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Low volatility
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Volatility
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Low volatility

Last updated Dec 4, 2024

This portfolio has low volatility, but has never had a lower sharpe ratio than the ^GSPC since the past 10 years.

Asset Allocation

LCSIX 5.4%BTAL 1.08%BIL 18.22%VMFXX 18%USFR 10.54%HICOX 9%DBSCX 9%ENIAX 9%SVARX 5.4%UUP 3.25%YCS 1.08%SWVXX 5.73%QLEIX 2.15%PGTYX 2.15%AlternativesAlternativesBondBondCurrencyCurrencyEquityEquity
PositionCategory/SectorWeight
BIL
SPDR Barclays 1-3 Month T-Bill ETF		Government Bonds
18.22%
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		Long-Short
1.08%
DBSCX
Doubleline Selective Credit Fund		Multisector Bonds
9%
ENIAX
SEI Institutional Investments Trust Opportunistic Income Fund		Ultrashort Bond
9%
HICOX
Colorado Bond Shares A Tax Exempt Fund		Municipal Bonds
9%
LCSIX
LoCorr Long/Short Commodity Strategies Fund		Systematic Trend
5.40%
PGTYX
Putnam Global Technology Fund		Technology Equities
2.15%
QLEIX
AQR Long-Short Equity Fund		Long-Short
2.15%
SVARX
Spectrum Low Volatility Fund		Nontraditional Bonds
5.40%
SWVXX
Schwab Value Advantage Money Fund
5.73%
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund		Government Bonds
10.54%
UUP
Invesco DB US Dollar Index Bullish Fund		Currency
3.25%
VMFXX
Vanguard Federal Money Market Fund		Money Market
18%
YCS
ProShares UltraShort Yen		Leveraged Currency, Leveraged
1.08%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Low volatility, 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 Quarterly

0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
3.09%
14.34%
Low volatility
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 4, 2014, corresponding to the inception date of DBSCX

Returns By Period

As of Dec 4, 2024, the Low volatility returned 6.53% Year-To-Date and 3.43% of annualized return in the last 10 years.

YTD1M6M1Y5Y (annualized)10Y (annualized)
^GSPC
S&P 500		26.84%5.60%14.34%32.39%14.23%11.32%
Low volatility6.53%0.64%3.09%7.48%4.01%3.43%
Portfolio components:
UUP
Invesco DB US Dollar Index Bullish Fund		10.82%2.39%5.22%8.89%4.24%3.44%
LCSIX
LoCorr Long/Short Commodity Strategies Fund		-4.20%0.11%-5.08%-3.57%4.57%5.29%
QLEIX
AQR Long-Short Equity Fund		29.04%4.80%7.72%27.82%15.22%8.63%
HICOX
Colorado Bond Shares A Tax Exempt Fund		8.00%1.30%5.66%10.32%4.01%4.28%
DBSCX
Doubleline Selective Credit Fund		7.65%0.95%5.16%10.50%2.61%4.05%
ENIAX
SEI Institutional Investments Trust Opportunistic Income Fund		8.03%0.87%4.04%9.29%4.62%3.92%
PGTYX
Putnam Global Technology Fund		32.79%5.67%13.50%38.41%14.44%14.35%
SVARX
Spectrum Low Volatility Fund		3.19%0.87%3.16%7.25%7.33%6.86%
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		10.03%-5.67%-3.62%1.76%-2.70%0.30%
YCS
ProShares UltraShort Yen		23.69%-4.10%-2.43%14.35%17.45%6.35%
VMFXX
Vanguard Federal Money Market Fund		4.46%0.00%2.19%4.93%2.32%1.57%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		4.83%0.38%2.54%5.25%2.28%1.57%
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund		5.00%0.42%2.42%5.31%2.53%1.84%
SWVXX
Schwab Value Advantage Money Fund		3.90%0.00%2.36%4.61%2.21%1.51%

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.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.97%0.55%0.76%0.21%0.75%0.84%0.34%0.47%0.60%0.18%0.57%6.53%
20231.29%0.06%0.40%0.49%0.40%0.58%0.56%0.49%0.35%0.10%1.37%0.92%7.22%
20220.01%-0.26%0.08%-0.06%0.04%-0.41%0.58%0.01%-0.76%0.26%0.57%0.01%0.06%
20210.41%0.43%0.33%0.41%0.13%0.43%0.08%0.13%0.19%0.29%0.00%0.00%2.86%
20200.77%0.24%-2.03%1.03%0.85%0.89%0.53%0.32%0.12%-0.19%0.53%0.27%3.35%
20190.50%0.69%0.51%0.58%-0.02%0.35%0.37%0.15%0.14%0.03%0.31%0.23%3.90%
20180.41%-0.14%0.28%0.33%0.60%0.13%0.29%0.41%0.27%-0.29%0.19%-0.36%2.15%
20170.26%0.32%0.33%0.26%0.31%0.14%0.18%0.83%0.28%0.41%-0.01%0.03%3.38%
20160.24%-0.16%0.34%-0.09%0.57%0.05%0.60%0.25%0.16%0.30%0.08%0.10%2.46%
20150.37%0.34%0.21%-0.05%0.53%-0.22%0.67%-0.34%0.24%0.42%0.34%0.17%2.71%
20140.48%0.55%0.38%0.52%-0.05%1.89%

