Factor-tilted global stock portfolio with strong value size and momentum focus across regions

Report created on May 3, 2026

Risk profile Info

4/7
Balanced
Less risk More risk

Diversification profile Info

4/5
Broadly Diversified
Less diversification More diversification

Positions

This portfolio is a pure-equity mix built entirely from 10 ETFs, each at an even 10% weight. All exposure comes through stock funds, with no bonds, cash, or alternatives included, so the growth focus is very clear. Several funds explicitly target value in smaller companies, while others target momentum across different size segments. This kind of structure creates a rules-based, factor-driven equity strategy rather than a simple broad market tracker. The even weighting keeps any single ETF from dominating the total allocation, which supports diversification across managers and index styles. Overall, the portfolio’s design emphasizes factor tilts and equity risk, which means it will likely move more with stock markets than with the broader economy.

Growth Info

Over the backtested period from late 2023 to May 2026, the portfolio grew a hypothetical $1,000 to about $1,837. That translates into a Compound Annual Growth Rate (CAGR) of roughly 28%, higher than both the US market and the global market, which were in the mid‑20% range. CAGR is like average speed on a long road trip, smoothing out bumps along the way. The portfolio’s worst peak‑to‑trough drop was about ‑19%, very similar to the US benchmark’s drawdown and only slightly deeper than the global market. This shows the portfolio delivered stronger returns with roughly comparable downside over this particular window, though such a short, strong period may not reflect long‑term patterns.

Projection Info

The forward projection uses a Monte Carlo simulation, which basically takes past returns and volatility and scrambles them into thousands of possible future paths. It then shows how a $1,000 investment might evolve over 15 years under many different market sequences. The median outcome lands near $2,844, with a wide “likely range” from around $1,771 to $4,363 and more extreme outcomes stretching roughly from $954 to $8,230. The average annualized return across simulations is about 8.3%, with a 73% chance of ending above the starting amount. These numbers are not promises; they simply translate historical behavior into a range of plausible futures, assuming markets behave somewhat like they did in the past.

Asset classes Info

  • Stocks
    100%

All of the portfolio is invested in stocks, with 100% equity exposure and no balancing from bonds or cash. From a diversification standpoint, this means all risk and return are tied to the fortunes of global stock markets, not spread across different asset types. Equities historically offer higher growth potential but also sharper ups and downs than bonds or cash. Compared with many blended portfolios that mix stocks and bonds, this structure leans clearly toward growth rather than capital stability. The benefit is straightforward participation in equity markets; the trade‑off is that there is no built‑in shock absorber from lower‑risk asset classes during market stress.

Sectors Info

  • Industrials
    19%
  • Technology
    19%
  • Financials
    17%
  • Consumer Discretionary
    10%
  • Basic Materials
    8%
  • Energy
    8%
  • Health Care
    6%
  • Consumer Staples
    4%
  • Telecommunications
    4%
  • Utilities
    3%
  • Real Estate
    2%

Sector exposure is spread across the economy, with industrials and technology each at about 19%, and financials close behind at 17%. Consumer discretionary, basic materials, and energy make up meaningful mid‑single‑digit chunks, while health care, staples, telecom, utilities, and real estate fill out smaller slices. This is a fairly broad sector mix and aligns reasonably well with diversified equity benchmarks, which is a strong indicator of diversification. No single sector overwhelmingly dominates the portfolio, which reduces the risk that one industry’s cycle completely drives returns. At the same time, the somewhat elevated weights in cyclical areas like industrials and tech can make returns more sensitive to the economic and innovation cycle.

Regions Info

  • North America
    62%
  • Asia Developed
    11%
  • Europe Developed
    10%
  • Japan
    5%
  • Asia Emerging
    5%
  • Latin America
    3%
  • Africa/Middle East
    3%
  • Australasia
    1%
  • Europe Emerging
    1%

Geographically, about 62% of the exposure is in North America, with the rest spread across developed and emerging markets. Asia developed and Europe developed together make up around a fifth, with Japan, Asia emerging, Latin America, and Africa/Middle East providing additional smaller slices. This creates a genuinely global equity profile that still leans toward North America, similar to many world equity benchmarks where US markets are a large share of total capitalization. The balance across regions helps reduce dependence on any single economy or currency, which is a positive for diversification. At the same time, the noticeable US tilt means portfolio behavior will still be heavily influenced by North American market conditions.

