Factor-Based All-Weather Portfolio 2.0 (50 bonds - current)

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	15%
AVUV Avantis US Small Cap Value ETF	Small Cap Value Equities	10%
DBMF iM DBi Managed Futures Strategy ETF	Hedge Fund, Actively Managed	10%
DFAI Dimensional International Core Equity Market ETF	Global Equities, Actively Managed	10%
EMXC iShares MSCI Emerging Markets ex China ETF	Emerging Markets Equities	5%
IEAA.L iShares Core Euro Corporate Bond UCITS ETF (Acc)	European Corporate Bonds	10%
VGIT Vanguard Intermediate-Term Treasury ETF	Government Bonds	20%
VGSH Vanguard Short-Term Treasury ETF	Government Bonds, Short-Term Bond	10%

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 (50 bonds - current), 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 6 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	0.72%	-3.54%	-3.95%	-2.09%	15.95%	16.96%	10.34%	12.24%
Portfolio Factor-Based All-Weather Portfolio 2.0 (50 bonds - current)	0.57%	-1.41%	4.28%	8.05%	21.13%	12.40%	—	—
Portfolio components:
VGIT Vanguard Intermediate-Term Treasury ETF	-0.07%	-1.27%	-0.10%	0.70%	3.83%	3.27%	0.31%	1.31%
DFAI Dimensional International Core Equity Market ETF	1.49%	-4.63%	4.03%	9.10%	29.81%	16.70%	9.76%	—
DBMF iM DBi Managed Futures Strategy ETF	0.20%	-3.07%	8.09%	15.25%	26.29%	9.97%	8.67%	—
AVDV Avantis International Small Cap Value ETF	1.88%	-6.55%	8.40%	16.24%	51.07%	24.85%	13.80%	—
EMXC iShares MSCI Emerging Markets ex China ETF	1.11%	-7.62%	9.42%	18.97%	48.03%	20.23%	8.43%	—
AVUV Avantis US Small Cap Value ETF	0.18%	-2.36%	8.80%	11.45%	28.45%	16.26%	10.42%	—
AVLV Avantis U.S. Large Cap Value ETF	0.43%	-3.05%	7.15%	12.61%	25.38%	18.44%	—	—
VGSH Vanguard Short-Term Treasury ETF	-0.02%	-0.33%	0.25%	1.24%	3.68%	3.97%	1.79%	1.74%
IEAA.L iShares Core Euro Corporate Bond UCITS ETF (Acc)	0.84%	-2.29%	-1.87%	-1.44%	9.92%	6.66%	-0.53%	—

*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 (50 bonds - current)'s average daily return is +0.03%, while the average monthly return is +0.59%. At this rate, your investment would double in approximately 9.8 years.

Historically, 57% of months were positive and 43% were negative. The best month was Nov 2022 with a return of +5.0%, while the worst month was Jun 2022 at -5.8%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Factor-Based All-Weather Portfolio 2.0 (50 bonds - current) closed higher 54% of trading days. The best single day was Apr 9, 2025 with a return of +3.8%, while the worst single day was Apr 4, 2025 at -3.1%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	4.08%	4.05%	-4.25%	0.57%									4.28%
2025	1.87%	-0.24%	-0.51%	0.82%	2.66%	3.16%	-0.09%	3.31%	1.85%	0.80%	1.73%	1.41%	18.01%
2024	-0.50%	1.56%	3.29%	-2.16%	2.64%	-0.21%	2.88%	0.52%	1.26%	-2.53%	2.62%	-2.92%	6.36%
2023	4.64%	-2.34%	-0.23%	0.90%	-2.42%	3.64%	2.84%	-1.76%	-1.77%	-2.01%	4.57%	4.55%	10.61%
2022	-2.02%	-0.44%	0.56%	-3.01%	1.40%	-5.75%	3.96%	-2.71%	-5.64%	4.84%	4.95%	-2.20%	-6.60%
2021									-1.36%	2.11%	-1.97%	2.14%	0.85%

Benchmark Metrics

Factor-Based All-Weather Portfolio 2.0 (50 bonds - current) has an annualized alpha of 2.79%, beta of 0.45, and R² of 0.73 versus S&P 500 Index. Calculated based on daily prices since September 24, 2021.

This portfolio participated in 53.03% of S&P 500 Index downside but only 52.09% of its upside — more exposed to losses than it benefited from rallies.
This portfolio generated an annualized alpha of 2.79% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
Beta of 0.45 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: 2.79%

Beta: 0.45

R²: 0.73

Upside Capture: 52.09%

Downside Capture: 53.03%

Expense Ratio

Factor-Based All-Weather Portfolio 2.0 (50 bonds - current) has an expense ratio of 0.24%, 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.

