Factor tilted global equity portfolio with strong value bias and modest concentration in north american markets

Report created on Mar 18, 2026

Risk profile Info

4/7
Balanced
Less risk More risk

Diversification profile Info

3/5
Moderately Diversified
Less diversification More diversification

Positions

The portfolio is a pure equity mix spread across seven ETFs, with no bonds or cash buffer. Two core holdings in broad U.S. and Canadian equities make up half the allocation, while the rest tilts toward small cap value, international value, emerging markets value, and a focused momentum sleeve. This structure blends broad “total market” style exposure with targeted factor tilts that lean into specific styles like value, size, and momentum. With 100% in stocks, the ride can be bumpy, but long‑term growth potential is higher. Anyone using this sort of setup usually pairs it with cash or bonds held elsewhere to manage short‑term spending needs.

Growth Info

Historically, the portfolio shows a very strong compound annual growth rate (CAGR) of 15.89%, meaning it grew on average almost 16% per year, smoothed over time. The max drawdown of -17.25% indicates the worst peak‑to‑trough loss was meaningfully smaller than many broad equity downturns, which often exceed -30%. Needing only 19 days to generate 90% of total returns highlights how a small handful of big up days drive long‑term results. While this backward‑looking record is impressive, it reflects a specific market environment; future returns can be very different, especially if value and small caps cycle in and out of favor.

Projection Info

The Monte Carlo analysis ran 1,000 simulations using historical behavior to project possible future paths. Monte Carlo is like rerunning market history thousands of different ways to see a range of outcomes instead of just a single forecast. The median simulation ends at about 805% of today’s value, while the pessimistic 5th percentile still roughly doubles (190%). The average annualized return across simulations is a high 18.15%, but that figure leans heavily on past patterns for value, small caps, and momentum. These simulations are useful for framing possibilities, not promises; actual results could be worse or better if market regimes change or factors underperform for extended stretches.

Asset classes Info

  • Stocks
    100%

All of the portfolio sits in one asset class: stocks. That makes the growth engine very strong, but it also means there’s no built‑in stabilizer like bonds, cash, or alternatives to soften big equity drawdowns. Many broad market benchmarks carry some allocation to lower‑risk assets, especially for balanced profiles, so this setup is more aggressive than a traditional “balanced” mix even if the internal label says otherwise. This can work well over long horizons where an investor can ride out volatility. For anyone with shorter‑term cash needs or lower risk tolerance, pairing this portfolio with separate fixed‑income or cash holdings can create a more classic balanced overall picture.

Sectors Info

  • Financials
    24%
  • Technology
    17%
  • Industrials
    12%
  • Energy
    11%
  • Basic Materials
    9%
  • Consumer Discretionary
    9%
  • Telecommunications
    5%
  • Consumer Staples
    4%
  • Health Care
    4%
  • Utilities
    2%
  • Real Estate
    1%

Sector exposure is led by Financial Services at 24%, followed by Technology at 17%, then Industrials, Energy, Basic Materials, and Consumer Cyclicals all in the high single to low double digits. Defensive areas like Consumer Defensive, Healthcare, Utilities, and Real Estate are present but smaller. Compared with a typical broad global index, this mix leans more into financials, cyclicals, and resource‑linked industries and a bit less into healthcare and some defensives. This composition supports the value and small‑cap tilts but can mean sharper swings during recessions, rate shocks, or commodity cycles. The breadth across 10+ sectors, though, is a strong sign of structural diversification.

Regions Info

  • North America
    72%
  • Europe Developed
    10%
  • Japan
    6%
  • Asia Developed
    5%
  • Asia Emerging
    4%
  • Australasia
    2%
  • Africa/Middle East
    2%
  • Latin America
    1%

Geographically, the portfolio is heavily tilted to North America at 72%, with the rest spread across developed Europe, Japan, other developed Asia, and smaller slices in emerging regions like Asia Emerging, Latin America, and Africa/Middle East. Compared to a global market‑cap benchmark, this is a clear overweight to North America and a corresponding underweight to non‑U.S./Canada markets. That North American lean has been beneficial over the last decade, but regional leadership rotates over time. The international and emerging value sleeves help diversify away from home‑region risk, yet they’re still secondary. For investors wanting closer alignment to global benchmarks, nudging more weight abroad would increase geographic balance.