Market capitalization Info

  • Mid-cap
    30%
  • Small-cap
    26%
  • Large-cap
    18%
  • Mega-cap
    16%
  • Micro-cap
    9%

By company size, the portfolio has a strong mid‑ and small‑cap presence: mid‑caps are about 30%, small‑caps 26%, and micro‑caps another 9%. Large‑caps and mega‑caps together represent roughly a third of the total. This is quite different from traditional market‑weighted indexes, which are usually dominated by mega‑ and large‑cap stocks. Smaller companies often have higher growth potential but more volatile and uneven performance, while bigger firms tend to be steadier but slower‑growing. This size mix means the portfolio is more exposed to the ups and downs of smaller businesses, which can boost returns in favorable environments and amplify swings when markets are stressed or liquidity is tight.

True holdings Info

  • Micron Technology Inc
    1.03%
    Part of fund(s):
    • American Century ETF Trust - Avantis U.S. Large Cap Value ETF
    • Invesco S&P 500® Momentum ETF
  • NVIDIA Corporation
    0.99%
    Part of fund(s):
    • Invesco S&P 500® Momentum ETF
  • SK Hynix Inc
    0.94%
    Part of fund(s):
    • Invesco S&P Emerging Markets Momentum ETF
  • Samsung Electronics Co Ltd
    0.86%
    Part of fund(s):
    • Invesco S&P Emerging Markets Momentum ETF
  • Broadcom Inc
    0.81%
    Part of fund(s):
    • Invesco S&P 500® Momentum ETF
  • Exxon Mobil Corp
    0.63%
    Part of fund(s):
    • American Century ETF Trust - Avantis U.S. Large Cap Value ETF
    • Invesco S&P 500® Momentum ETF
  • Lam Research Corp
    0.58%
    Part of fund(s):
    • American Century ETF Trust - Avantis U.S. Large Cap Value ETF
    • Invesco S&P 500® Momentum ETF
  • Caterpillar Inc
    0.55%
    Part of fund(s):
    • American Century ETF Trust - Avantis U.S. Large Cap Value ETF
    • Invesco S&P 500® Momentum ETF
  • Alphabet Inc Class A
    0.50%
    Part of fund(s):
    • Invesco S&P 500® Momentum ETF
  • HSBC Holdings PLC
    0.44%
    Part of fund(s):
    • Invesco S&P International Developed Momentum ETF
  • Top 10 total 7.33%

Looking through to the top holdings of the ETFs, the largest individual company exposures are each around 0.5–1% of the total portfolio. Names like Micron, NVIDIA, SK Hynix, Samsung, Broadcom, and Exxon appear across multiple funds, but even combined they stay at modest weights. This indicates that, at least within the slice of holdings we can see, there is not an extreme hidden concentration in any single stock. Because the analysis only includes ETF top‑10 positions, some overlap is likely understated deeper down the portfolios. Still, the visible picture points to diversified underlying company exposure, with several recurring holdings contributing but not dominating overall risk and return.

Factors Info

Value
Preference for undervalued stocks
High
Data availability: 80%
Size
Exposure to smaller companies
High
Data availability: 100%
Momentum
Exposure to recently outperforming stocks
High
Data availability: 80%
Quality
Preference for financially healthy companies
High
Data availability: 70%
Yield
Preference for dividend-paying stocks
Neutral
Data availability: 100%
Low Volatility
Preference for stable, lower-risk stocks
Neutral
Data availability: 90%

Factor exposures are estimated using statistical models based on historical data and measure systematic (market-relative) tilts, not absolute portfolio characteristics. Results may vary depending on the analysis period, data availability, and currency of the underlying assets.

Factor exposure is a defining feature here. The portfolio shows high tilts to value (77%), size (63%), momentum (65%), and quality (66%), with yield and low volatility closer to neutral. Factors are like investing “ingredients”: value leans toward cheaper stocks, size tilts toward smaller companies, momentum favors recent winners, and quality emphasizes stronger balance sheets or profitability. Having multiple high factor tilts means the portfolio is deliberately different from a plain market index. Historically, these characteristics have been linked with distinct return patterns. For example, momentum often does well in strongly trending markets, while value and size can shine in certain recovery phases but may lag when investors crowd into mega‑cap growth.

Risk contribution Info

  • Invesco S&P SmallCap Momentum ETF
    Weight: 10.00%
    12.2%
  • Invesco S&P MidCap Momentum ETF
    Weight: 10.00%
    11.8%
  • Avantis® U.S. Small Cap Value ETF
    Weight: 10.00%
    11.8%
  • Invesco S&P 500® Momentum ETF
    Weight: 10.00%
    10.5%
  • American Century ETF Trust
    Weight: 10.00%
    10.3%
  • Top 5 risk contribution 56.5%

Risk contribution shows how much each ETF drives the portfolio’s total ups and downs, which can differ from its weight. Here, the small‑cap and mid‑cap momentum funds, plus the US small‑cap value ETF, each contribute more risk than their 10% weights would suggest, with risk‑to‑weight ratios above 1.15. That means these positions punch above their size in terms of volatility impact. In contrast, some other ETFs, like the 500 momentum and one American Century fund, sit closer to a one‑for‑one relationship between weight and risk. The top three risk contributors together make up about 36% of total risk, despite being only 30% of assets, highlighting where the portfolio’s more volatile behavior is concentrated.