Expense Ratio

Low volatility features an expense ratio of 0.44%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

SVARX
Spectrum Low Volatility Fund
Expense ratio chart for SVARX: current value at 2.34% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%2.34%
BTAL
AGFiQ US Market Neutral Anti-Beta Fund
Expense ratio chart for BTAL: current value at 2.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%2.11%
LCSIX
LoCorr Long/Short Commodity Strategies Fund
Expense ratio chart for LCSIX: current value at 1.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.75%
QLEIX
AQR Long-Short Equity Fund
Expense ratio chart for QLEIX: current value at 1.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.30%
YCS
ProShares UltraShort Yen
Expense ratio chart for YCS: current value at 1.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.00%
UUP
Invesco DB US Dollar Index Bullish Fund
Expense ratio chart for UUP: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
PGTYX
Putnam Global Technology Fund
Expense ratio chart for PGTYX: current value at 0.62% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.62%
HICOX
Colorado Bond Shares A Tax Exempt Fund
Expense ratio chart for HICOX: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%
ENIAX
SEI Institutional Investments Trust Opportunistic Income Fund
Expense ratio chart for ENIAX: current value at 0.23% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.23%
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund
Expense ratio chart for USFR: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
Expense ratio chart for BIL: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
DBSCX
Doubleline Selective Credit Fund
Expense ratio chart for DBSCX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
VMFXX
Vanguard Federal Money Market Fund
Expense ratio chart for VMFXX: current value at 0.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.00%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Low volatility is 100, placing it in the top 0% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of Low volatility is 100100
Overall Rank
The Sharpe Ratio Rank of Low volatility is 100100
Sharpe Ratio Rank
The Sortino Ratio Rank of Low volatility is 100100
Sortino Ratio Rank
The Omega Ratio Rank of Low volatility is 100100
Omega Ratio Rank
The Calmar Ratio Rank of Low volatility is 100100
Calmar Ratio Rank
The Martin Ratio Rank of Low volatility is 100100
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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
The chart of Sharpe ratio for Low volatility, currently valued at 8.58, compared to the broader market0.002.004.006.008.582.59
The chart of Sortino ratio for Low volatility, currently valued at 17.85, compared to the broader market-2.000.002.004.006.0017.853.45
The chart of Omega ratio for Low volatility, currently valued at 3.94, compared to the broader market0.801.001.201.401.601.802.003.941.48
The chart of Calmar ratio for Low volatility, currently valued at 28.62, compared to the broader market0.005.0010.0015.0028.623.73
The chart of Martin ratio for Low volatility, currently valued at 136.05, compared to the broader market0.0010.0020.0030.0040.0050.00136.0516.58
Low volatility
^GSPC
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
UUP
Invesco DB US Dollar Index Bullish Fund		1.472.201.271.555.54
LCSIX
LoCorr Long/Short Commodity Strategies Fund		-1.13-1.380.82-0.61-1.73
QLEIX
AQR Long-Short Equity Fund		3.735.271.774.8022.63
HICOX
Colorado Bond Shares A Tax Exempt Fund		3.355.371.908.5023.07
DBSCX
Doubleline Selective Credit Fund		3.184.831.653.7719.62
ENIAX
SEI Institutional Investments Trust Opportunistic Income Fund		9.2629.1912.2772.18417.39
PGTYX
Putnam Global Technology Fund		1.772.331.321.607.31
SVARX
Spectrum Low Volatility Fund		1.542.401.412.575.42
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		0.100.261.030.050.40
YCS
ProShares UltraShort Yen		0.901.291.180.872.14
VMFXX
Vanguard Federal Money Market Fund		3.46————
BIL
SPDR Barclays 1-3 Month T-Bill ETF		19.93265.97154.56470.434,329.69
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund		15.1153.8413.1188.65730.04
SWVXX
Schwab Value Advantage Money Fund		3.30————

