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
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 every 3 months.
The earliest data available for this chart is Aug 4, 2014, corresponding to the inception date of DBSCX
Returns By Period
As of Jan 25, 2025, the Low volatility returned 0.65% Year-To-Date and 3.59% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 2.22% | 0.69% | 10.04% | 22.93% | 12.98% | 11.70% |
| Low volatility | 0.64% | 0.47% | 2.56% | 6.59% | 4.07% | 3.58% |
| Portfolio components: | ||||||
UUP Invesco DB US Dollar Index Bullish Fund | -0.75% | -0.21% | 5.60% | 9.85% | 4.34% | 3.01% |
LCSIX LoCorr Long/Short Commodity Strategies Fund | 2.06% | 0.79% | -5.96% | -7.95% | 3.40% | 5.15% |
QLEIX AQR Long-Short Equity Fund | 3.56% | 3.17% | 12.32% | 27.75% | 16.22% | 9.06% |
HICOX Colorado Bond Shares A Tax Exempt Fund | 0.16% | 0.35% | 3.02% | 7.83% | 3.85% | 4.29% |
DBSCX Doubleline Selective Credit Fund | 0.27% | 0.51% | 3.26% | 8.38% | 2.53% | 3.99% |
ENIAX SEI Institutional Investments Trust Opportunistic Income Fund | 0.50% | 0.54% | 3.65% | 8.06% | 4.57% | 3.99% |
PGTYX Putnam Global Technology Fund | 4.02% | 2.04% | 4.91% | 17.88% | 10.68% | 14.20% |
SVARX Spectrum Low Volatility Fund | 0.47% | -0.31% | 0.64% | 2.48% | 5.58% | 5.55% |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | -3.79% | -3.76% | -5.35% | 1.66% | -3.14% | -0.63% |
YCS ProShares UltraShort Yen | 0.89% | -1.87% | 6.94% | 22.95% | 19.51% | 8.21% |
VMFXX Vanguard Federal Money Market Fund | 0.00% | 0.38% | 2.51% | 5.25% | 2.45% | 1.65% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 0.28% | 0.31% | 2.39% | 5.08% | 2.37% | 1.64% |
USFR WisdomTree Bloomberg Floating Rate Treasury Fund | 0.32% | 0.38% | 2.46% | 5.35% | 2.61% | 1.91% |
SWVXX Schwab Value Advantage Money Fund | 0.00% | 0.37% | 2.25% | 4.46% | 2.32% | 1.59% |
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 1.16% | 0.74% | 0.90% | 0.03% | 1.03% | 1.15% | 0.04% | 0.41% | 0.72% | 0.09% | 0.97% | -0.42% | 7.01% |
| 2023 | 1.54% | -0.02% | 0.48% | 0.45% | 0.52% | 0.70% | 0.64% | 0.42% | 0.27% | 0.00% | 1.72% | 0.97% | 7.94% |
| 2022 | -0.24% | -0.42% | 0.12% | -0.33% | 0.04% | -0.68% | 0.74% | -0.05% | -1.03% | 0.39% | 0.62% | -0.17% | -1.03% |
| 2021 | 0.45% | 0.69% | 0.14% | 0.71% | 0.05% | 0.72% | 0.05% | 0.28% | 0.03% | 0.59% | -0.14% | -0.69% | 2.88% |
| 2020 | 0.94% | 0.27% | -2.32% | 1.22% | 0.99% | 1.04% | 0.72% | 0.54% | 0.08% | -0.30% | 0.73% | 0.25% | 4.19% |
| 2019 | 0.50% | 0.78% | 0.57% | 0.69% | -0.11% | 0.43% | 0.38% | 0.10% | 0.10% | 0.03% | 0.28% | 0.31% | 4.12% |
| 2018 | 0.58% | -0.22% | 0.29% | 0.35% | 0.75% | 0.07% | 0.30% | 0.45% | 0.28% | -0.53% | 0.22% | -0.62% | 1.92% |
| 2017 | 0.30% | 0.34% | 0.37% | 0.29% | 0.31% | 0.15% | 0.24% | 0.96% | 0.32% | 0.50% | -0.13% | -0.02% | 3.68% |
| 2016 | 0.30% | -0.18% | 0.32% | -0.16% | 0.62% | 0.03% | 0.63% | 0.23% | 0.15% | 0.30% | 0.04% | -0.10% | 2.22% |
| 2015 | 0.37% | 0.35% | 0.22% | -0.09% | 0.59% | -0.23% | 0.71% | -0.37% | 0.24% | 0.43% | 0.41% | 0.25% | 2.90% |