Market capitalization Info

  • Mega-cap
    36%
  • Large-cap
    29%
  • Mid-cap
    18%
  • Small-cap
    11%
  • Micro-cap
    6%

The portfolio spans the market‑cap spectrum: 36% in mega caps, 29% in big caps, 18% in mid caps, 11% in small caps, and 6% in micro caps. That’s a meaningful tilt toward smaller companies compared with mainstream indices, which are typically dominated by mega and large caps. Smaller stocks historically have offered higher long‑term return potential but with bumpier rides, more sensitivity to economic cycles, and sometimes liquidity constraints. This spread is a textbook way to add a size premium while still anchoring a good chunk of the portfolio in large, more established names. It’s a solid structural choice for those comfortable with extra volatility in pursuit of higher growth.

True holdings Info

  • NVIDIA Corporation
    2.65%
    Part of fund(s):
    • Dimensional U.S. Equity ETF
    • Invesco S&P 500® Momentum ETF
  • Royal Bank of Canada
    1.99%
    Part of fund(s):
    • JPMorgan BetaBuilders Canada ETF
  • Broadcom Inc
    1.57%
    Part of fund(s):
    • Dimensional U.S. Equity ETF
    • Invesco S&P 500® Momentum ETF
  • Apple Inc
    1.46%
    Part of fund(s):
    • Dimensional U.S. Equity ETF
  • Toronto Dominion Bank
    1.41%
    Part of fund(s):
    • JPMorgan BetaBuilders Canada ETF
  • Meta Platforms Inc.
    1.31%
    Part of fund(s):
    • Dimensional U.S. Equity ETF
    • Invesco S&P 500® Momentum ETF
  • Shopify Inc
    1.31%
    Part of fund(s):
    • JPMorgan BetaBuilders Canada ETF
  • Microsoft Corporation
    1.22%
    Part of fund(s):
    • Dimensional U.S. Equity ETF
  • Enbridge Inc
    1.03%
    Part of fund(s):
    • JPMorgan BetaBuilders Canada ETF
  • Agnico Eagle Mines Limited
    0.91%
    Part of fund(s):
    • JPMorgan BetaBuilders Canada ETF
  • Top 10 total 14.86%

Looking through ETF top holdings, the portfolio’s largest underlying exposures are spread across major North American names like NVIDIA, Royal Bank of Canada, Broadcom, Apple, TD, Meta, Shopify, Microsoft, Enbridge, and Agnico Eagle. No single company dominates, with the top exposure (NVIDIA) under 3% of the portfolio. There is some overlap between U.S. equity, Canadian equity, and the momentum ETF, but hidden concentration appears moderate rather than extreme. Because only top‑10 ETF holdings are captured, overlap is probably understated. In practice, that means risk is still spread across hundreds of stocks, which is generally supportive of diversification and reduces single‑company blow‑up risk.

Factors Info

Value
Preference for undervalued stocks
Very high
Data availability: 40%
Size
Exposure to smaller companies
Very high
Data availability: 20%
Momentum
Exposure to recently outperforming stocks
High
Data availability: 100%
Quality
Preference for financially healthy companies
No data
Data availability: 0%
Yield
Preference for dividend-paying stocks
No data
Data availability: 0%
Low Volatility
Preference for stable, lower-risk stocks
Neutral
Data availability: 100%

Factor exposure is where this portfolio really stands out. Value exposure is strong at 85%, size exposure is also 85%, and momentum exposure is a robust 67.1%, all relative to a neutral market baseline. Low volatility shows a moderate 59% tilt, while quality and yield data are missing but likely less pronounced given the strategy mix. Factor investing targets characteristics like cheapness (value), smaller size, and recent winners (momentum) that research has tied to long‑run excess returns. This multi‑factor blend can shine when value and small caps recover and when momentum trends persist, but it may lag during growth‑led rallies or sharp factor reversals where these styles temporarily fall out of favor.

