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Factor tilted global equity portfolio mixing value small caps and momentum strategies without using bonds

Report created on Jul 15, 2026

Risk profile Info

4/7
Balanced
Less risk More risk

Diversification profile Info

3/5
Moderately Diversified
Less diversification More diversification

Positions

This portfolio is a pure equity mix built entirely from nine ETFs, with no bonds or cash components. Roughly half sits in broad core equity funds, while the rest is spread across more specialized “smart beta” strategies targeting small caps, value, and momentum. The largest single position is a U.S. core equity ETF at 30%, and the top three holdings together make up 65% of the portfolio by weight. That creates a clear core-plus-satellite structure: broad, diversified funds at the center, surrounded by more aggressive tilts. A setup like this can behave differently from a plain index tracker, because the satellites are deliberately leaning into certain styles rather than mirroring the market.

Growth Info

Over the period from late 2021 to mid‑2026, $1,000 in this portfolio grew to about $1,940, a compound annual growth rate (CAGR) of 14.98%. CAGR is like your average speed on a long road trip, smoothing out bumps along the way. This beat both the U.S. market (14.08% CAGR) and global market (12.03% CAGR) over the same window. The deepest drop, or max drawdown, was -23.48%, slightly milder than both benchmarks. That means the portfolio experienced a meaningful but not extreme downturn and recovered within about two years, reflecting typical equity risk but with a payoff in stronger overall returns for this specific period. Past performance, of course, isn’t a promise.

Projection Info

The Monte Carlo projection uses many simulated paths based on historical behavior to estimate a range of future outcomes. Think of it as running the next 15 years 1,000 different ways, shuffling returns each time, to see what’s “typical” versus more extreme. In these simulations, the median outcome turns $1,000 into about $2,696, with a wide “likely” band from roughly $1,757 to $4,176. The annualized return across all paths is 8.06%, much lower than the recent historical CAGR, which shows how cautious these models can be. Importantly, the range is very broad: some paths end near break‑even, others multiples higher. It’s a reminder that projections are rough guides, not forecasts.

Asset classes Info

  • Stocks
    100%

All of this portfolio is in stocks, with 0% in bonds, cash, or alternative assets. That makes the asset allocation very straightforward but also fully exposed to equity market ups and downs. In diversified “all‑in‑one” portfolios, it’s more common to see a mix of stocks and bonds to smooth the ride; here, all the risk and return comes from shares. This can be powerful over long horizons because stocks have historically delivered higher growth than bonds, but it also means more sensitivity to market swings and economic cycles. The equity‑only structure aligns with the “Balanced” label on risk only when you consider factor tilts and geography, not asset class mix.

Sectors Info

  • Technology
    25%
  • Financials
    17%
  • Industrials
    15%
  • Consumer Discretionary
    10%
  • Energy
    7%
  • Health Care
    6%
  • Telecommunications
    6%
  • Basic Materials
    6%
  • Consumer Staples
    4%
  • Utilities
    2%
  • Real Estate
    1%

Sector‑wise, the portfolio leans heavily into Technology at 25%, with Financials (17%) and Industrials (15%) next in line. The rest is more evenly spread across Consumer areas, Energy, Health Care, Telecom, Materials, Utilities, and a small slice of Real Estate. This is somewhat more tech‑tilted than a plain global index but still reasonably broad across the economy. High tech exposure often boosts growth potential but can add volatility, especially when interest rates or regulation shift. On the positive side, the meaningful allocations to Financials and Industrials balance some of that, so the portfolio isn’t a pure growth or single‑theme bet; it’s more of a diversified equity mix with a tech‑leaning flavor.

Regions Info

  • North America
    72%
  • Europe Developed
    11%
  • Japan
    5%
  • Asia Developed
    5%
  • Asia Emerging
    3%
  • Africa/Middle East
    1%
  • Australasia
    1%
  • Latin America
    1%

Geographically, about 72% of the portfolio sits in North America, with the rest spread across Europe, Japan, other developed Asia, and smaller allocations to emerging regions. That U.S./North America tilt is higher than a typical global market index, where the U.S. is closer to 60%. This has worked well over the past decade as U.S. markets, especially large tech and consumer names, have outperformed many other regions. The trade‑off is that a large share of economic and currency exposure is tied to one main region. The presence of developed and emerging international ETFs does broaden the footprint, though, so the portfolio still participates in global growth beyond the U.S.

