Strongly factor tilted US stock portfolio with a focus on small value and momentum exposure
Report created on Sep 10, 2026Risk profile
5/7
Diversification profile
3/5
Positions
-
AV Avantis® U.S. Small Cap Value ETF
AVUV - US0250728773 40.00% -
XM Invesco S&P MidCap Momentum ETF
XMMO - US46137V4648 25.00% -
SP Invesco S&P 500® Momentum ETF
SPMO - US46138E3392 20.00% -
VT Vanguard Total Stock Market Index Fund ETF Shares
VTI - US9229087690 15.00%
This portfolio is a focused mix of four US equity ETFs, with 100% in stocks and no bonds or cash. The largest holding is a US small‑cap value ETF at 40%, backed by two momentum ETFs covering mid caps and the S&P 500 at a combined 45%. A broad total US market ETF fills the remaining 15%. Structurally, this is a concentrated, “all‑equity” setup with clear tilts rather than a neutral market basket. That matters because concentrated, one‑country, one‑asset‑class portfolios tend to experience bigger swings than globally diversified mixes. The strong emphasis on small value and momentum suggests the portfolio is intentionally leaning into specific return drivers instead of simply mirroring the overall market.
Growth
Over the period from late 2019 to September 2026, $1,000 in this portfolio grew to about $3,003. That translates to a compound annual growth rate (CAGR) of 17.19%, slightly ahead of the US market benchmark at 16.36% and clearly ahead of the global market at 13.99%. CAGR is like the average speed of a car over a long trip, smoothing out bumps. The trade‑off has been a deeper maximum drawdown of about -39%, versus roughly -34% for both benchmarks during the 2020 crash. Only 25 days made up 90% of total returns, showing returns were quite lumpy. As always, this outperformance is historical; it doesn’t guarantee the same pattern in future markets.
Projection
The Monte Carlo projection uses past returns and volatility to simulate 1,000 different possible 15‑year paths for this portfolio. Think of it as running many alternate “what if” market histories based on the same underlying behavior. The median outcome turns $1,000 into about $2,642, with a middle band (25th–75th percentile) from roughly $1,774 to $4,061. There are also more extreme but less likely outcomes, from about $924 to $8,193. Across all simulations, the average annual return is 7.99%, and about 73% of paths end with a gain. These numbers help illustrate the range of potential futures, but they still rely on history repeating well enough, which is never guaranteed.
Asset classes
- Stocks 100%
All of this portfolio is in equities, with no allocation to bonds, cash, or alternative assets. Asset classes are broad buckets like stocks, bonds, and real estate that tend to react differently to economic shifts. A 100% stock allocation usually offers higher long‑term growth potential but also sharper ups and downs, especially during recessions or market shocks. Compared to more mixed portfolios that include bonds, this structure leans firmly toward growth and accepts higher volatility. The diversification score of 3/5 reflects that diversification is happening within one asset class rather than across several, so the main risk driver is equity market behavior rather than a mix of unrelated asset types.
Sectors
- Technology 22%
- Industrials 19%
- Financials 15%
- Consumer Discretionary 10%
- Energy 10%
- Health Care 7%
- Telecommunications 4%
- Basic Materials 4%
- Consumer Staples 4%
- Real Estate 3%
- Utilities 2%
Sector exposure is reasonably balanced for an all‑equity US portfolio, with technology at 22%, industrials at 19%, and financials at 15%. No single sector dominates, and several others—consumer discretionary, energy, health care, communications, materials, staples, real estate, and utilities—all appear with single‑digit or low‑double‑digit weights. This spread aligns fairly well with broad US equity patterns, which is a positive sign for diversification. Sector diversification matters because different parts of the economy can lead or lag at different times. For instance, a portfolio overloaded in one fast‑moving sector might soar in booms but drop sharply when conditions turn, while a more balanced sector mix tends to smooth these cycles somewhat.
Regions
- North America 98%
- Europe Developed 2%
Geographically, the portfolio is overwhelmingly concentrated in North America at 98%, with just 2% in developed Europe. That’s consistent with the chosen ETFs, which are mostly US‑focused. Geography matters because economies, currencies, and political environments differ across regions. A globally diversified portfolio spreads exposure across multiple markets, so setbacks in one region may be cushioned by strength elsewhere. Here, returns will be closely tied to US economic conditions, interest‑rate policy, and the dollar’s path. The past decade has been strong for US stocks overall, but this level of home bias means the portfolio captures little of the potential growth or diversification benefits from other large global markets.
Market capitalization
- Small-cap 30%
- Micro-cap 21%
- Mid-cap 19%
- Large-cap 16%
- Mega-cap 14%
Market capitalization exposure is tilted toward the smaller end, with about 30% in small caps, 21% in micro caps, and 19% in mid caps. Large and mega caps together make up roughly 30%, which is much less than a typical market‑cap‑weighted US index where larger companies dominate. Company size matters because small and micro caps often have higher growth potential but also higher volatility and sometimes lower liquidity. Larger companies tend to be more stable and widely followed. This structure means a significant slice of returns will be driven by smaller, more sensitive businesses, which can amplify both gains and losses compared with a large‑cap‑dominated market portfolio.
