Factor driven value tilted equity portfolio with strong U.S. focus and room for efficiency gains

Report created on May 4, 2024

Risk profile Info

4/7
Balanced
Less risk More risk

Diversification profile Info

3/5
Moderately Diversified
Less diversification More diversification

Positions

The structure here is very equity-heavy, with about 91% in stocks, 8% in bonds, and a small “other” sleeve via managed futures. Within equities, there’s a clear tilt toward rules-based and factor-focused ETFs rather than broad market trackers, mixing value, small caps, momentum, dividends, and some growth via NASDAQ exposure. This creates a deliberately “engineered” portfolio rather than a simple index mix. That design can be powerful because it targets specific return drivers, but it also means behavior will differ from standard indexes at times. The big takeaway is that this is an active-tilt, factor-based equity portfolio with modest bond and diversifier exposure, so expectations should be for equity-like swings with some cushioning from the non-stock pieces.

Growth Info

From late 2021 to March 2026, $1,000 grew to about $1,415, translating to a compound annual growth rate (CAGR) of 8.08%. CAGR is the “average speed” of growth per year, smoothing out ups and downs. Over the same period, the U.S. market returned 10.65% annually and the global market 8.83%, so this mix lagged both, more so vs. the U.S. benchmark. On the plus side, max drawdown, or worst peak‑to‑trough drop, was a relatively moderate -19.55% compared with deeper benchmark falls. That shows the design is cushioning downside somewhat, even if it hasn’t fully kept up in this specific period. As always, past performance doesn’t guarantee future results.

Asset classes Info

  • Stocks
    91%
  • Bonds
    8%
  • Other
    1%

Asset‑class allocation is dominated by stocks, with only a small slice in bonds and a tiny diversifier sleeve via managed futures. That stock‑heavy mix explains why performance and risk look much more like an equity portfolio than a classic 60/40 setup. The bond piece is in extended‑duration Treasuries, which tend to be sensitive to interest rates but can shine in deep recessions or risk‑off environments. The managed futures allocation is small, but it can add “crisis alpha” by potentially doing better when trends are strong in commodities, currencies, or rates. Overall, this allocation makes sense for someone comfortable with market swings who wants some, but not heavy, ballast from defensive assets.

Sectors Info

  • Technology
    18%
  • Industrials
    15%
  • Health Care
    11%
  • Financials
    11%
  • Consumer Discretionary
    10%
  • Energy
    10%
  • Consumer Staples
    6%
  • Telecommunications
    5%
  • Basic Materials
    3%
  • Utilities
    1%

This breakdown covers the equity portion of your portfolio only.

Sector exposure is quite balanced overall, with technology at about 18% and meaningful chunks in industrials, health care, financials, consumer discretionary, and energy. There’s no single dominant sector, which is a strong indicator of diversification and helps avoid being overly tied to one economic story. Tech isn’t overwhelming the portfolio, especially given the added tilt to value, which usually lives more in financials, industrials, and energy. Balanced sector exposure like this typically smooths performance when one area of the market struggles, because others can offset it. This alignment with broad sector diversification principles is a real strength and supports more stable long‑term compounding.

Regions Info

  • North America
    83%
  • Asia Emerging
    2%
  • Asia Developed
    2%
  • Latin America
    1%
  • Europe Developed
    1%
  • Africa/Middle East
    1%

This breakdown covers the equity portion of your portfolio only.

Geographically, this mix is very U.S.-centric, with around 83% in North America and modest exposure spread across emerging and developed regions elsewhere. Many global benchmarks are also U.S.-heavy today, but this allocation leans even more in that direction. Being U.S.-focused has been a tailwind for over a decade, yet it does mean results are closely tied to the American economic and policy environment. The emerging markets value slice adds a bit of diversification and different growth drivers, which is a nice complement to the U.S. core. Overall, this is a “home‑biased” equity stance that favors familiarity and depth in one market over maximum global diversification.

Market capitalization Info

  • Large-cap
    31%
  • Mid-cap
    25%
  • Small-cap
    18%
  • Micro-cap
    9%
  • Mega-cap
    6%
  • No data
    5%

This breakdown covers the equity portion of your portfolio only.

By market cap, there’s a healthy mix: about 31% large‑cap, 25% mid‑cap, 18% small‑cap, and even 9% micro‑cap, plus a smaller mega‑cap slice. That’s much more tilted toward smaller companies than a standard market‑cap index, which is usually dominated by mega and large caps. Smaller firms can offer higher long‑run return potential but with bumpier rides, more volatility, and sometimes sharper drawdowns. The strong presence of small and micro‑caps matches the explicit small‑cap value ETF exposure and supports the idea that this portfolio is intentionally positioned for long‑term equity premia rather than just hugging the benchmark. It’s a good fit for someone willing to trade extra short‑term noise for potential long‑term reward.

True holdings Info

  • Merck & Company Inc
    1.34%
    Part of fund(s):
    • Distillate US Fundamental Stability & Value
    • Schwab U.S. Dividend Equity ETF
  • iMGP DBi Managed Futures Strategy ETF
    1.24%
    Part of fund(s):
    • iMGP DBi Managed Futures Strategy ETF
  • Chevron Corp
    0.90%
    Part of fund(s):
    • Schwab U.S. Dividend Equity ETF
  • ConocoPhillips
    0.82%
    Part of fund(s):
    • Schwab U.S. Dividend Equity ETF
  • Verizon Communications Inc
    0.81%
    Part of fund(s):
    • Schwab U.S. Dividend Equity ETF
  • The Coca-Cola Company
    0.79%
    Part of fund(s):
    • Schwab U.S. Dividend Equity ETF
  • Texas Instruments Incorporated
    0.76%
    Part of fund(s):
    • Schwab U.S. Dividend Equity ETF
  • Abbott Laboratories
    0.76%
    Part of fund(s):
    • Schwab U.S. Dividend Equity ETF
  • Amgen Inc
    0.76%
    Part of fund(s):
    • Schwab U.S. Dividend Equity ETF
  • UnitedHealth Group Incorporated
    0.76%
    Part of fund(s):
    • Schwab U.S. Dividend Equity ETF
  • Top 10 total 8.94%

This breakdown covers the equity portion of your portfolio only.

Looking through ETF top holdings, there’s some recurring exposure to large, stable U.S. names like Merck, Chevron, Coca‑Cola, and UnitedHealth. Overlap appears modest in the reported data, but coverage is only about a quarter of total holdings, so real overlap is likely higher. When the same companies appear across multiple funds, they quietly increase concentration, even if each fund looks diversified alone. This is not necessarily bad, especially when overlaps are in resilient blue chips, but it does mean portfolio risk may be more tied to a core set of names than surface-level weights suggest. The main insight: diversification is good, yet “hidden clustering” is something to keep loosely in mind.

Factors Info

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

Factor exposure here is notably tilted toward value and size, both at 71%, which is clearly above market average. Factors are like underlying traits—value means cheaper stocks relative to fundamentals, size means more exposure to smaller companies. Research over decades suggests value and small size have earned a return premium over very long horizons, though they can underperform for lengthy stretches, as they recently have versus mega‑cap growth. Momentum, quality, yield, and low volatility all sit near neutral, so the big story is this strong double tilt toward cheaper and smaller stocks. This design can shine when markets rotate away from expensive leaders, but patience is important during value and small‑cap droughts.

