Asset Allocation
Find the right asset allocation for low volitility
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in low volitility, 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.
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Returns By Period
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.50% | 0.31% | 8.56% | 8.85% | 24.33% | 19.37% | 11.84% | 13.61% |
Portfolio low volitility | 0.08% | 2.46% | 35.56% | 38.59% | 75.91% | — | — | — |
| Portfolio components: | ||||||||
CCNR ALPS/CoreCommodity Natural Resources ETF | 0.78% | -3.42% | 21.92% | 23.45% | 55.12% | — | — | — |
EMDM First Trust Bloomberg Emerging Market Democracies ETF | 0.70% | 6.11% | 36.28% | 42.03% | 83.08% | 30.34% | — | — |
EMEQ Nomura Focused Emerging Markets Equity ETF | 0.81% | 10.20% | 70.13% | 81.37% | 141.42% | — | — | — |
EWY iShares MSCI South Korea ETF | -0.75% | 10.39% | 103.10% | 117.85% | 203.95% | 46.46% | 18.80% | 16.84% |
FDT First Trust Developed Markets ex-US AlphaDEX Fund | 0.21% | 0.87% | 23.23% | 24.33% | 50.01% | 27.84% | 12.16% | 11.17% |
FDTS First Trust Developed Markets ex-US Small Cap AlphaDEX Fund | -0.17% | -2.15% | 18.78% | 20.77% | 44.72% | 24.70% | 10.78% | 10.96% |
FPA First Trust Asia Pacific ex-Japan AlphaDEX Fund | -0.27% | 3.70% | 47.02% | 47.32% | 65.35% | 29.68% | 12.60% | 11.11% |
FRDM Freedom 100 Emerging Markets ETF | 0.49% | 9.04% | 40.13% | 46.37% | 87.32% | 34.29% | 18.68% | — |
GOOY YieldMax GOOGL Option Income Strategy ETF | 0.00% | -7.48% | 13.92% | 14.56% | 81.48% | — | — | — |
IDV iShares International Select Dividend ETF | 0.31% | 0.43% | 13.60% | 15.83% | 36.40% | 25.11% | 12.17% | 10.92% |
Monthly Returns
Based on dividend-adjusted daily data since Dec 4, 2024, low volitility's average daily return is +0.18%, while the average monthly return is +3.71%. At this rate, an investment would double in approximately 1.6 years.
Historically, 74% of months were positive and 26% were negative. The best month was Apr 2026 with a return of +14.2%, while the worst month was Mar 2026 at -7.2%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 2 months.
On a daily basis, low volitility closed higher 62% of trading days. The best single day was Apr 9, 2025 with a return of +8.0%, while the worst single day was Apr 4, 2025 at -6.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 11.62% | 9.10% | -7.20% | 14.18% | 7.80% | -2.54% | 35.56% | ||||||
| 2025 | 3.04% | -0.65% | -0.24% | 2.14% | 6.04% | 8.43% | 1.92% | 4.34% | 6.08% | 6.72% | 0.01% | 3.45% | 49.38% |
| 2024 | -3.77% | -3.77% |
Benchmark Metrics
low volitility has an annualized alpha of 37.19%, beta of 0.96, and R2 of 0.68 versus S&P 500 Index. Calculated based on daily prices since December 04, 2024.
- This portfolio captured 200.21% of S&P 500 Index gains but only 3.40% of its losses - a favorable profile for investors.
