SF Low Risk Portfolio
This is a low risk portfolio designed by Jeff Stephan. It contains ETFs to reduce volatility and provide diversification and reasonable asset allocation. Target return is 7.5%CAGR consistently over decades. It is outperforming in 2024 due to GLD doing very well.
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in SF Low Risk Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced every 3 months.
The earliest data available for this chart is Dec 11, 2009, corresponding to the inception date of SCHG
Returns By Period
As of Apr 22, 2025, the SF Low Risk Portfolio returned 1.04% Year-To-Date and 8.58% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -12.30% | -8.99% | -11.89% | 3.84% | 13.06% | 9.34% |
| SF Low Risk Portfolio | -6.64% | -5.74% | -6.45% | 10.17% | 13.20% | 9.95% |
| Portfolio components: | ||||||
GLD SPDR Gold Trust | 30.34% | 13.32% | 25.62% | 42.78% | 14.37% | 10.85% |
VNQ Vanguard Real Estate ETF | -3.57% | -4.84% | -9.27% | 12.09% | 7.12% | 4.42% |
SHY iShares 1-3 Year Treasury Bond ETF | 1.87% | 0.49% | 2.29% | 6.02% | 1.07% | 1.38% |
SPTI SPDR Portfolio Intermediate Term Treasury ETF | 3.07% | 0.22% | 1.89% | 7.19% | -1.04% | 1.17% |
VGLT Vanguard Long-Term Treasury ETF | -0.10% | -4.39% | -3.83% | 1.88% | -9.38% | -1.00% |
DEW WisdomTree Global High Dividend Fund | 2.26% | -4.31% | -1.37% | 12.83% | 13.09% | 5.37% |
SCHX Schwab U.S. Large-Cap ETF | -12.17% | -9.03% | -11.34% | 6.38% | 15.63% | 12.57% |
SCHG Schwab U.S. Large-Cap Growth ETF | -17.32% | -10.27% | -13.60% | 6.24% | 16.68% | 13.78% |
SCHV Schwab U.S. Large-Cap Value ETF | -5.41% | -7.09% | -8.25% | 6.48% | 15.16% | 10.94% |
Monthly Returns
The table below presents the monthly returns of SF Low Risk Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 3.01% | -0.68% | -3.54% | -5.40% | -6.64% | ||||||||
| 2024 | 0.88% | 4.13% | 3.74% | -3.36% | 4.16% | 3.18% | 2.00% | 2.31% | 2.68% | -0.51% | 5.00% | -2.64% | 23.35% |
| 2023 | 6.17% | -2.72% | 3.84% | 1.21% | 0.02% | 5.12% | 3.06% | -1.62% | -3.86% | -1.52% | 8.10% | 4.97% | 24.31% |
| 2022 | -4.86% | -1.88% | 2.69% | -7.80% | -0.44% | -6.50% | 7.03% | -3.81% | -7.88% | 5.73% | 5.67% | -4.07% | -16.37% |
| 2021 | -1.00% | 1.36% | 2.94% | 4.66% | 1.10% | 1.58% | 2.16% | 2.30% | -4.17% | 5.60% | -0.95% | 3.52% | 20.41% |
| 2020 | 0.49% | -5.92% | -9.50% | 9.77% | 3.87% | 1.88% | 5.22% | 4.93% | -2.95% | -2.08% | 8.19% | 4.02% | 17.35% |
| 2019 | 6.33% | 2.27% | 1.63% | 2.65% | -4.23% | 6.49% | 0.86% | -0.24% | 1.36% | 1.88% | 2.18% | 2.87% | 26.36% |
| 2018 | 3.98% | -3.30% | -1.44% | 0.10% | 1.58% | 0.14% | 2.33% | 2.01% | 0.15% | -4.95% | 1.71% | -5.25% | -3.37% |
| 2017 | 1.88% | 2.96% | 0.39% | 0.93% | 0.99% | 0.27% | 1.78% | 0.67% | 1.10% | 1.28% | 2.17% | 1.37% | 16.94% |
| 2016 | -2.89% | 1.27% | 5.17% | 0.95% | 0.27% | 1.91% | 2.80% | -0.52% | 0.42% | -1.89% | 1.06% | 1.61% | 10.37% |
| 2015 | -0.19% | 2.70% | -0.76% | 0.86% | 0.57% | -1.72% | 0.61% | -3.96% | -1.74% | 5.69% | -0.72% | -0.88% | 0.12% |
| 2014 | -1.89% | 4.03% | 0.09% | 0.76% | 1.23% | 2.57% | -1.48% | 2.55% | -2.15% | 1.22% | 1.52% | -0.27% | 8.25% |
Expense Ratio
SF Low Risk Portfolio has an expense ratio of 0.18%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
With an overall rank of 91, SF Low Risk Portfolio is among the top 9% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
GLD SPDR Gold Trust | 2.63 | 3.46 | 1.46 | 5.38 | 14.44 |
VNQ Vanguard Real Estate ETF | 0.70 | 1.05 | 1.14 | 0.49 | 2.45 |
SHY iShares 1-3 Year Treasury Bond ETF | 3.69 | 6.49 | 1.84 | 6.19 | 17.78 |