Risk contribution Info

  • Dimensional U.S. Equity ETF
    Weight: 25.00%
    25.5%
  • JPMorgan BetaBuilders Canada ETF
    Weight: 25.00%
    24.9%
  • Avantis® U.S. Small Cap Value ETF
    Weight: 10.00%
    12.6%
  • Invesco S&P 500® Momentum ETF
    Weight: 10.00%
    10.1%
  • Avantis® International Small Cap Value ETF
    Weight: 10.00%
    9.7%
  • Top 5 risk contribution %

Risk contribution measures how much each holding adds to overall ups and downs, which can differ from its simple weight. Here, the two 25% core positions in U.S. and Canadian equities each contribute roughly a quarter of total risk, in line with their size. The Avantis U.S. Small Cap Value ETF stands out: it’s 10% of the portfolio but contributes 12.62% of risk, a risk‑to‑weight ratio of 1.26, reflecting the punchier volatility of small value stocks. The top three holdings together contribute about 63% of risk, which is fair for a concentrated seven‑ETF lineup. This pattern shows risk is reasonably aligned with allocation, without one runaway risk source.

Redundant positions Info

  • Avantis® International Small Cap Value ETF
    Dimensional International Value ETF
    High correlation

Correlations describe how often assets move together; a correlation of 1 means they move in lockstep, while 0 means they move independently. In this portfolio, the international small cap value and international value ETFs are highly correlated, which makes sense since they fish in similar regional ponds and both lean toward value. High correlation isn’t bad on its own, but it can limit diversification benefits if two positions behave almost identically during stress. When lots of holdings are tightly correlated, a portfolio can feel like owning one big trade. Being aware of these links helps when deciding whether each ETF adds distinct behavior or mostly duplicates what you already have.

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, which is the curve showing the best return available for each risk level using the existing holdings. The optimal mix on that frontier has the same expected return of about 20.24% as the best same‑risk configuration but achieves it at a risk level of 16.23%, indicating room for improvement. The Sharpe ratio, a measure of return per unit of risk, would be higher for that optimized allocation. Because optimization here only reweights existing ETFs, not adding new ones, an investor could potentially boost risk‑adjusted results simply by fine‑tuning position sizes while keeping the overall strategy intact.

Dividends Info

  • Avantis® International Small Cap Value ETF 3.00%
  • Avantis® U.S. Small Cap Value ETF 1.80%
  • JPMorgan BetaBuilders Canada ETF 1.80%
  • Dimensional ETF Trust - Dimensional Emerging Markets Value ETF 2.50%
  • Dimensional International Value ETF 2.80%
  • Dimensional U.S. Equity ETF 0.90%
  • Invesco S&P 500® Momentum ETF 0.70%
  • Weighted yield (per year) 1.76%

The overall dividend yield is about 1.76%, with higher yields from the international value and emerging markets value funds (around 2.5–3%) and lower yields from the U.S. core and momentum ETFs. Dividends can be an important part of equity returns over decades, functioning like a steady drip that adds to growth, especially when reinvested. This yield level is modest but consistent with a growth‑oriented, factor‑tilted equity portfolio that emphasizes value and small caps yet still holds a lot of large growth names. For investors who care more about total return than immediate income, this balance is quite reasonable and aligns with long‑horizon wealth‑building goals.

Ongoing product costs Info

  • Avantis® International Small Cap Value ETF 0.36%
  • Avantis® U.S. Small Cap Value ETF 0.25%
  • JPMorgan BetaBuilders Canada ETF 0.19%
  • Dimensional ETF Trust - Dimensional Emerging Markets Value ETF 0.43%
  • Dimensional International Value ETF 0.27%
  • Dimensional U.S. Equity ETF 0.09%
  • Invesco S&P 500® Momentum ETF 0.13%
  • Weighted costs total (per year) 0.21%

The blended total expense ratio sits at an impressively low 0.21%, given the mix of broad beta and specialized factor ETFs. Costs matter because they come off returns every year, like a small headwind against compounding. Staying in the low‑fee range means more of the portfolio’s gross performance ends up in the investor’s pocket over time. This cost profile compares very favorably with many active funds or complex multi‑strategy products. It’s a strong structural advantage that requires no ongoing effort: just by keeping fees low, the portfolio is already aligned with best practices in evidence‑based investing and is well‑positioned for better long‑term net outcomes.

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