The current Low volatility Sharpe ratio is 8.58. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.87 to 2.70, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of Low volatility with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio2.004.006.008.0010.00JulyAugustSeptemberOctoberNovemberDecember
8.58
2.59
Low volatility
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Low volatility provided a 5.06% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio5.06%5.04%2.96%1.70%1.52%2.57%3.01%2.18%2.19%2.12%1.84%0.71%
Portfolio components:
UUP
Invesco DB US Dollar Index Bullish Fund		5.82%6.45%0.89%0.00%0.00%2.03%1.08%0.10%0.00%0.00%0.00%0.00%
LCSIX
LoCorr Long/Short Commodity Strategies Fund		1.97%1.89%10.75%7.14%2.93%0.54%12.36%0.02%3.20%7.35%9.86%0.00%
QLEIX
AQR Long-Short Equity Fund		16.12%20.80%10.30%0.00%0.00%0.00%0.37%4.04%1.86%4.82%8.00%6.58%
HICOX
Colorado Bond Shares A Tax Exempt Fund		4.54%4.97%4.43%3.84%4.00%4.07%4.03%4.69%4.73%4.13%4.79%4.47%
DBSCX
Doubleline Selective Credit Fund		6.39%6.77%6.68%4.68%4.67%6.05%7.45%9.04%9.75%9.53%2.40%0.00%
ENIAX
SEI Institutional Investments Trust Opportunistic Income Fund		7.20%7.08%4.07%2.67%4.06%4.32%3.97%3.01%2.76%2.55%2.56%1.69%
PGTYX
Putnam Global Technology Fund		0.43%0.57%1.71%0.00%0.00%0.58%0.49%0.00%0.83%0.00%5.14%0.00%
SVARX
Spectrum Low Volatility Fund		7.00%3.35%0.00%5.70%0.71%3.38%2.41%4.79%6.68%3.02%2.82%0.18%
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		5.58%6.14%1.00%0.00%0.00%0.88%0.39%0.00%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		4.80%4.97%1.54%0.01%0.45%2.12%1.61%0.50%0.00%0.00%0.00%0.01%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		5.07%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund		5.23%5.12%1.78%0.01%0.40%2.08%1.67%1.04%0.29%0.00%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.

-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember00
Low volatility
Benchmark (^GSPC)
Portfolio components

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, 202024Mar 25, 202053Jun 10, 202077
-1.06%Dec 16, 2021126Jun 16, 2022139Jan 5, 2023265
-0.71%Oct 4, 201856Dec 24, 201826Feb 1, 201982
-0.6%Aug 20, 20159Sep 1, 201536Oct 22, 201545
-0.56%Nov 28, 201413Dec 16, 20147Dec 26, 201420

Volatility

Volatility Chart

The current Low volatility volatility is 0.16%, 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.

0.00%1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
0.16%
3.39%
Low volatility
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
VMFXXUSFRBILSWVXXLCSIXENIAXQLEIXBTALUUPDBSCXHICOXPGTYXYCSSVARX
VMFXX1.000.050.040.06-0.030.02-0.050.030.000.030.05-0.02-0.010.03
USFR0.051.000.170.010.010.050.00-0.030.04-0.00-0.010.020.020.03
BIL0.040.171.000.04-0.020.050.010.010.010.020.040.01-0.010.02
SWVXX0.060.010.041.00-0.030.010.02-0.01-0.030.010.240.01-0.01-0.00
LCSIX-0.030.01-0.02-0.031.000.00-0.010.03-0.040.110.07-0.04-0.08-0.02
ENIAX0.020.050.050.010.001.000.12-0.13-0.080.210.110.15-0.020.27
QLEIX-0.050.000.010.02-0.010.121.00-0.15-0.07-0.11-0.090.360.160.15
BTAL0.03-0.030.01-0.010.03-0.13-0.151.000.100.010.02-0.45-0.14-0.29
UUP0.000.040.01-0.03-0.04-0.08-0.070.101.00-0.18-0.13-0.130.55-0.20
DBSCX0.03-0.000.020.010.110.21-0.110.01-0.181.000.330.01-0.310.22
HICOX0.05-0.010.040.240.070.11-0.090.02-0.130.331.000.05-0.260.23
PGTYX-0.020.020.010.01-0.040.150.36-0.45-0.130.010.051.000.150.36
YCS-0.010.02-0.01-0.01-0.08-0.020.16-0.140.55-0.31-0.260.151.00-0.08
SVARX0.030.030.02-0.00-0.020.270.15-0.29-0.200.220.230.36-0.081.00
The correlation results are calculated based on daily price changes starting from Aug 5, 2014
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The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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