Low volatility
This portfolio has low volatility, but has never had a lower sharpe ratio than the ^GSPC since the past 10 years.
Asset Allocation
Performance
Performance Chart
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The earliest data available for this chart is Aug 4, 2014, corresponding to the inception date of DBSCX
Returns By Period
As of May 28, 2025, the Low volatility returned 1.18% Year-To-Date and 3.57% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 0.12% | 6.51% | -1.84% | 10.98% | 14.10% | 10.82% |
| Low volatility | 1.23% | 0.74% | 1.46% | 4.65% | 4.23% | 3.57% |
| Portfolio components: | ||||||
UUP Invesco DB US Dollar Index Bullish Fund | -6.15% | 1.43% | -3.49% | 0.82% | 3.09% | 2.30% |
LCSIX LoCorr Long/Short Commodity Strategies Fund | 0.23% | -1.80% | -3.69% | -9.43% | 1.11% | 4.65% |
QLEIX AQR Long-Short Equity Fund | 14.92% | 4.60% | 17.09% | 23.86% | 24.99% | 11.63% |
HICOX Colorado Bond Shares A Tax Exempt Fund | 0.75% | 1.34% | 0.36% | 6.32% | 4.51% | 4.48% |
DBSCX Doubleline Selective Credit Fund | 3.22% | 1.03% | 2.93% | 9.46% | 4.55% | 4.10% |
ENIAX SEI Institutional Investments Trust Opportunistic Income Fund | 0.63% | 0.75% | 1.04% | 5.25% | 5.06% | 3.88% |
PGTYX Putnam Global Technology Fund | -0.74% | 13.01% | -2.18% | 5.96% | 16.79% | 19.61% |
SVARX Spectrum Low Volatility Fund | 1.31% | 0.55% | 0.08% | 3.41% | 4.59% | 5.40% |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 3.68% | -4.10% | 4.64% | 3.98% | -3.28% | 1.16% |
YCS ProShares UltraShort Yen | -11.14% | 4.22% | -4.86% | -7.63% | 17.39% | 5.73% |
VMFXX Vanguard Federal Money Market Fund | 0.69% | 0.00% | 1.46% | 4.14% | 2.51% | 1.72% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 1.67% | 0.33% | 2.10% | 4.73% | 2.60% | 1.79% |
USFR WisdomTree Bloomberg Floating Rate Treasury Fund | 1.75% | 0.40% | 2.22% | 4.79% | 2.86% | 1.99% |
SWVXX Schwab Value Advantage Money Fund | 1.03% | 0.00% | 1.79% | 4.20% | 2.55% | 1.73% |
Monthly Returns
The table below presents the monthly returns of Low volatility, 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 | 0.57% | 0.44% | 0.01% | -0.41% | 0.62% | 1.23% | |||||||
| 2024 | 0.97% | 0.57% | 0.76% | 0.21% | 0.73% | 0.86% | 0.34% | 0.45% | 0.63% | 0.18% | 0.75% | 0.09% | 6.73% |
| 2023 | 1.29% | 0.06% | 0.40% | 0.49% | 0.40% | 0.58% | 0.56% | 0.49% | 0.35% | 0.10% | 1.37% | 0.92% | 7.22% |
| 2022 | 0.00% | -0.26% | 0.08% | -0.06% | 0.04% | -0.42% | 0.58% | 0.01% | -0.76% | 0.27% | 0.60% | 0.11% | 0.19% |
| 2021 | 0.41% | 0.43% | 0.33% | 0.41% | 0.13% | 0.43% | 0.08% | 0.13% | 0.19% | 0.29% | -0.01% | 0.39% | 3.26% |
| 2020 | 0.77% | 0.24% | -2.03% | 1.03% | 0.85% | 0.89% | 0.53% | 0.32% | 0.12% | -0.19% | 0.32% | 0.63% | 3.50% |
| 2019 | 0.50% | 0.69% | 0.51% | 0.57% | -0.02% | 0.35% | 0.37% | 0.15% | 0.14% | 0.03% | 0.23% | 0.31% | 3.89% |
| 2018 | 0.41% | -0.14% | 0.28% | 0.33% | 0.60% | 0.13% | 0.29% | 0.40% | 0.27% | -0.29% | 0.20% | -0.08% | 2.44% |
| 2017 | 0.26% | 0.32% | 0.33% | 0.26% | 0.31% | 0.14% | 0.18% | 0.83% | 0.28% | 0.41% | -0.12% | 0.32% | 3.57% |
| 2016 | 0.24% | -0.16% | 0.34% | -0.09% | 0.57% | 0.05% | 0.60% | 0.25% | 0.16% | 0.30% | 0.08% | 0.07% | 2.43% |
| 2015 | 0.37% | 0.34% | 0.21% | -0.05% | 0.53% | -0.22% | 0.67% | -0.34% | 0.24% | 0.42% | 0.34% | 0.32% | 2.86% |
