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Low volatility
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


S&P 500

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.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
0.12%6.51%-1.84%10.98%14.10%10.82%
Low volatility1.23%0.74%1.46%4.65%4.23%3.57%
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%
*Annualized

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
20250.57%0.44%0.01%-0.41%0.62%1.23%
20240.97%0.57%0.76%0.21%0.73%0.86%0.34%0.45%0.63%0.18%0.75%0.09%6.73%
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%
20220.00%-0.26%0.08%-0.06%0.04%-0.42%0.58%0.01%-0.76%0.27%0.60%0.11%0.19%
20210.41%0.43%0.33%0.41%0.13%0.43%0.08%0.13%0.19%0.29%-0.01%0.39%3.26%
20200.77%0.24%-2.03%1.03%0.85%0.89%0.53%0.32%0.12%-0.19%0.32%0.63%3.50%
20190.50%0.69%0.51%0.57%-0.02%0.35%0.37%0.15%0.14%0.03%0.23%0.31%3.89%
20180.41%-0.14%0.28%0.33%0.60%0.13%0.29%0.40%0.27%-0.29%0.20%-0.08%2.44%
20170.26%0.32%0.33%0.26%0.31%0.14%0.18%0.83%0.28%0.41%-0.12%0.32%3.57%
20160.24%-0.16%0.34%-0.09%0.57%0.05%0.60%0.25%0.16%0.30%0.08%0.07%2.43%
20150.37%0.34%0.21%-0.05%0.53%-0.22%0.67%-0.34%0.24%0.42%0.34%0.32%2.86%
20140.48%0.55%0.39%0.52%-0.03%1.91%
Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

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.


The Risk-Adjusted Performance Rank of Low volatility is 9999
Overall Rank
The Sharpe Ratio Rank of Low volatility is 9999
Sharpe Ratio Rank
The Sortino Ratio Rank of Low volatility is 9999
Sortino Ratio Rank
The Omega Ratio Rank of Low volatility is 9999
Omega Ratio Rank
The Calmar Ratio Rank of Low volatility is 9797
Calmar Ratio Rank
The Martin Ratio Rank of Low volatility is 9898
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.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
UUP
Invesco DB US Dollar Index Bullish Fund
0.110.101.010.030.07
LCSIX
LoCorr Long/Short Commodity Strategies Fund
-1.44-1.790.78-0.70-1.46
QLEIX
AQR Long-Short Equity Fund
2.473.101.503.3415.00
HICOX
Colorado Bond Shares A Tax Exempt Fund
1.562.171.411.807.33
DBSCX
Doubleline Selective Credit Fund
3.395.461.746.0818.45
ENIAX
SEI Institutional Investments Trust Opportunistic Income Fund
2.422.692.622.369.88
PGTYX
Putnam Global Technology Fund
0.190.521.070.240.72
SVARX
Spectrum Low Volatility Fund
1.302.021.291.532.81
BTAL
AGFiQ US Market Neutral Anti-Beta Fund
0.200.441.050.150.57
YCS
ProShares UltraShort Yen
-0.29-0.270.97-0.36-0.71
VMFXX
Vanguard Federal Money Market Fund
3.26
BIL
SPDR Barclays 1-3 Month T-Bill ETF
20.59296.78205.87428.934,820.56
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund
14.9145.0611.1879.85627.45
SWVXX
Schwab Value Advantage Money Fund
3.38

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Low volatility Sharpe ratios as of May 28, 2025 (values are recalculated daily):

  • 1-Year: 3.97
  • 5-Year: 4.56
  • 10-Year: 3.44
  • All Time: 3.49

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.55 to 1.08, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Low volatility compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend yield

Low volatility provided a 4.95% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio4.95%5.25%5.05%3.02%2.17%2.06%2.67%3.34%2.51%2.42%2.19%1.82%
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, 202024Mar 25, 202053Jun 10, 202077
-1.17%Apr 3, 202512Apr 21, 202518May 15, 202530
-1.02%Aug 19, 202230Sep 30, 202251Dec 13, 202281
-0.93%Jan 18, 2022105Jun 16, 202240Aug 15, 2022145
-0.6%Aug 20, 20159Sep 1, 201536Oct 22, 201545
Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

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

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

^GSPCBILVMFXXUSFRSWVXXLCSIXENIAXUUPDBSCXHICOXBTALQLEIXYCSSVARXPGTYXPortfolio
^GSPC1.00-0.00-0.010.020.03-0.050.17-0.120.010.03-0.520.500.200.410.850.55
BIL-0.001.000.040.190.05-0.030.050.000.020.050.010.00-0.010.010.000.07
VMFXX-0.010.041.000.040.11-0.030.020.010.020.050.04-0.05-0.010.03-0.020.12
USFR0.020.190.041.000.020.010.060.03-0.01-0.01-0.030.010.010.030.020.13
SWVXX0.030.050.110.021.00-0.010.01-0.020.010.24-0.000.01-0.010.010.010.13
LCSIX-0.05-0.03-0.030.01-0.011.000.01-0.050.100.060.02-0.01-0.09-0.02-0.040.38
ENIAX0.170.050.020.060.010.011.00-0.070.220.12-0.130.12-0.020.270.150.30
UUP-0.120.000.010.03-0.02-0.05-0.071.00-0.18-0.130.09-0.070.56-0.20-0.120.18
DBSCX0.010.020.02-0.010.010.100.22-0.181.000.350.01-0.10-0.310.240.010.23
HICOX0.030.050.05-0.010.240.060.12-0.130.351.000.01-0.09-0.260.240.050.27
BTAL-0.520.010.04-0.03-0.000.02-0.130.090.010.011.00-0.16-0.14-0.30-0.47-0.18
QLEIX0.500.00-0.050.010.01-0.010.12-0.07-0.10-0.09-0.161.000.160.170.380.41
YCS0.20-0.01-0.010.01-0.01-0.09-0.020.56-0.31-0.26-0.140.161.00-0.080.150.28
SVARX0.410.010.030.030.01-0.020.27-0.200.240.24-0.300.17-0.081.000.360.39
PGTYX0.850.00-0.020.020.01-0.040.15-0.120.010.05-0.470.380.150.361.000.57
Portfolio0.550.070.120.130.130.380.300.180.230.27-0.180.410.280.390.571.00
The correlation results are calculated based on daily price changes starting from Aug 5, 2014
Go to the full Correlations tool for more customization options