares 0-3 Month Treasury Bond ETF	3.95%	4.10%	5.10%	4.87%	1.45%	0.03%	0.05%	0.00%	0.00%	0.00%	0.00%	0.00%
AVLV Avantis U.S. Large Cap Value ETF	1.20%	1.33%	1.58%	1.85%	2.00%	0.29%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
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%	0.00%
XLP State Street Consumer Staples Select Sector SPDR ETF	2.66%	2.75%	2.77%	2.63%	2.47%	2.28%	2.50%	2.57%	3.04%	2.62%	2.53%	2.52%
DFAI Dimensional International Core Equity Market ETF	2.38%	2.45%	2.72%	2.64%	2.72%	2.06%	0.09%	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%
DBMF iM DBi Managed Futures Strategy ETF	5.28%	5.91%	5.75%	2.91%	7.72%	10.38%	0.86%	9.35%	0.00%	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%	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.

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Worst Drawdowns

The table below displays the maximum drawdowns of the Factor-Based All-Weather Portfolio 2.0. 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 Factor-Based All-Weather Portfolio 2.0 was 13.95%, occurring on Sep 27, 2022. Recovery took 306 trading sessions.

The current Factor-Based All-Weather Portfolio 2.0 drawdown is 4.88%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-13.95%	Nov 10, 2021	221	Sep 27, 2022	306	Dec 14, 2023	527
-7.9%	Feb 19, 2025	35	Apr 8, 2025	23	May 12, 2025	58
-7.27%	Mar 2, 2026	15	Mar 20, 2026	—	—	—
-4.69%	Jul 17, 2024	16	Aug 7, 2024	12	Aug 23, 2024	28
-4.02%	Dec 5, 2024	11	Dec 19, 2024	38	Feb 18, 2025	49

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 11 assets, with an effective number of assets of 9.64, 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.

	Benchmark	SGOV	DBMF	VGLT	GLDM	VGIT	XLP	EMXC	AVUV	AVLV	AVDV	DFAI	Portfolio
Benchmark	1.00	0.00	0.08	0.07	0.10	0.07	0.43	0.72	0.74	0.87	0.68	0.76	0.77
SGOV	0.00	1.00	-0.02	0.03	0.02	0.03	0.02	-0.01	-0.04	-0.03	-0.01	-0.02	-0.02
DBMF	0.08	-0.02	1.00	-0.35	0.06	-0.39	-0.07	0.08	0.09	0.11	0.09	0.07	0.14
VGLT	0.07	0.03	-0.35	1.00	0.24	0.87	0.16	0.08	0.03	0.02	0.11	0.14	0.27
GLDM	0.10	0.02	0.06	0.24	1.00	0.34	0.11	0.32	0.12	0.12	0.38	0.32	0.46
VGIT	0.07	0.03	-0.39	0.87	0.34	1.00	0.19	0.10	0.03	0.02	0.15	0.17	0.29
XLP	0.43	0.02	-0.07	0.16	0.11	0.19	1.00	0.27	0.39	0.46	0.37	0.44	0.47
EMXC	0.72	-0.01	0.08	0.08	0.32	0.10	0.27	1.00	0.61	0.68	0.77	0.80	0.76
AVUV	0.74	-0.04	0.09	0.03	0.12	0.03	0.39	0.61	1.00	0.91	0.70	0.71	0.84
AVLV	0.87	-0.03	0.11	0.02	0.12	0.02	0.46	0.68	0.91	1.00	0.73	0.77	0.85
AVDV	0.68	-0.01	0.09	0.11	0.38	0.15	0.37	0.77	0.70	0.73	1.00	0.94	0.88
DFAI	0.76	-0.02	0.07	0.14	0.32	0.17	0.44	0.80	0.71	0.77	0.94	1.00	0.88
Portfolio	0.77	-0.02	0.14	0.27	0.46	0.29	0.47	0.76	0.84	0.85	0.88	0.88	1.00

The correlation results are calculated based on daily price changes starting from Sep 24, 2021

Factor-Based All-Weather Portfolio 2.0

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Top 10 holdings

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table