SPTI SPDR Portfolio Intermediate Term Treasury ETF | 1.53 | 2.34 | 1.27 | 0.56 | 3.62 |
VGLT Vanguard Long-Term Treasury ETF | 0.13 | 0.27 | 1.03 | 0.04 | 0.26 |
DEW WisdomTree Global High Dividend Fund | 1.04 | 1.45 | 1.21 | 1.21 | 5.64 |
SCHX Schwab U.S. Large-Cap ETF | 0.27 | 0.51 | 1.07 | 0.28 | 1.19 |
SCHG Schwab U.S. Large-Cap Growth ETF | 0.14 | 0.37 | 1.05 | 0.15 | 0.54 |
SCHV Schwab U.S. Large-Cap Value ETF | 0.47 | 0.75 | 1.11 | 0.48 | 1.97 |
Dividends
Dividend yield
SF Low Risk Portfolio provided a 2.21% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.21% | 2.15% | 2.07% | 1.60% | 1.16% | 1.54% | 1.88% | 2.06% | 1.59% | 1.83% | 1.79% | 1.75% |
| Portfolio components: | ||||||||||||
GLD SPDR Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VNQ Vanguard Real Estate ETF | 4.27% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.95% | 3.92% | 2.99% | 1.30% | 0.24% | 0.94% | 2.12% | 1.72% | 0.98% | 0.71% | 0.54% | 0.36% |
SPTI SPDR Portfolio Intermediate Term Treasury ETF | 3.74% | 3.75% | 2.99% | 1.45% | 0.53% | 0.75% | 2.02% | 1.97% | 1.46% | 1.23% | 1.18% | 1.05% |
VGLT Vanguard Long-Term Treasury ETF | 4.46% | 4.33% | 3.33% | 2.83% | 1.82% | 2.15% | 2.46% | 2.71% | 2.55% | 2.69% | 3.21% | 2.75% |
DEW WisdomTree Global High Dividend Fund | 4.00% | 4.02% | 4.55% | 3.82% | 3.55% | 4.10% | 3.74% | 4.17% | 3.18% | 3.42% | 4.32% | 5.00% |
SCHX Schwab U.S. Large-Cap ETF | 1.40% | 1.22% | 1.39% | 1.64% | 1.22% | 1.64% | 1.82% | 2.17% | 1.70% | 1.92% | 2.04% | 1.76% |
SCHG Schwab U.S. Large-Cap Growth ETF | 0.49% | 0.40% | 0.46% | 0.55% | 0.42% | 0.52% | 0.82% | 1.27% | 1.01% | 1.04% | 1.22% | 1.09% |
SCHV Schwab U.S. Large-Cap Value ETF | 2.43% | 2.25% | 2.42% | 2.38% | 1.93% | 3.03% | 3.02% | 3.05% | 2.37% | 3.96% | 2.69% | 2.38% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Worst Drawdowns
The table below displays the maximum drawdowns of the SF Low Risk Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the SF Low Risk Portfolio was 26.60%, occurring on Mar 23, 2020. Recovery took 89 trading sessions.
The current SF Low Risk Portfolio drawdown is 3.85%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -26.6% | Feb 20, 2020 | 23 | Mar 23, 2020 | 89 | Jul 29, 2020 | 112 |
| -22.61% | Dec 28, 2021 | 202 | Oct 14, 2022 | 290 | Dec 11, 2023 | 492 |
| -15.16% | Feb 20, 2025 | 34 | Apr 8, 2025 | — | — | — |
| -13.09% | Sep 21, 2018 | 65 | Dec 24, 2018 | 55 | Mar 15, 2019 | 120 |
| -9.73% | May 19, 2015 | 170 | Jan 20, 2016 | 58 | Apr 13, 2016 | 228 |
Volatility
Volatility Chart
The current SF Low Risk Portfolio volatility is 11.06%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 9 assets, with an effective number of assets of 5.79, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| GLD | SHY | VGLT | VNQ | SPTI | SCHG | DEW | SCHV | SCHX | |
|---|---|---|---|---|---|---|---|---|---|
| GLD | 1.00 | 0.32 | 0.24 | 0.11 | 0.30 | 0.05 | 0.14 | 0.04 | 0.05 |
| SHY | 0.32 | 1.00 | 0.60 | 0.05 | 0.81 | -0.12 | -0.11 | -0.16 | -0.15 |
| VGLT | 0.24 | 0.60 | 1.00 | -0.02 | 0.82 | -0.23 | -0.24 | -0.29 | -0.27 |
| VNQ | 0.11 | 0.05 | -0.02 | 1.00 | 0.03 | 0.57 | 0.63 | 0.67 | 0.65 |
| SPTI | 0.30 | 0.81 | 0.82 | 0.03 | 1.00 | -0.19 | -0.19 | -0.24 | -0.22 |
| SCHG | 0.05 | -0.12 | -0.23 | 0.57 | -0.19 | 1.00 | 0.67 | 0.77 | 0.95 |
| DEW | 0.14 | -0.11 | -0.24 | 0.63 | -0.19 | 0.67 | 1.00 | 0.86 | 0.79 |
| SCHV | 0.04 | -0.16 | -0.29 | 0.67 | -0.24 | 0.77 | 0.86 | 1.00 | 0.91 |
| SCHX | 0.05 | -0.15 | -0.27 | 0.65 | -0.22 | 0.95 | 0.79 | 0.91 | 1.00 |