Momentum tilted global value portfolio with strong small cap exposure and historically strong risk adjusted returns
Report created on Aug 9, 2026Risk profile
5/7
Diversification profile
3/5
Positions
-
AV Avantis® U.S. Small Cap Value ETF
AVUV - US0250728773 35.00% -
SP Invesco S&P 500® Momentum ETF
SPMO - US46138E3392 35.00% -
AV Avantis® International Small Cap Value ETF
AVDV - US0250728021 15.00% -
ID Invesco S&P International Developed Momentum ETF
IDMO - US46138E2220 15.00%
This portfolio is a concentrated four‑ETF mix focused entirely on stocks, split evenly between the US and international strategies and between value and momentum styles. Two funds target small‑cap value companies, while the other two track momentum in large and mid‑cap markets. With no bonds or cash, the structure leans firmly toward growth and equity risk. Having only four holdings makes the portfolio easy to follow, but it also means each fund has a big influence on results. This design creates a clear, focused strategy built around factor tilts rather than broad market indexing, which can behave very differently from a simple market‑cap weighted global index over time.
Growth
From late 2019 to August 2026, a hypothetical $1,000 in this portfolio grew to about $3,202, a compound annual growth rate (CAGR) of 18.56%. CAGR is like the average yearly “speed” of the journey, smoothing out all the bumps. That’s ahead of both the US market (16.67%) and global market (14.15%) over the same period. The portfolio also experienced a deeper max drawdown at –37.86% versus roughly –34% for the benchmarks during early 2020. This shows a pattern: stronger upside but slightly sharper drops. Only 29 days made up 90% of returns, which underlines how a small number of strong days can drive long‑term performance in a concentrated equity strategy.
Projection
The Monte Carlo projection uses many random simulations based on past volatility and returns to explore a range of possible 15‑year outcomes. Think of it like re‑rolling history 1,000 times with the same “dice” but different sequences. The median result grows $1,000 to about $2,789, with a wide but plausible band from roughly $1,763 to $4,267 for the middle half of scenarios. Extreme paths span from near breakeven to strong compounding. The average simulated annual return of 8.26% is lower than recent historical numbers, reflecting that past outperformance may not repeat. These projections aren’t predictions; they’re more like weather models highlighting that outcomes cluster around a band but can still surprise on either side.
Asset classes
- Stocks 100%
All of the portfolio is in stocks, with 0% allocated to bonds, cash, or alternative assets. Equities historically offer higher long‑term growth potential but come with larger and faster price swings, especially during market stress. Because there are no stabilizing assets, any shock to stock markets will flow almost directly into this portfolio’s value. Compared with a broad multi‑asset mix that might blend bonds and other assets, this 100% equity stance is more aggressive by design. The risk score of 5/7 and “Growth” classification line up with this structure, showing that both the data and the labeling recognize this as a higher‑risk, return‑focused portfolio.
Sectors
- Technology 22%
- Financials 21%
- Industrials 16%
- Consumer Discretionary 10%
- Energy 8%
- Basic Materials 7%
- Health Care 5%
- Telecommunications 5%
- Consumer Staples 4%
- Utilities 2%
- Real Estate 1%
Sector exposure is tilted toward Technology (22%), Financials (21%), and Industrials (16%), with smaller but meaningful slices in Consumer Discretionary and Energy. Defensive areas like Health Care, Consumer Staples, and Utilities make up a relatively modest share. Compared with a typical broad equity benchmark, this looks slightly more cyclical, leaning into parts of the market that tend to be more sensitive to economic growth and sentiment. Portfolios with larger technology and cyclical weights often experience bigger moves—both positive and negative—during earnings cycles, rate changes, and growth surprises. The relatively low allocation to traditional “safe haven” sectors suggests that shock absorption from defensives may be limited in sharp downturns.
Regions
- North America 73%
- Europe Developed 13%
- Japan 8%
- Australasia 1%
- Africa/Middle East 1%
- Asia Developed 1%
Geographically, the portfolio is heavily tilted toward North America at 73%, with the rest mainly in developed markets like Europe (13%) and Japan (8%). Smaller exposures show up in Australasia, developed Asia, and Africa/Middle East. Compared to a global market index, which typically has a lower US weight and more spread across other regions, this is quite US‑centric. That concentration can be beneficial when North American markets lead, as they have often done recently, but it amplifies dependence on one economy, one central bank, and one primary currency. The modest but present non‑US allocation still adds some diversification, especially when regional cycles differ, though the portfolio remains clearly anchored to US market behavior.
Market capitalization
- Large-cap 24%
- Small-cap 23%
- Mega-cap 22%
- Micro-cap 18%
- Mid-cap 13%
Market‑cap exposure is unusually balanced across the spectrum: mega‑caps (22%), large‑caps (24%), mid‑caps (13%), small‑caps (23%), and micro‑caps (18%). That’s a strong contrast to a typical broad index where mega and large companies dominate. The elevated small and micro‑cap exposure reflects the explicit small‑cap value mandates and brings in more idiosyncratic company risk and usually higher volatility. At the same time, having meaningful mega and large‑cap positions helps keep the portfolio connected to major global businesses. This blend can create a “barbell” effect: more stable large names alongside more volatile smaller firms, which can boost return potential but also widen the range of possible performance outcomes year to year.