Risk contribution Info

  • Avantis® U.S. Small Cap Value ETF
    Weight: 20.00%
    27.7%
  • Distillate US Fundamental Stability & Value
    Weight: 20.00%
    19.5%
  • Schwab U.S. Dividend Equity ETF
    Weight: 20.00%
    16.8%
  • Alpha Architect U.S. Quantitative Momentum ETF
    Weight: 12.00%
    15.8%
  • iShares MSCI USA Momentum Factor ETF
    Weight: 8.00%
    8.9%
  • Top 5 risk contribution 88.7%

Risk contribution shows how much each holding adds to overall volatility, which can be very different from simple weights. Here, Avantis U.S. Small Cap Value is 20% of assets but contributes about 28% of risk, signaling it’s a key driver of the portfolio’s swings. The quant momentum ETF, at 12% weight, adds nearly 16% of the risk, also a bit above its share. In contrast, the dividend and stability‑oriented funds contribute slightly less risk than their weights. The top three positions together drive about 64% of total risk. That’s not extreme, but it does mean sizing decisions in those funds have an outsized impact on how “bumpy” the ride feels.

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—about 2.9 percentage points of return lower than what might be achieved at the same risk using only the existing funds. The Sharpe ratio, which measures return per unit of risk, is 0.46 for the current mix versus 0.91 for the optimal combination and 0.53 for the minimum‑variance version. Being below the frontier doesn’t mean the holdings are poor; it just means the weights could be arranged more efficiently. In plain terms, rebalancing among these same ETFs could either boost expected return without adding risk, or reduce risk while keeping expected return similar, depending on personal comfort.

Dividends Info

  • Avantis® Emerging Markets Value ETF 3.30%
  • Avantis® U.S. Small Cap Value ETF 1.40%
  • iMGP DBi Managed Futures Strategy ETF 5.60%
  • Distillate US Fundamental Stability & Value 1.00%
  • Vanguard Extended Duration Treasury Index Fund ETF Shares 5.00%
  • iShares MSCI USA Momentum Factor ETF 0.80%
  • Alpha Architect U.S. Quantitative Momentum ETF 0.50%
  • Invesco NASDAQ Next Gen 100 ETF 0.90%
  • Invesco NASDAQ 100 ETF 0.50%
  • Schwab U.S. Dividend Equity ETF 2.60%
  • Weighted yield (per year) 1.86%

The overall dividend yield of about 1.86% is modest but not trivial, especially given the significant tilt toward value and dividends. Some holdings, like the managed futures ETF and long Treasuries, have higher stated yields, while others, like NASDAQ growth and momentum funds, pay very little. Dividends matter because they contribute to total return and can provide a small “paycheck” effect for investors, though price changes still dominate outcomes over time. This yield level suggests the portfolio is focused more on total return with a value tilt, rather than being a pure income strategy. For someone who doesn’t need large current cash flow, that’s a reasonable and efficient balance.

Ongoing product costs Info

  • Avantis® Emerging Markets Value ETF 0.36%
  • Avantis® U.S. Small Cap Value ETF 0.25%
  • iMGP DBi Managed Futures Strategy ETF 0.85%
  • Distillate US Fundamental Stability & Value 0.39%
  • Vanguard Extended Duration Treasury Index Fund ETF Shares 0.06%
  • iShares MSCI USA Momentum Factor ETF 0.15%
  • Alpha Architect U.S. Quantitative Momentum ETF 0.29%
  • Invesco NASDAQ Next Gen 100 ETF 0.15%
  • Invesco NASDAQ 100 ETF 0.15%
  • Schwab U.S. Dividend Equity ETF 0.06%
  • Weighted costs total (per year) 0.26%

The blended total expense ratio (TER) of about 0.26% is impressively low for such a factor‑heavy, actively designed ETF mix. TER represents the annual percentage fee charged by each fund; keeping it low means more of the portfolio’s returns stay in your pocket instead of going to managers. Some specialist pieces, like managed futures, are naturally more expensive, but they’re a small slice and are balanced by very low‑cost core funds from Schwab and Vanguard. For a portfolio that isn’t just plain indexing, this cost profile is a real positive and supports better compounding over decades. Cost discipline here is clearly a strong point and well aligned with best practices.

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