Redundant positions Info

  • American Century ETF Trust
    American Century ETF Trust - Avantis U.S. Large Cap Value ETF
    Avantis® U.S. Small Cap Value ETF
    High correlation

The correlation data highlights pairs of ETFs that have historically moved almost in lockstep. In this case, the Avantis U.S. Large Cap Value ETF and one American Century ETF are highly correlated, as is the U.S. small‑cap value ETF with the same American Century fund. Correlation simply measures how similarly two assets move; highly correlated positions often rise and fall together, which limits diversification between them. This is not necessarily a problem, especially when funds pursue related strategies, but it does mean that adding more of one may not change the overall pattern of returns much. Instead, it mostly reinforces existing exposures already present in the portfolio.

Risk vs. return

This chart shows the Efficient Frontier, calculated using your current assets with different allocation combinations. It highlights the best balance between risk and return based on historical data. "Efficient" portfolios maximize returns for a given risk or minimize risk for a given return. Portfolios below the curve are less efficient. This is informational and not a recommendation to buy or sell any assets.

Click on the colored dots to explore allocations.

On the risk‑return chart, the current portfolio sits below the efficient frontier, with a Sharpe ratio of 1.37. The Sharpe ratio measures return per unit of risk, after accounting for a risk‑free rate, like checking how much “extra” return you’re getting for each bump in the ride. The optimal mix of the same holdings shows a higher Sharpe near 1.99, while the minimum‑variance mix has lower risk but still a stronger Sharpe than the current setup. Being about 7 percentage points below the frontier at the same risk level suggests that, historically, a different weighting of these same ETFs could have delivered better risk‑adjusted returns without changing the building blocks themselves.

Dividends Info

  • Avantis® International Small Cap Value ETF 2.80%
  • American Century ETF Trust - Avantis U.S. Large Cap Value ETF 1.10%
  • Avantis® U.S. Small Cap Value ETF 1.30%
  • Invesco S&P Emerging Markets Momentum ETF 2.00%
  • Invesco S&P International Developed Momentum ETF 3.60%
  • Invesco S&P 500® Momentum ETF 0.80%
  • Invesco S&P MidCap Momentum ETF 0.60%
  • Invesco S&P SmallCap Momentum ETF 0.50%
  • American Century ETF Trust 1.00%
  • Weighted yield (per year) 1.57%

The overall dividend yield of the portfolio sits around 1.57%, combining a range from below 1% for some momentum and US funds up to about 3.6% for an international developed ETF. Dividend yield is the annual cash payout as a percentage of price, and it can be a meaningful part of long‑term total return, especially when reinvested. In this case, the yield is modest, which is consistent with an equity strategy tilted toward factors like momentum and quality rather than pure income. The presence of a couple of higher‑yielding international value‑oriented funds slightly lifts the total yield, but growth and factor exposure clearly remain the primary focus.

Ongoing product costs Info

  • Avantis® International Small Cap Value ETF 0.36%
  • American Century ETF Trust - Avantis U.S. Large Cap Value ETF 0.15%
  • Avantis® U.S. Small Cap Value ETF 0.25%
  • Invesco S&P Emerging Markets Momentum ETF 0.29%
  • Invesco S&P International Developed Momentum ETF 0.25%
  • Invesco S&P 500® Momentum ETF 0.13%
  • Invesco S&P MidCap Momentum ETF 0.34%
  • Invesco S&P SmallCap Momentum ETF 0.39%
  • American Century ETF Trust 0.20%
  • Weighted costs total (per year) 0.28%

The portfolio’s total expense ratio (TER) comes out around 0.28% per year, based on the underlying ETF fees. A TER is the ongoing annual fee charged by funds, expressed as a percentage of assets, similar to a service charge for professional management and index tracking. Individual fund costs here run from roughly 0.13% up to 0.39%, which is typical for more specialized factor and international strategies. For a factor‑heavy global equity mix, a 0.28% blended fee is reasonably low and supports better long‑term compounding compared with higher‑cost setups. Over many years, keeping costs contained helps more of the portfolio’s gross returns stay in the investor’s pocket.

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