True holdings
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MU Micron Technology Inc 3.32%
Part of fund(s):- Invesco S&P 500® Momentum ETF
-
NV NVIDIA Corporation 3.00%
Part of fund(s):- Invesco S&P 500® Momentum ETF
-
AV Broadcom Inc 2.41%
Part of fund(s):- Invesco S&P 500® Momentum ETF
-
GO Alphabet Inc Class A 1.71%
Part of fund(s):- Invesco S&P 500® Momentum ETF
-
JN Johnson & Johnson 1.57%
Part of fund(s):- Invesco S&P 500® Momentum ETF
-
AM Advanced Micro Devices Inc 1.41%
Part of fund(s):- Invesco S&P 500® Momentum ETF
-
GO Alphabet Inc Class C 1.37%
Part of fund(s):- Invesco S&P 500® Momentum ETF
-
LR Lam Research Corp 1.19%
Part of fund(s):- Invesco S&P 500® Momentum ETF
-
XO Exxon Mobil Corp 1.07%
Part of fund(s):- Invesco S&P 500® Momentum ETF
-
CA Caterpillar Inc 0.89%
Part of fund(s):- Invesco S&P 500® Momentum ETF
- Top 10 total 17.93%
Looking through to the top holdings across the ETFs, a handful of large companies stand out: Micron, NVIDIA, Broadcom, Alphabet (both share classes), Johnson & Johnson, AMD, Lam Research, Exxon Mobil, and Caterpillar. Each one shows up via ETFs rather than direct holdings, with Micron at about 3.3% of the portfolio and NVIDIA at 3.0%. This indicates some overlap where certain names appear in multiple funds, especially in momentum‑driven indices that naturally gravitate toward recent winners. Because only top‑10 ETF holdings are captured, actual overlap is likely higher. This kind of hidden concentration means market events affecting these few large companies can have an outsized impact relative to their apparent individual weights.
Factors
Factor exposure is where this portfolio is most distinctive. It shows high tilts toward Value (72%) and Size (64%), meaning it leans toward cheaper, smaller companies compared with the overall market. Momentum sits at 60%, right on the edge of neutral to mildly positive, reflecting the explicit momentum ETFs without overpowering the value tilt. Quality, yield, and low volatility are all close to market‑like levels. Factor investing treats these characteristics—value, size, momentum, and others—as “ingredients” that help explain returns. Historically, small and value exposures have gone through long cycles of under‑ and outperformance. This structure may behave quite differently from a vanilla index when those factor cycles turn, for better or worse.
Risk contribution
-
Avantis® U.S. Small Cap Value ETF
Weight: 35.00% 41.9% -
Invesco S&P 500® Momentum ETF
Weight: 35.00% 33.5% -
Invesco S&P International Developed Momentum ETF
Weight: 15.00% 12.4% -
Avantis® International Small Cap Value ETF
Weight: 15.00% 12.2%
Risk contribution shows how much each ETF drives the portfolio’s overall ups and downs, which can differ from simple weights. The US Small Cap Value fund is 35% of the portfolio but contributes nearly 42% of risk, with a risk/weight ratio of 1.20. That suggests it’s more volatile or less diversified than the others. The S&P 500 Momentum ETF contributes roughly in line with its weight, while both international funds add less risk than their allocations would imply. In total, the top three holdings account for almost 88% of overall risk. This highlights how one position—the US small‑cap value fund—functions as the main “risk engine,” shaping much of the portfolio’s day‑to‑day movement.
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 versus return chart, the current portfolio sits below the efficient frontier by about 1.75 percentage points at its risk level. The efficient frontier represents the best possible return for each risk level using only these existing holdings in different mixes. The current Sharpe ratio—0.74, which measures return per unit of risk—is lower than both the optimal portfolio (0.97) and the minimum variance mix (0.88). This suggests the same four ETFs could, in theory, be combined differently to improve risk‑adjusted returns without adding new funds. Even so, the current positioning already delivers high absolute returns with relatively high risk, so it’s more about fine‑tuning than a structural problem.
Dividends
- Avantis® International Small Cap Value ETF 2.70%
- Avantis® U.S. Small Cap Value ETF 1.20%
- Invesco S&P International Developed Momentum ETF 3.50%
- Invesco S&P 500® Momentum ETF 0.70%
- Weighted yield (per year) 1.60%
The portfolio’s overall dividend yield is about 1.60%, with a wide range across the individual ETFs. The international momentum fund is the highest at 3.50%, followed by international small‑cap value at 2.70%. In contrast, the S&P 500 Momentum ETF yields only 0.70%, and US small‑cap value sits at 1.20%. Dividends represent the cash income portion of returns, which can be especially valuable in flat or choppy markets. Here, the yield is moderate—not extremely low, but clearly not focused on income. Most of the portfolio’s historical and expected return is likely to come from price appreciation and factor exposure rather than from large regular cash payouts.
Ongoing product costs
- Avantis® International Small Cap Value ETF 0.36%
- Avantis® U.S. Small Cap Value ETF 0.25%
- Invesco S&P International Developed Momentum ETF 0.25%
- Invesco S&P 500® Momentum ETF 0.13%
- Weighted costs total (per year) 0.22%
The weighted average total expense ratio (TER) is about 0.22%, which is impressively low given the specialized factor strategies involved. Individual fund costs range from 0.13% for the S&P 500 Momentum ETF up to 0.36% for the international small‑cap value fund. TER is the annual fee charged by the ETF provider and comes out of returns before they reach investors, similar to a small drag on performance each year. For a factor‑tilted, globally diversified equity portfolio, costs at this level are very competitive and support better long‑term compounding. Keeping fees modest is a structural advantage that doesn’t guarantee higher returns but improves the odds of keeping more of whatever returns the market delivers.
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