| 2014 | 0.48% | 0.55% | 0.40% | 0.54% | -0.05% | 1.93% |
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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
With an overall rank of 98, Low volatility is among the top 2% 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 | 1.61 | 2.39 | 1.30 | 2.32 | 6.40 |
LCSIX LoCorr Long/Short Commodity Strategies Fund | -1.37 | -1.77 | 0.79 | -0.60 | -1.73 |
QLEIX AQR Long-Short Equity Fund | 3.66 | 5.10 | 1.74 | 4.89 | 23.75 |
HICOX Colorado Bond Shares A Tax Exempt Fund | 2.60 | 3.92 | 1.63 | 4.45 | 15.06 |
DBSCX Doubleline Selective Credit Fund | 2.85 | 4.19 | 1.57 | 6.79 | 15.07 |
ENIAX SEI Institutional Investments Trust Opportunistic Income Fund | 8.54 | 27.12 | 12.30 | 64.23 | 380.38 |
PGTYX Putnam Global Technology Fund | 0.81 | 1.19 | 1.16 | 1.06 | 3.05 |
SVARX Spectrum Low Volatility Fund | 0.68 | 0.95 | 1.17 | 1.00 | 1.87 |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 0.11 | 0.27 | 1.03 | 0.06 | 0.31 |
YCS ProShares UltraShort Yen | 1.02 | 1.45 | 1.20 | 1.00 | 2.41 |
VMFXX Vanguard Federal Money Market Fund | 3.62 | — | — | — | — |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 20.23 | 262.12 | 152.33 | 464.67 | 4,265.14 |
USFR WisdomTree Bloomberg Floating Rate Treasury Fund | 16.41 | 55.88 | 14.11 | 89.63 | 769.85 |
SWVXX Schwab Value Advantage Money Fund | 3.40 | — | — | — | — |
Dividends
Dividend yield
Low volatility provided a 5.00% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 5.00% | 5.06% | 5.04% | 2.96% | 1.70% | 1.52% | 2.57% | 3.01% | 2.18% | 2.19% | 2.12% | 1.83% |
| Portfolio components: | ||||||||||||
UUP Invesco DB US Dollar Index Bullish Fund | 4.51% | 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 | 2.64% | 2.69% | 1.89% | 10.75% | 7.14% | 2.93% | 0.54% | 12.36% | 0.02% | 3.20% | 7.35% | 9.86% |
QLEIX AQR Long-Short Equity Fund | 6.88% | 7.12% | 20.80% | 10.30% | 0.00% | 0.00% | 0.00% | 0.37% | 4.04% | 1.86% | 4.82% | 7.12% |
HICOX Colorado Bond Shares A Tax Exempt Fund | 5.45% | 5.44% | 4.97% | 4.43% | 3.84% | 4.00% | 4.07% | 4.03% | 4.69% | 4.73% | 4.13% | 4.79% |
DBSCX Doubleline Selective Credit Fund | 7.09% | 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 | 6.75% | 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 | 0.00% | 0.00% | 0.57% | 1.71% | 0.00% | 0.00% | 0.58% | 0.49% | 0.00% | 0.83% | 0.00% | 5.14% |
SVARX Spectrum Low Volatility Fund | 8.46% | 8.49% | 3.35% | 0.00% | 5.70% | 0.71% | 3.38% | 2.41% | 4.79% | 6.68% | 3.02% | 2.82% |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 3.63% | 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 | 5.11% | 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 | 5.01% | 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 | 4.70% | 5.17% | 5.12% | 1.78% | 0.01% | 0.40% | 2.08% | 1.67% | 1.04% | 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.
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 4.15%, occurring on Mar 23, 2020. Recovery took 59 trading sessions.