- This portfolio generated an annualized alpha of 37.19% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- With beta of 0.96 and R2 of 0.68, this portfolio moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 37.19%
- Beta
- 0.96
- R²
- 0.68
- Upside Capture
- 200.21%
- Downside Capture
- 3.40%
Expense Ratio
low volitility has an expense ratio of 0.61%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Top 10 holdings
Return for Risk
Risk / Return Rank
low volitility ranks 96 for risk / return — in the top 96% of Portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for low volitility and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 3.77 | 1.86 | +1.90 |
| Sortino ratioReturn per unit of downside risk | 4.43 | 2.53 | +1.90 |
| Omega ratioGain probability vs. loss probability | 1.66 | 1.34 | +0.33 |
| Calmar ratioReturn relative to maximum drawdown | 7.21 | 2.53 | +4.68 |
| Martin ratioReturn relative to average drawdown | 29.92 | 11.37 | +18.55 |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
CCNR ALPS/CoreCommodity Natural Resources ETF | 93 | 3.05 | 3.71 | 1.51 | 7.25 | 25.70 |
EMDM First Trust Bloomberg Emerging Market Democracies ETF | 92 | 3.21 | 3.78 | 1.55 | 5.18 | 20.59 |
EMEQ Nomura Focused Emerging Markets Equity ETF | 95 | 3.89 | 4.03 | 1.61 | 7.71 | 28.78 |
EWY iShares MSCI South Korea ETF | 95 | 4.29 | 4.08 | 1.59 | 8.65 | 30.24 |
FDT First Trust Developed Markets ex-US AlphaDEX Fund | 83 | 2.54 | 3.27 | 1.46 | 3.70 | 14.01 |
FDTS First Trust Developed Markets ex-US Small Cap AlphaDEX Fund | 78 | 2.37 | 3.15 | 1.42 | 3.43 | 11.78 |
FPA First Trust Asia Pacific ex-Japan AlphaDEX Fund | 82 | 2.41 | 3.02 | 1.42 | 4.32 | 14.88 |
FRDM Freedom 100 Emerging Markets ETF | 91 | 3.15 | 3.68 | 1.54 | 5.02 | 19.36 |
GOOY YieldMax GOOGL Option Income Strategy ETF | 93 | 3.51 | 4.76 | 1.60 | 5.06 | 18.64 |
IDV iShares International Select Dividend ETF | 87 | 2.69 | 3.52 | 1.49 | 4.13 | 15.32 |
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Dividends
Dividend yield
low volitility provided a 4.93% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 4.93% | 4.92% | 4.64% | 2.57% | 1.69% | 1.80% | 1.18% | 1.45% | 1.28% | 1.35% | 1.08% | 1.14% |
| Portfolio components: | ||||||||||||
CCNR ALPS/CoreCommodity Natural Resources ETF | 2.86% | 3.48% | 1.27% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
EMDM First Trust Bloomberg Emerging Market Democracies ETF | 2.62% | 3.57% | 5.87% | 2.16% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
EMEQ Nomura Focused Emerging Markets Equity ETF | 1.62% | 2.76% | 0.84% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
EWY iShares MSCI South Korea ETF | 1.03% | 2.10% | 2.55% | 2.52% | 1.23% | 2.16% | 0.73% | 2.10% | 1.34% | 2.90% | 1.21% | 2.42% |
FDT First Trust Developed Markets ex-US AlphaDEX Fund | 2.89% | 3.27% | 3.89% | 4.36% | 2.29% | 3.80% | 2.42% | 2.78% | 2.13% | 1.57% | 1.76% | 1.83% |
FDTS First Trust Developed Markets ex-US Small Cap AlphaDEX Fund | 2.53% | 2.94% | 3.94% | 2.90% | 3.71% | 3.01% | 2.02% | 2.30% | 1.96% | 2.08% | 1.78% | 1.73% |
FPA First Trust Asia Pacific ex-Japan AlphaDEX Fund | 3.63% | 4.71% | 3.40% | 3.02% | 4.22% | 5.12% | 1.59% | 3.90% | 2.81% | 3.15% | 2.42% | 1.74% |
FRDM Freedom 100 Emerging Markets ETF | 1.56% | 2.26% | 2.53% | 2.66% | 2.72% | 2.17% | 1.11% | 1.07% | 0.00% | 0.00% | 0.00% | 0.00% |
GOOY YieldMax GOOGL Option Income Strategy ETF | 49.78% | 41.50% | 36.74% | 7.90% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
IDV iShares International Select Dividend ETF | 4.40% | 4.94% | 6.46% | 6.51% | 7.33% | 5.78% | 5.47% | 5.15% | 5.93% | 4.52% | 4.69% | 5.08% |
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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the low volitility. 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 low volitility was 13.77%, occurring on Apr 8, 2025. Recovery took 17 trading sessions.
The current low volitility drawdown is 3.69%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2025 selloff2025 | -13.77%Apr 2025 | 1mo 16d | 24d | 2mo 10dFeb 2025 - May 2025 |
2026 correction2026 | -10.37%Mar 2026 | 28d | 14d | 1mo 12dMar 2026 - Apr 2026 |
2026 pullback2026 | -8.27%Jun 2026 | 7d | — | 12d 21hJun 2026 - now |
2025 pullback2025 | -5.27%Nov 2025 | 16d | 14d | 1moNov 2025 - Dec 2025 |
2024 pullback2024 | -4.51%Dec 2024 | 12d | 1mo 4d | 1mo 16dDec 2024 - Jan 2025 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 16 assets, with an effective number of assets of 16.00, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | All Time | |
|---|---|---|
Diversification Ratio | 1.24 | 1.23 |
The portfolio has a diversification ratio of 1.23, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
low volitility correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.83 |
Correlation (All Time) Calculated using the full available price history since Dec 4, 2024 | 0.81 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VOO has the highest benchmark correlation at 1.00, while RNWZ has the lowest at 0.35.
Asset Correlations Table
Find what low volitility is missing
See which holdings overlap, where low volitility is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification