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Factor-nerd small cap obsession with a secret love of pain and oddly decent past performance

Report created on May 6, 2026

Risk profile Info

4/7
Balanced
Less risk More risk

Diversification profile Info

4/5
Broadly Diversified
Less diversification More diversification
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Positions

This portfolio is basically a shrine to factor investing built out of tiny companies with attitude problems. Over a third is in one U.S. small cap value fund, then another big chunk in international small cap value, and the rest is a sampler platter of momentum, quality, and one lonely health care sector ETF. It looks “diversified” at first glance, but under the hood it’s the same theme shouted in different accents: small, cheap, volatile. Structurally, it’s a barbell with the heavy end sitting squarely on small-cap value and a thin sprinkling of other smart-beta toys for decoration. It’s less a balanced portfolio and more a very specific bet wearing a Halloween costume labeled “balanced.”

Growth Info

Historically, this science experiment has actually worked: about 25.3% CAGR since late 2023, edging out both the U.S. and global markets by around 1 percentage point per year. That’s hot-rod territory. But max drawdown was roughly -19%, very similar to the benchmarks, so you’re not getting smoother sailing for that extra return — just a slightly faster roller coaster. Also, those gains are concentrated: 90% of returns came from just 20 days, which means missing a few good days would have wrecked the story. As usual, past data is yesterday’s weather report: nice to look at, terrible as a crystal ball, especially over such a short period.

Projection Info

The Monte Carlo projection basically says, “This could go great, or it could be aggressively meh.” Monte Carlo is just a fancy way of running lots of what-if futures by shaking historical return and volatility patterns in a bag. Median outcome takes $1,000 to about $2,733 in 15 years, but the “likely” range is $1,817–$4,280, and the wider range stretches from almost no real progress to “champagne time.” About 74% of simulations end positive, which sounds comforting until you remember 26% don’t. Simulations lean heavily on past behavior, so if the small-cap/value love affair breaks, these projections start looking more like fan fiction than forecasting.

Asset classes Info

  • Stocks
    100%

Asset classes: 100% stocks, zero bonds, zero anything else. So “Balanced Investors” on the label, but the contents are basically full-equity pre-workout. There’s no ballast here — no defensive assets to turn a market crash into a gentle dip instead of a faceplant. All-in equities is fine if that’s intentional, but slapping a 4/7 risk score on a portfolio that’s literally nothing but stocks is like calling a full-espresso diet “moderate caffeine exposure.” The implication is simple: when markets party, this can rip; when markets sulk, everything in here walks off the same cliff together with no one holding the umbrella.

Sectors Info

  • Financials
    19%
  • Industrials
    17%
  • Technology
    12%
  • Consumer Discretionary
    12%
  • Health Care
    11%
  • Energy
    10%
  • Basic Materials
    8%
  • Consumer Staples
    4%
  • Telecommunications
    3%
  • Utilities
    2%
  • Real Estate
    2%

Sector-wise, this thing is reasonably spread, but in a very “we own pieces of everything, but nothing dominates” kind of way. Financials and industrials are top billing, with tech and consumer discretionary trailing but still meaningful. Then you’ve got a weird cameo from a dedicated health care ETF on top of already broad exposure, which adds a little sector cosplay and extra concentration in one theme. No single sector is absurdly overloaded, but nothing is truly central either. It’s like a portfolio that couldn’t pick a favorite industry, so it half-committed to several while still letting small cap value drive the vibe rather than any sector view.

Regions Info

  • North America
    63%
  • Europe Developed
    10%
  • Asia Developed
    8%
  • Japan
    6%
  • Asia Emerging
    6%
  • Africa/Middle East
    3%
  • Latin America
    2%
  • Australasia
    1%
  • Europe Emerging
    1%

Geographically, it’s “USA first, but fine, we’ll let the rest of the world in.” Around 63% in North America and the rest scattered across developed and emerging markets in single digits. That’s less “America or bust” than many portfolios, but still a clear home bias. The non-U.S. slice is mostly there via small cap value and momentum approaches, not broad, boring global coverage. Translation: international exposure exists, but it’s not the calm, index-like kind; it’s the scrappy bar-fight version. In global terms, this is still a U.S.-anchored portfolio that flirted with international diversification, then insisted on doing it the high-volatility way.