Market capitalization Info

  • Large-cap
    27%
  • Mega-cap
    26%
  • Mid-cap
    19%
  • Small-cap
    17%
  • Micro-cap
    11%

By market cap, the portfolio spreads across the full spectrum: roughly 26% in mega‑caps, 27% in large‑caps, 19% in mid‑caps, 17% in small‑caps, and 11% in micro‑caps. This is a much stronger tilt to smaller companies than a standard global index, which is dominated by mega and large names. Smaller and micro‑cap stocks tend to be more volatile and less widely followed but have historically offered higher return potential over long periods. A structure like this often leads to a bumpier ride day‑to‑day yet can behave differently than large‑cap benchmarks, since smaller companies are influenced by more local or niche business drivers.

True holdings Info

  • NVIDIA Corporation
    3.32%
    Part of fund(s):
    • Dimensional U.S. Equity ETF
    • Invesco S&P 500® Momentum ETF
  • Micron Technology Inc
    2.15%
    Part of fund(s):
    • Dimensional U.S. Equity ETF
    • Invesco S&P 500® Momentum ETF
  • Apple Inc.
    1.87%
    Part of fund(s):
    • Dimensional U.S. Equity ETF
  • Broadcom Inc
    1.76%
    Part of fund(s):
    • Dimensional U.S. Equity ETF
    • Invesco S&P 500® Momentum ETF
  • Alphabet Inc Class A
    1.58%
    Part of fund(s):
    • Dimensional U.S. Equity ETF
    • Invesco S&P 500® Momentum ETF
  • Alphabet Inc Class C
    1.29%
    Part of fund(s):
    • Dimensional U.S. Equity ETF
    • Invesco S&P 500® Momentum ETF
  • Microsoft Corporation
    1.26%
    Part of fund(s):
    • Dimensional U.S. Equity ETF
  • Amazon.com Inc
    1.03%
    Part of fund(s):
    • Dimensional U.S. Equity ETF
  • Johnson & Johnson
    0.61%
    Part of fund(s):
    • Invesco S&P 500® Momentum ETF
  • Lam Research Corp
    0.60%
    Part of fund(s):
    • Invesco S&P 500® Momentum ETF
  • Top 10 total 15.49%

Looking through to the top underlying holdings, the largest single stock exposures include NVIDIA, Micron, Apple, Broadcom, Alphabet, Microsoft, and Amazon, all held via ETFs rather than directly. None of these exceed about 3.3% of the total portfolio, and most are closer to 1–2%. That suggests no single company dominates overall risk, even though several big tech names appear in multiple funds. Because only ETF top‑10 positions are captured, actual overlap is likely somewhat higher than reported. Still, based on the available data, concentration risk at the individual‑stock level looks moderate, and the core exposures match what you’d expect from diversified U.S. and global equity strategies.

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 shows clear tilts toward value (69%) and size (63%), both categorized as “High” relative to a market‑neutral 50% baseline. Factor investing is about leaning into characteristics like cheapness (value) or smaller company size that research has linked to long‑term returns. Here, a value tilt means more exposure to stocks trading at lower prices relative to fundamentals, while the size tilt reflects the bigger role of smaller companies. Momentum, quality, low volatility, and yield all sit near neutral, so they don’t meaningfully reshape the portfolio’s behavior. In practice, this mix can outperform or lag the broad market depending on whether value and smaller caps are in or out of favor during a given cycle.

Risk contribution Info

  • Dimensional U.S. Equity ETF
    Weight: 30.00%
    29.3%
  • Avantis® U.S. Small Cap Value ETF
    Weight: 20.00%
    23.4%
  • Invesco S&P 500® Momentum ETF
    Weight: 15.00%
    15.8%
  • Dimensional World ex U.S. Core Equity 2 ETF
    Weight: 10.00%
    8.4%
  • Invesco S&P MidCap Momentum ETF
    Weight: 5.00%
    5.9%
  • Top 5 risk contribution 82.8%

Risk contribution measures how much each holding drives total portfolio volatility, which can differ from its simple weight. The 30% Dimensional U.S. Equity ETF contributes about 29.3% of risk, almost one‑for‑one with its size. The 20% Avantis U.S. Small Cap Value ETF contributes roughly 23.4% of risk, and the 5% Invesco S&P MidCap Momentum ETF contributes about 5.9%, both slightly “louder” than their weights. Together, the top three positions by weight account for about 68.5% of overall risk. That’s fairly typical for a core‑plus structure where the main core ETF and a big small‑cap value tilt shape most of the ride, while the smaller satellites have more marginal impact.

Redundant positions Info

  • Dimensional World ex U.S. Core Equity 2 ETF
    Avantis International Large Cap
    Avantis® International Small Cap Value ETF
    High correlation

Among the holdings, some funds move very closely together. The international small‑cap value ETF and the international large‑cap fund are highly correlated, as are the international large‑cap and the Dimensional world ex‑U.S. core ETF. Correlation simply means how similarly two assets move over time; highly correlated ones tend to rise and fall together. When several holdings are very tightly linked, the diversification benefit between them is limited, even if they look different by name. In this case, the developed ex‑U.S. funds behave similarly, so they function more like one combined international bucket than fully independent sources of risk and return.

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.

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The risk‑return optimization chart compares the current portfolio to an “efficient frontier” built from these same ETFs with different weightings. The efficient frontier shows the best expected return available at each risk level. Right now, the portfolio’s Sharpe ratio (a measure of return per unit of risk) is 0.67, while the optimal mix reaches 1.07 and even the minimum‑variance mix scores 0.76. The current allocation sits about 3.2 percentage points below the frontier at its risk level, meaning the same set of funds could, in theory, be combined in a way that offers a better tradeoff between expected return and volatility, without adding anything new.

Dividends Info

  • Avantis® International Small Cap Value ETF 2.80%
  • Avantis® Emerging Markets Value ETF 2.50%
  • Avantis International Large Cap 2.50%
  • Avantis® U.S. Small Cap Value ETF 1.30%
  • Dimensional World ex U.S. Core Equity 2 ETF 2.30%
  • Dimensional U.S. Equity ETF 0.90%
  • Invesco S&P International Developed Momentum ETF 3.70%
  • Invesco S&P 500® Momentum ETF 0.70%
  • Invesco S&P MidCap Momentum ETF 0.60%
  • Weighted yield (per year) 1.47%

The portfolio’s total dividend yield is about 1.47%, which is modest for an all‑equity mix. Individual ETFs vary quite a bit: some international and value‑oriented funds yield 2.3–3.7%, while the U.S. momentum and growth‑tilted funds yield well under 1%. Dividends are the cash payouts companies make from profits; over long periods, they can contribute a meaningful chunk of total return, especially when reinvested. Here, a relatively low overall yield suggests more of the portfolio’s expected return is coming from price appreciation rather than income. That’s consistent with the significant exposure to growthy and momentum‑type strategies, which often prioritize reinvestment over high payouts.

Ongoing product costs Info

  • Avantis® International Small Cap Value ETF 0.36%
  • Avantis® Emerging Markets Value ETF 0.36%
  • Avantis International Large Cap 0.25%
  • Avantis® U.S. Small Cap Value ETF 0.25%
  • Dimensional World ex U.S. Core Equity 2 ETF 0.28%
  • Dimensional U.S. Equity ETF 0.09%
  • 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%
  • Weighted costs total (per year) 0.20%

The weighted average total expense ratio (TER) across the ETFs is about 0.20% per year, which is impressively low for a portfolio using several specialized, factor‑focused funds. TER is the annual fee charged by each ETF, expressed as a percentage of assets; lower ongoing costs leave more of any future returns in the investor’s pocket. The cheapest holding is the core U.S. equity ETF at 0.09%, while the more niche small‑cap and emerging markets strategies run closer to 0.25–0.36%, which is typical for those segments. Overall, the cost structure aligns well with best practices for long‑term investing, providing a solid foundation for compounding.

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