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

IEAA.L

iShares Core Euro Corporate Bond UCITS ETF (Acc)

DFAI

Dimensional International Core Equity Market ETF

AVLV

Avantis U.S. Large Cap Value ETF

VGIT

Vanguard Intermediate-Term Treasury ETF

VGSH

Vanguard Short-Term Treasury ETF

Return for Risk

Risk / Return Rank

Factor-Based All-Weather Portfolio 2.0 (50 bonds - current) ranks 94 for risk / return — in the top 94% 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	2.20	0.92	+1.29
Sortino ratio Return per unit of downside risk	3.07	1.41	+1.66
Omega ratio Gain probability vs. loss probability	1.45	1.21	+0.24
Calmar ratio Return relative to maximum drawdown	4.93	1.41	+3.52
Martin ratio Return relative to average drawdown	21.11	6.61	+14.50
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	54	1.01	1.52	1.18	1.68	5.15
DFAI Dimensional International Core Equity Market ETF	87	1.79	2.44	1.37	2.74	10.73
DBMF iM DBi Managed Futures Strategy ETF	95	2.19	2.98	1.46	4.35	18.69
AVDV Avantis International Small Cap Value ETF	96	2.78	3.48	1.57	3.87	16.10
EMXC iShares MSCI Emerging Markets ex China ETF	93	2.34	3.02	1.44	3.39	14.12
AVUV Avantis US Small Cap Value ETF	69	1.22	1.78	1.25	1.88	7.40
AVLV Avantis U.S. Large Cap Value ETF	75	1.37	1.95	1.30	1.87	8.98
VGSH Vanguard Short-Term Treasury ETF	96	2.57	4.13	1.55	4.21	15.93
IEAA.L iShares Core Euro Corporate Bond UCITS ETF (Acc)	53	1.13	1.73	1.21	1.47	4.86

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 (50 bonds - current) Sharpe ratios as of Apr 2, 2026 (values are recalculated daily):

1-Year: 2.20
All Time: 0.77

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 1.00 to 1.70, 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 (50 bonds - current) 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 (50 bonds - current) provided a 2.67% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.67%	2.80%	2.96%	2.29%	2.44%	2.15%	1.08%	1.85%	0.72%	0.49%	0.42%	0.41%
Portfolio components:
VGIT Vanguard Intermediate-Term Treasury ETF	3.83%	3.79%	3.67%	2.73%	1.74%	1.69%	2.23%	2.24%	2.05%	1.67%	1.69%	1.69%
DFAI Dimensional International Core Equity Market ETF	2.37%	2.45%	2.72%	2.64%	2.72%	2.06%	0.09%	0.00%	0.00%	0.00%	0.00%	0.00%
DBMF iM DBi Managed Futures Strategy ETF	5.29%	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	2.94%	3.05%	4.31%	3.29%	3.17%	2.39%	1.67%	0.36%	0.00%	0.00%	0.00%	0.00%
EMXC iShares MSCI Emerging Markets ex China ETF	2.57%	2.82%	2.69%	1.83%	2.85%	1.78%	1.45%	3.25%	2.63%	0.99%	0.00%	0.00%
AVUV Avantis US Small Cap Value ETF	1.40%	1.58%	1.61%	1.65%	1.74%	1.28%	1.21%	0.38%	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%
VGSH Vanguard Short-Term Treasury ETF	3.93%	4.00%	4.18%	3.31%	1.15%	0.66%	1.74%	2.28%	1.79%	1.10%	0.84%	0.69%
IEAA.L iShares Core Euro Corporate Bond UCITS ETF (Acc)	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.

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Worst Drawdowns

The table below displays the maximum drawdowns of the Factor-Based All-Weather Portfolio 2.0 (50 bonds - current). 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 (50 bonds - current) was 14.88%, occurring on Sep 27, 2022. Recovery took 313 trading sessions.

The current Factor-Based All-Weather Portfolio 2.0 (50 bonds - current) drawdown is 3.72%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-14.88%	Nov 10, 2021	229	Sep 27, 2022	313	Dec 14, 2023	542
-7.75%	Dec 6, 2024	86	Apr 8, 2025	23	May 12, 2025	109
-5.95%	Feb 26, 2026	17	Mar 20, 2026	—	—	—
-4.72%	Jul 17, 2024	14	Aug 5, 2024	14	Aug 23, 2024	28
-2.84%	Apr 1, 2024	14	Apr 18, 2024	18	May 14, 2024	32

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 9 assets, with an effective number of assets of 8.00, 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	DBMF	VGSH	VGIT	IEAA.L	AVUV	EMXC	AVLV	AVDV	DFAI	Portfolio
Benchmark	1.00	0.08	0.04	0.07	0.31	0.74	0.72	0.87	0.68	0.76	0.82
DBMF	0.08	1.00	-0.35	-0.38	-0.24	0.09	0.08	0.12	0.10	0.07	0.15
VGSH	0.04	-0.35	1.00	0.90	0.45	0.01	0.09	-0.01	0.14	0.15	0.17
VGIT	0.07	-0.38	0.90	1.00	0.47	0.03	0.10	0.02	0.15	0.17	0.20
IEAA.L	0.31	-0.24	0.45	0.47	1.00	0.29	0.45	0.30	0.56	0.57	0.53
AVUV	0.74	0.09	0.01	0.03	0.29	1.00	0.61	0.91	0.70	0.71	0.88
EMXC	0.72	0.08	0.09	0.10	0.45	0.61	1.00	0.68	0.77	0.80	0.80
AVLV	0.87	0.12	-0.01	0.02	0.30	0.91	0.68	1.00	0.73	0.77	0.90
AVDV	0.68	0.10	0.14	0.15	0.56	0.70	0.77	0.73	1.00	0.94	0.90
DFAI	0.76	0.07	0.15	0.17	0.57	0.71	0.80	0.77	0.94	1.00	0.92
Portfolio	0.82	0.15	0.17	0.20	0.53	0.88	0.80	0.90	0.90	0.92	1.00

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

Factor-Based All-Weather Portfolio 2.0 (50 bonds - current)

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

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