Market capitalization Info

  • Small-cap
    37%
  • Mid-cap
    21%
  • Micro-cap
    20%
  • Large-cap
    13%
  • Mega-cap
    9%

Market cap exposure is where the portfolio stops pretending to be normal. About 77% is in small, micro, and mid caps, with only 22% in large and mega caps. That’s an aggressive tilt toward the shaky end of town. Big stable household names barely get a look-in; this thing is mostly built out of companies you have to Google. Smaller caps can punch harder in good times but also leak confidence (and price) fast when markets get spooked. This is not “broad market” — it’s a deliberate size bet masquerading behind a balanced risk label. Stability is rented here, not owned.

True holdings Info

  • Johnson & Johnson
    0.83%
    Part of fund(s):
    • Health Care Select Sector SPDR® Fund
    • Invesco S&P 500® Momentum ETF
  • Eli Lilly and Company
    0.76%
    Part of fund(s):
    • Health Care Select Sector SPDR® Fund
  • ViaSat Inc
    0.68%
    Part of fund(s):
    • Avantis® U.S. Small Cap Value ETF
    • Invesco S&P SmallCap Momentum ETF
  • NVIDIA Corporation
    0.50%
    Part of fund(s):
    • Invesco S&P 500® Momentum ETF
  • Broadcom Inc
    0.44%
    Part of fund(s):
    • Invesco S&P 500® Momentum ETF
  • Stonex Group Inc
    0.40%
    Part of fund(s):
    • Avantis® U.S. Small Cap Value ETF
    • Invesco S&P SmallCap Momentum ETF
  • TechnipFMC PLC
    0.39%
    Part of fund(s):
    • Invesco S&P MidCap Quality ETF
  • AbbVie Inc
    0.38%
    Part of fund(s):
    • Health Care Select Sector SPDR® Fund
  • Micron Technology Inc
    0.36%
    Part of fund(s):
    • Invesco S&P 500® Momentum ETF
  • Matson Inc
    0.32%
    Part of fund(s):
    • Avantis® U.S. Small Cap Value ETF
  • Top 10 total 5.05%

Look-through holdings are only covered for about 18% of the portfolio, so the x-ray is more blurry ultrasound than MRI. Still, what we can see is a scatter of usual suspects like NVIDIA, Broadcom, and big health care names showing up in multiple ETFs. Overlap isn’t huge in percentage terms yet, but that’s with top-10 holdings only — real duplication underneath is likely higher. The main story: despite the small-cap branding, there’s still some mega-cap hitchhiking its way in through factor products and that health care ETF. It’s not disastrous, just a bit like buying niche funds and still ending up owning the same celebrity stocks everyone else has.

Factors Info

Value
Preference for undervalued stocks
Very high
Data availability: 88%
Size
Exposure to smaller companies
High
Data availability: 100%
Momentum
Exposure to recently outperforming stocks
Neutral
Data availability: 62%
Quality
Preference for financially healthy companies
High
Data availability: 64%
Yield
Preference for dividend-paying stocks
Neutral
Data availability: 100%
Low Volatility
Preference for stable, lower-risk stocks
Neutral
Data availability: 92%

Factor exposures are estimated using statistical models based on historical data and measure systematic (market-relative) tilts, not absolute portfolio characteristics. Results may vary depending on the analysis period, data availability, and currency of the underlying assets.

Factor-wise, this portfolio didn’t dabble; it went full convert. Value is at 84% — an outright obsession — and size at 75%, clearly tilted to smaller companies. Quality is also high at 74%, which is at least a responsible adult in the room. Momentum, yield, and low volatility sit near neutral, so they’re not driving the bus. Factor exposure is basically the ingredient list: this recipe screams “cheap, small, reasonably solid businesses,” which tends to shine in certain market regimes and sulk in others. The combo of heavy value and size is anything but accidental here; this is a loud, one-theme factor play, not a quiet, balanced blend.