The current Low volatility drawdown is 0.12%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -4.15% | Feb 21, 2020 | 22 | Mar 23, 2020 | 59 | Jun 16, 2020 | 81 |
| -2.82% | Nov 22, 2021 | 216 | Sep 30, 2022 | 126 | Apr 3, 2023 | 342 |
| -1.3% | Oct 4, 2018 | 56 | Dec 24, 2018 | 36 | Feb 15, 2019 | 92 |
| -1.1% | Jul 17, 2024 | 14 | Aug 5, 2024 | 29 | Sep 13, 2024 | 43 |
| -0.86% | Dec 5, 2024 | 17 | Dec 30, 2024 | — | — | — |
Volatility
Volatility Chart
The current Low volatility volatility is 0.52%, 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
Asset Correlations Table
| VMFXX | USFR | LCSIX | BIL | SWVXX | ENIAX | QLEIX | BTAL | UUP | DBSCX | HICOX | PGTYX | YCS | SVARX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| VMFXX | 1.00 | 0.04 | -0.02 | 0.04 | 0.08 | 0.02 | -0.05 | 0.03 | 0.00 | 0.03 | 0.06 | -0.02 | -0.02 | 0.03 |
| USFR | 0.04 | 1.00 | 0.01 | 0.18 | 0.02 | 0.05 | 0.00 | -0.03 | 0.04 | -0.01 | -0.01 | 0.02 | 0.02 | 0.03 |
| LCSIX | -0.02 | 0.01 | 1.00 | -0.02 | -0.02 | 0.00 | -0.01 | 0.02 | -0.04 | 0.10 | 0.07 | -0.04 | -0.09 | -0.02 |
| BIL | 0.04 | 0.18 | -0.02 | 1.00 | 0.04 | 0.06 | 0.01 | 0.01 | 0.01 | 0.02 | 0.04 | 0.01 | -0.01 | 0.02 |
| SWVXX | 0.08 | 0.02 | -0.02 | 0.04 | 1.00 | 0.01 | 0.02 | -0.01 | -0.03 | 0.01 | 0.25 | 0.02 | -0.01 | 0.00 |
| ENIAX | 0.02 | 0.05 | 0.00 | 0.06 | 0.01 | 1.00 | 0.12 | -0.13 | -0.08 | 0.22 | 0.12 | 0.15 | -0.02 | 0.27 |
| QLEIX | -0.05 | 0.00 | -0.01 | 0.01 | 0.02 | 0.12 | 1.00 | -0.15 | -0.07 | -0.11 | -0.08 | 0.37 | 0.16 | 0.16 |
| BTAL | 0.03 | -0.03 | 0.02 | 0.01 | -0.01 | -0.13 | -0.15 | 1.00 | 0.10 | 0.00 | 0.00 | -0.45 | -0.13 | -0.30 |
| UUP | 0.00 | 0.04 | -0.04 | 0.01 | -0.03 | -0.08 | -0.07 | 0.10 | 1.00 | -0.19 | -0.13 | -0.13 | 0.55 | -0.20 |
| DBSCX | 0.03 | -0.01 | 0.10 | 0.02 | 0.01 | 0.22 | -0.11 | 0.00 | -0.19 | 1.00 | 0.34 | 0.02 | -0.31 | 0.23 |
| HICOX | 0.06 | -0.01 | 0.07 | 0.04 | 0.25 | 0.12 | -0.08 | 0.00 | -0.13 | 0.34 | 1.00 | 0.06 | -0.26 | 0.24 |
| PGTYX | -0.02 | 0.02 | -0.04 | 0.01 | 0.02 | 0.15 | 0.37 | -0.45 | -0.13 | 0.02 | 0.06 | 1.00 | 0.14 | 0.36 |
| YCS | -0.02 | 0.02 | -0.09 | -0.01 | -0.01 | -0.02 | 0.16 | -0.13 | 0.55 | -0.31 | -0.26 | 0.14 | 1.00 | -0.08 |
| SVARX | 0.03 | 0.03 | -0.02 | 0.02 | 0.00 | 0.27 | 0.16 | -0.30 | -0.20 | 0.23 | 0.24 | 0.36 | -0.08 | 1.00 |