| 2014 | 0.48% | 0.55% | 0.39% | 0.52% | -0.03% | 1.91% |
Expense Ratio
Low volatility has an expense ratio of 0.44%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
With an overall rank of 99, Low volatility is among the top 1% 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 | |
|---|---|---|---|---|---|
UUP Invesco DB US Dollar Index Bullish Fund | 0.11 | 0.10 | 1.01 | 0.03 | 0.07 |
LCSIX LoCorr Long/Short Commodity Strategies Fund | -1.44 | -1.79 | 0.78 | -0.70 | -1.46 |
QLEIX AQR Long-Short Equity Fund | 2.47 | 3.10 | 1.50 | 3.34 | 15.00 |
HICOX Colorado Bond Shares A Tax Exempt Fund | 1.56 | 2.17 | 1.41 | 1.80 | 7.33 |
DBSCX Doubleline Selective Credit Fund | 3.39 | 5.46 | 1.74 | 6.08 | 18.45 |
ENIAX SEI Institutional Investments Trust Opportunistic Income Fund | 2.42 | 2.69 | 2.62 | 2.36 | 9.88 |
PGTYX Putnam Global Technology Fund | 0.19 | 0.52 | 1.07 | 0.24 | 0.72 |
SVARX Spectrum Low Volatility Fund | 1.30 | 2.02 | 1.29 | 1.53 | 2.81 |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 0.20 | 0.44 | 1.05 | 0.15 | 0.57 |
YCS ProShares UltraShort Yen | -0.29 | -0.27 | 0.97 | -0.36 | -0.71 |
VMFXX Vanguard Federal Money Market Fund | 3.26 | — | — | — | — |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 20.59 | 296.78 | 205.87 | 428.93 | 4,820.56 |
USFR WisdomTree Bloomberg Floating Rate Treasury Fund | 14.91 | 45.06 | 11.18 | 79.85 | 627.45 |
SWVXX Schwab Value Advantage Money Fund | 3.38 | — | — | — | — |
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Dividends
Dividend yield
Low volatility provided a 4.95% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 4.95% | 5.25% | 5.05% | 3.02% | 2.17% | 2.06% | 2.67% | 3.34% | 2.51% | 2.42% | 2.19% | 1.82% |
| Portfolio components: | ||||||||||||
UUP Invesco DB US Dollar Index Bullish Fund | 4.77% | 4.48% | 6.45% | 0.89% | 0.00% | 0.00% | 2.03% | 1.08% | 0.10% | 0.00% | 0.00% | 0.00% |
LCSIX LoCorr Long/Short Commodity Strategies Fund | 2.69% | 2.69% | 1.89% | 10.75% | 7.14% | 2.94% | 0.54% | 12.36% | 0.02% | 3.20% | 7.35% | 9.86% |
QLEIX AQR Long-Short Equity Fund | 6.20% | 7.12% | 20.80% | 14.15% | 0.00% | 1.57% | 0.00% | 6.03% | 9.12% | 3.01% | 4.98% | 8.00% |
HICOX Colorado Bond Shares A Tax Exempt Fund | 5.57% | 5.46% | 5.01% | 4.27% | 3.84% | 4.15% | 3.79% | 4.13% | 4.24% | 5.53% | 3.78% | 4.51% |
DBSCX Doubleline Selective Credit Fund | 6.87% | 7.10% | 6.77% | 6.68% | 4.68% | 4.67% | 6.05% | 7.45% | 9.04% | 9.75% | 9.53% | 2.40% |
ENIAX SEI Institutional Investments Trust Opportunistic Income Fund | 6.55% | 6.78% | 7.08% | 4.07% | 2.67% | 4.06% | 4.32% | 3.97% | 3.01% | 2.76% | 2.55% | 2.56% |
PGTYX Putnam Global Technology Fund | 6.45% | 6.40% | 0.57% | 1.71% | 21.15% | 13.60% | 2.63% | 9.44% | 6.75% | 1.01% | 4.56% | 5.14% |
SVARX Spectrum Low Volatility Fund | 7.91% | 9.35% | 3.35% | 0.00% | 5.85% | 4.46% | 4.91% | 2.41% | 6.90% | 9.07% | 3.02% | 2.82% |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 3.37% | 3.49% | 6.14% | 1.00% | 0.00% | 0.00% | 0.88% | 0.39% | 0.00% | 0.00% | 0.00% | 0.00% |
YCS ProShares UltraShort Yen | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VMFXX Vanguard Federal Money Market Fund | 4.76% | 5.11% | 4.97% | 1.54% | 0.01% | 0.45% | 2.12% | 1.61% | 0.50% | 0.00% | 0.00% | 0.00% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 4.68% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 0.00% | 0.00% |