Risk contribution Info

  • Avantis® U.S. Small Cap Value ETF
    Weight: 34.44%
    42.7%
  • Avantis® International Small Cap Value ETF
    Weight: 15.56%
    12.9%
  • Invesco S&P SmallCap Momentum ETF
    Weight: 7.78%
    9.6%
  • Invesco S&P MidCap Quality ETF
    Weight: 7.78%
    8.3%
  • Avantis® Emerging Markets Value ETF
    Weight: 8.33%
    6.4%
  • Top 5 risk contribution 79.9%

Risk contribution reveals who’s actually shaking the portfolio, and the answer is: that 34% U.S. small cap value chunk is doing 43% of the total risk. The small cap momentum ETF also punches above its weight, contributing more risk than its allocation would suggest. Meanwhile, the international small cap value and emerging markets value funds actually contribute less risk than their size would hint at, which is a rare moment of restraint in this line-up. Overall, the top three holdings crank out 65% of total risk. That’s concentration with a capital C — the headline weights understate how much the biggest position is actually steering the emotional roller coaster.

Redundant positions Info

  • Avantis® Emerging Markets Value ETF
    American Century ETF Trust
    High correlation

The asset correlation note basically says the emerging markets value ETF and the American Century ETF Trust are moving almost in lockstep. So two different labels, same dance moves. Highly correlated positions are like owning two umbrellas that both break in the same kind of storm: comforting right up until the moment they fail together. From a risk perspective, this kind of pair doesn’t really diversify much; it just doubles down on one flavor of market behavior. It’s not a crisis on its own, but it does mean the portfolio looks more varied than it really behaves when stress shows up.

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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On the efficient frontier, this portfolio is quite literally leaving performance on the table. At its current risk level, it’s about 9.3 percentage points below what could be achieved just by reweighting the existing holdings. The Sharpe ratio — a simple “return per unit of risk” score — is 1.23, while the optimal mix gets to a beefy 1.99 with similar volatility. Translation: the ingredients are decent, but the recipe is sloppy. You don’t even need new funds to improve the risk/return tradeoff; the math says just changing proportions could move this from “enthusiastic amateur” to “actually using a measuring cup.”

Dividends Info

  • Avantis® International Small Cap Value ETF 2.80%
  • Avantis® Emerging Markets Value ETF 2.90%
  • Avantis® U.S. Small Cap Value ETF 1.30%
  • Invesco S&P International Developed Momentum ETF 3.60%
  • Invesco S&P 500® Momentum ETF 0.70%
  • Health Care Select Sector SPDR® Fund 1.70%
  • Invesco S&P MidCap Quality ETF 0.60%
  • Invesco S&P SmallCap Momentum ETF 0.50%
  • American Century ETF Trust 2.00%
  • Weighted yield (per year) 1.75%

Yield is around 1.75%, which is basically the portfolio whispering, “You’re here for growth, not cash flow.” Several holdings throw off token dividends, but the small cap and momentum focus drags income down. This isn’t a paycheck portfolio; it’s a reinvest-and-hope-the-factors-work-out setup. Chasing yield clearly wasn’t the goal, which is fine, but it does mean any “income” you see is more side effect than design. In a world where some investors obsess over yield, this one seems proudly uninterested, leaning fully into total return and volatility instead of steady, boring cash drips.

Ongoing product costs Info

  • Avantis® International Small Cap Value ETF 0.36%
  • Avantis® Emerging Markets 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%
  • Health Care Select Sector SPDR® Fund 0.09%
  • Invesco S&P MidCap Quality ETF 0.25%
  • Invesco S&P SmallCap Momentum ETF 0.39%
  • American Century ETF Trust 0.42%
  • Weighted costs total (per year) 0.29%

Costs land at a total TER of 0.29%, which is higher than plain vanilla index funds but pretty reasonable for a zoo full of factor- and style-heavy ETFs. You’re not getting bargain-basement pricing, but you also aren’t paying hedge-fund-theater rates. Some holdings push north of 0.35–0.40%, which is the surcharge for fancy tilts and clever marketing. Think of it as paying extra for a customized playlist instead of radio — better be sure you actually like the factors you’re buying. Fees won’t sink this portfolio, but they’re definitely nibbling at the edges of those hard-earned returns every single year.

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