True holdings
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NV NVIDIA Corporation 2.83%
Part of fund(s):- Invesco S&P 500® Momentum ETF
- Vanguard Total Stock Market Index Fund ETF Shares
-
MU Micron Technology Inc 2.16%
Part of fund(s):- Invesco S&P 500® Momentum ETF
-
AV Broadcom Inc 1.62%
Part of fund(s):- Invesco S&P 500® Momentum ETF
- Vanguard Total Stock Market Index Fund ETF Shares
-
GO Alphabet Inc Class A 1.32%
Part of fund(s):- Invesco S&P 500® Momentum ETF
- Vanguard Total Stock Market Index Fund ETF Shares
-
CW Curtiss-Wright Corporation 1.06%
Part of fund(s):- Invesco S&P MidCap Momentum ETF
-
GO Alphabet Inc Class C 1.05%
Part of fund(s):- Invesco S&P 500® Momentum ETF
- Vanguard Total Stock Market Index Fund ETF Shares
-
JN Johnson & Johnson 0.97%
Part of fund(s):- Invesco S&P 500® Momentum ETF
-
AA Apple Inc. 0.94%
Part of fund(s):- Vanguard Total Stock Market Index Fund ETF Shares
-
FT TechnipFMC PLC 0.92%
Part of fund(s):- Invesco S&P MidCap Momentum ETF
-
AT Allegheny Technologies Incorporated 0.85%
Part of fund(s):- Invesco S&P MidCap Momentum ETF
- Top 10 total 13.73%
The look‑through data covers about a quarter of the portfolio via ETF top‑10 holdings, so it only shows the largest underlying positions. Within that slice, certain names—like NVIDIA, Micron, Broadcom, and Alphabet (both share classes)—appear, indicating some overlap across funds. Overlap means the same company is owned through multiple ETFs, which can quietly increase concentration even if each ETF looks diversified on its own. That said, no single company in the covered portion exceeds about 3% of the total portfolio, which is relatively modest. Because many smaller holdings sit outside the disclosed top‑10 lists, overall concentration is likely more spread out than this partial snapshot suggests.
Factors
Factor exposure shows strong tilts toward value (73%), size (78%), and momentum (61%), with other factors roughly neutral. Factors are characteristics—like cheapness (value), company size, or recent performance (momentum)—that research has linked to long‑term returns. A high value tilt means more exposure to stocks trading at lower prices relative to fundamentals, which can do well after periods when more expensive stocks have led. The strong size tilt reflects the meaningful small and micro‑cap allocation. A high momentum tilt means many holdings have recently performed well, which can help in trending markets but can also reverse quickly. Neutral readings in quality, yield, and low volatility suggest no strong lean there.
Risk contribution
-
Avantis® U.S. Small Cap Value ETF
Weight: 40.00% 45.4% -
Invesco S&P MidCap Momentum ETF
Weight: 25.00% 25.1% -
Invesco S&P 500® Momentum ETF
Weight: 20.00% 17.1% -
Vanguard Total Stock Market Index Fund ETF Shares
Weight: 15.00% 12.5%
Risk contribution looks at how much each ETF drives overall portfolio volatility, not just how large its weight is. The small‑cap value ETF, at 40% weight, contributes about 45% of total risk, slightly more than its size would suggest. The mid‑cap momentum ETF is roughly aligned, with 25% weight and about 25% of risk. The S&P 500 momentum and total market ETFs each contribute less risk than their weights, reflecting their broader, more diversified baskets. Overall, the top three holdings account for about 88% of portfolio risk, which mirrors their combined weight but still highlights that most of the portfolio’s ups and downs are concentrated in a handful of factor‑tilted positions.
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.
The risk‑return chart shows the current portfolio has an annualized expected return of 18.85% with volatility of 22.94%, and a Sharpe ratio of 0.65. The Sharpe ratio measures return per unit of risk, after accounting for a risk‑free rate; higher values mean better risk‑adjusted performance. The optimal portfolio, using only these same ETFs but with different weights, has a Sharpe of 0.94, while the minimum‑variance mix has 0.77. Since the current position sits about 3.7 percentage points below the efficient frontier at its risk level, the data suggests that simply reweighting the existing four funds—without adding anything new—could improve the balance between expected return and volatility.
Dividends
- Avantis® U.S. Small Cap Value ETF 1.60%
- Invesco S&P 500® Momentum ETF 0.70%
- Vanguard Total Stock Market Index Fund ETF Shares 1.00%
- Invesco S&P MidCap Momentum ETF 0.60%
- Weighted yield (per year) 1.08%
The portfolio’s overall dividend yield is about 1.08%, which is modest compared with many income‑focused strategies but normal for growth‑tilted US equities. Yield is the annual cash payout from dividends relative to the investment’s price. Here, the small‑cap value ETF has the highest yield at 1.60%, while the momentum funds yield less, reflecting their emphasis on price appreciation rather than income. Dividends still play a supporting role in total return, but most of the portfolio’s historical and projected performance is driven by price movements and factor exposure. For investors reinvesting dividends, even a lower yield can quietly add to long‑term compounding over many years.
Ongoing product costs
- Avantis® U.S. Small Cap Value ETF 0.25%
- Invesco S&P 500® Momentum ETF 0.13%
- Vanguard Total Stock Market Index Fund ETF Shares 0.03%
- Invesco S&P MidCap Momentum ETF 0.34%
- Weighted costs total (per year) 0.22%
The portfolio’s total ongoing fee (TER) is 0.22% per year, which is relatively low for a set of specialized factor and size‑tilted ETFs. Costs matter because they come off returns every year, and even small differences compound over long periods. The broad total market ETF is particularly inexpensive at 0.03%, helping pull the average down, while the mid‑cap momentum fund is the priciest at 0.34%. Overall, this fee level is quite competitive and supports better long‑term outcomes compared with higher‑cost structures. The combination of targeted factor exposure and reasonably low expenses is a notable strength of this portfolio’s design.
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