USFR WisdomTree Bloomberg Floating Rate Treasury Fund | 4.68% | 5.17% | 5.12% | 1.78% | 0.01% | 0.40% | 2.08% | 1.67% | 1.03% | 0.29% | 0.00% | 0.00% |
SWVXX Schwab Value Advantage Money Fund | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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 volatility. 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 volatility was 3.45%, occurring on Mar 25, 2020. Recovery took 53 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -3.45% | Feb 21, 2020 | 24 | Mar 25, 2020 | 53 | Jun 10, 2020 | 77 |
| -1.17% | Apr 3, 2025 | 12 | Apr 21, 2025 | 18 | May 15, 2025 | 30 |
| -1.02% | Aug 19, 2022 | 30 | Sep 30, 2022 | 51 | Dec 13, 2022 | 81 |
| -0.93% | Jan 18, 2022 | 105 | Jun 16, 2022 | 40 | Aug 15, 2022 | 145 |
| -0.6% | Aug 20, 2015 | 9 | Sep 1, 2015 | 36 | Oct 22, 2015 | 45 |
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 14 assets, with an effective number of assets of 8.90, 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
| ^GSPC | BIL | VMFXX | USFR | SWVXX | LCSIX | ENIAX | UUP | DBSCX | HICOX | BTAL | QLEIX | YCS | SVARX | PGTYX | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | -0.00 | -0.01 | 0.02 | 0.03 | -0.05 | 0.17 | -0.12 | 0.01 | 0.03 | -0.52 | 0.50 | 0.20 | 0.41 | 0.85 | 0.55 |
| BIL | -0.00 | 1.00 | 0.04 | 0.19 | 0.05 | -0.03 | 0.05 | 0.00 | 0.02 | 0.05 | 0.01 | 0.00 | -0.01 | 0.01 | 0.00 | 0.07 |
| VMFXX | -0.01 | 0.04 | 1.00 | 0.04 | 0.11 | -0.03 | 0.02 | 0.01 | 0.02 | 0.05 | 0.04 | -0.05 | -0.01 | 0.03 | -0.02 | 0.12 |
| USFR | 0.02 | 0.19 | 0.04 | 1.00 | 0.02 | 0.01 | 0.06 | 0.03 | -0.01 | -0.01 | -0.03 | 0.01 | 0.01 | 0.03 | 0.02 | 0.13 |
| SWVXX | 0.03 | 0.05 | 0.11 | 0.02 | 1.00 | -0.01 | 0.01 | -0.02 | 0.01 | 0.24 | -0.00 | 0.01 | -0.01 | 0.01 | 0.01 | 0.13 |
| LCSIX | -0.05 | -0.03 | -0.03 | 0.01 | -0.01 | 1.00 | 0.01 | -0.05 | 0.10 | 0.06 | 0.02 | -0.01 | -0.09 | -0.02 | -0.04 | 0.38 |
| ENIAX | 0.17 | 0.05 | 0.02 | 0.06 | 0.01 | 0.01 | 1.00 | -0.07 | 0.22 | 0.12 | -0.13 | 0.12 | -0.02 | 0.27 | 0.15 | 0.30 |
| UUP | -0.12 | 0.00 | 0.01 | 0.03 | -0.02 | -0.05 | -0.07 | 1.00 | -0.18 | -0.13 | 0.09 | -0.07 | 0.56 | -0.20 | -0.12 | 0.18 |
| DBSCX | 0.01 | 0.02 | 0.02 | -0.01 | 0.01 | 0.10 | 0.22 | -0.18 | 1.00 | 0.35 | 0.01 | -0.10 | -0.31 | 0.24 | 0.01 | 0.23 |
| HICOX | 0.03 | 0.05 | 0.05 | -0.01 | 0.24 | 0.06 | 0.12 | -0.13 | 0.35 | 1.00 | 0.01 | -0.09 | -0.26 | 0.24 | 0.05 | 0.27 |
| BTAL | -0.52 | 0.01 | 0.04 | -0.03 | -0.00 | 0.02 | -0.13 | 0.09 | 0.01 | 0.01 | 1.00 | -0.16 | -0.14 | -0.30 | -0.47 | -0.18 |
| QLEIX | 0.50 | 0.00 | -0.05 | 0.01 | 0.01 | -0.01 | 0.12 | -0.07 | -0.10 | -0.09 | -0.16 | 1.00 | 0.16 | 0.17 | 0.38 | 0.41 |
| YCS | 0.20 | -0.01 | -0.01 | 0.01 | -0.01 | -0.09 | -0.02 | 0.56 | -0.31 | -0.26 | -0.14 | 0.16 | 1.00 | -0.08 | 0.15 | 0.28 |
| SVARX | 0.41 | 0.01 | 0.03 | 0.03 | 0.01 | -0.02 | 0.27 | -0.20 | 0.24 | 0.24 | -0.30 | 0.17 | -0.08 | 1.00 | 0.36 | 0.39 |
| PGTYX | 0.85 | 0.00 | -0.02 | 0.02 | 0.01 | -0.04 | 0.15 | -0.12 | 0.01 | 0.05 | -0.47 | 0.38 | 0.15 | 0.36 | 1.00 | 0.57 |
| Portfolio | 0.55 | 0.07 | 0.12 | 0.13 | 0.13 | 0.38 | 0.30 | 0.18 | 0.23 | 0.27 | -0.18 | 0.41 | 0.28 | 0.39 | 0.57 | 1.00 |