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Low volatility
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

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.


50.00%100.00%150.00%200.00%December2025FebruaryMarchAprilMay
44.00%
193.28%
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 May 3, 2025, the Low volatility returned 0.64% Year-To-Date and 3.43% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.31%5.38%-0.74%10.90%14.93%10.61%
Low volatility0.63%-0.15%1.35%4.56%4.13%3.44%
UUP
Invesco DB US Dollar Index Bullish Fund
-6.42%-1.50%-1.87%0.43%2.73%2.56%
LCSIX
LoCorr Long/Short Commodity Strategies Fund
0.57%-1.35%-3.67%-8.28%0.62%5.04%
QLEIX
AQR Long-Short Equity Fund
10.99%3.25%17.19%23.34%22.15%9.70%
HICOX
Colorado Bond Shares A Tax Exempt Fund
-0.49%-2.01%0.50%5.34%4.45%4.06%
DBSCX
Doubleline Selective Credit Fund
2.12%-0.72%3.21%8.61%4.84%4.04%
ENIAX
SEI Institutional Investments Trust Opportunistic Income Fund
0.00%-0.99%1.16%5.12%5.37%3.81%
PGTYX
Putnam Global Technology Fund
-7.52%12.89%-11.61%1.05%9.17%12.28%
SVARX
Spectrum Low Volatility Fund
0.59%-0.34%0.84%3.47%6.47%6.47%
BTAL
AGFiQ US Market Neutral Anti-Beta Fund
6.76%-8.06%3.28%8.73%-2.83%1.59%
YCS
ProShares UltraShort Yen
-11.03%-1.28%-6.60%-1.48%17.79%6.54%
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
1.41%0.35%2.15%4.78%2.54%1.76%
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund
1.39%0.29%2.26%4.76%2.78%1.95%
SWVXX
Schwab Value Advantage Money Fund
1.03%0.00%1.79%4.64%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%-0.44%0.06%0.63%
20240.97%0.57%0.76%0.21%0.73%0.86%0.34%0.45%0.63%0.18%0.75%0.00%6.65%
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%-0.42%0.58%0.01%-0.76%0.27%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%0.57%-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%0.40%0.27%-0.29%0.20%-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 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.


Expense ratio chart for SVARX: current value is 2.34%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SVARX: 2.34%
Expense ratio chart for BTAL: current value is 2.11%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
BTAL: 2.11%
Expense ratio chart for LCSIX: current value is 1.75%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
LCSIX: 1.75%
Expense ratio chart for QLEIX: current value is 1.30%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
QLEIX: 1.30%
Expense ratio chart for YCS: current value is 1.00%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
YCS: 1.00%
Expense ratio chart for UUP: current value is 0.75%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
UUP: 0.75%
Expense ratio chart for PGTYX: current value is 0.62%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
PGTYX: 0.62%
Expense ratio chart for HICOX: current value is 0.55%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
HICOX: 0.55%
Expense ratio chart for ENIAX: current value is 0.23%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
ENIAX: 0.23%
Expense ratio chart for USFR: current value is 0.15%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
USFR: 0.15%
Expense ratio chart for BIL: current value is 0.14%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
BIL: 0.14%
Expense ratio chart for DBSCX: current value is 0.05%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
DBSCX: 0.05%
Expense ratio chart for VMFXX: current value is 0.00%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
VMFXX: 0.00%

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 100100
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.


The chart of Sharpe ratio for Portfolio, currently valued at 3.99, compared to the broader market-4.00-2.000.002.004.00
Portfolio: 3.99
^GSPC: 0.67
The chart of Sortino ratio for Portfolio, currently valued at 5.71, compared to the broader market-6.00-4.00-2.000.002.004.00
Portfolio: 5.71
^GSPC: 1.05
The chart of Omega ratio for Portfolio, currently valued at 2.01, compared to the broader market0.400.600.801.001.201.401.60
Portfolio: 2.01
^GSPC: 1.16
The chart of Calmar ratio for Portfolio, currently valued at 3.78, compared to the broader market0.002.004.006.00
Portfolio: 3.78
^GSPC: 0.68
The chart of Martin ratio for Portfolio, currently valued at 17.06, compared to the broader market0.005.0010.0015.0020.0025.00
Portfolio: 17.06
^GSPC: 2.70

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
UUP
Invesco DB US Dollar Index Bullish Fund
0.060.121.020.050.14
LCSIX
LoCorr Long/Short Commodity Strategies Fund
-1.28-1.630.80-0.62-1.33
QLEIX
AQR Long-Short Equity Fund
2.423.061.493.3014.82
HICOX
Colorado Bond Shares A Tax Exempt Fund
1.331.751.321.465.93
DBSCX
Doubleline Selective Credit Fund
3.064.651.605.3616.53
ENIAX
SEI Institutional Investments Trust Opportunistic Income Fund
2.372.632.582.3010.42
PGTYX
Putnam Global Technology Fund
0.030.261.040.030.09
SVARX
Spectrum Low Volatility Fund
1.382.011.271.423.79
BTAL
AGFiQ US Market Neutral Anti-Beta Fund
0.450.811.090.341.41
YCS
ProShares UltraShort Yen
-0.060.091.01-0.06-0.13
VMFXX
Vanguard Federal Money Market Fund
3.26
BIL
SPDR Barclays 1-3 Month T-Bill ETF
20.39246.70143.44435.174,008.47
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund
15.1145.8911.6479.74635.38
SWVXX
Schwab Value Advantage Money Fund
3.56

The current Low volatility Sharpe ratio is 4.00. 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 0.55 to 1.09, 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 Ratio0.002.004.006.008.0010.00December2025FebruaryMarchAprilMay
3.99
0.67
Low volatility
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Low volatility provided a 4.63% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio4.63%5.06%5.05%3.02%1.70%1.55%2.55%3.14%2.25%2.21%2.09%1.82%
UUP
Invesco DB US Dollar Index Bullish Fund
4.78%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
2.68%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
6.42%7.12%20.79%14.15%0.00%1.57%0.00%6.03%9.11%3.01%4.98%8.00%
HICOX
Colorado Bond Shares A Tax Exempt Fund
5.14%5.46%5.01%4.27%3.84%4.00%3.79%4.13%4.24%4.73%3.78%4.51%
DBSCX
Doubleline Selective Credit Fund
6.94%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
6.59%6.78%7.09%4.07%2.66%4.05%4.32%3.96%3.02%2.75%2.54%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
7.12%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
3.27%3.49%6.14%1.01%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
4.05%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
4.69%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
4.77%5.17%5.12%1.78%0.02%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.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-0.46%
-7.45%
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.

The current Low volatility drawdown is 0.45%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-3.45%Feb 21, 202024Mar 25, 202053Jun 10, 202077
-1.21%Apr 3, 202512Apr 21, 2025
-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

Volatility

Volatility Chart

The current Low volatility volatility is 0.77%, 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%5.00%10.00%15.00%December2025FebruaryMarchAprilMay
0.77%
14.17%
Low volatility
Benchmark (^GSPC)
Portfolio components

Diversification

Diversification Metrics


Number of Effective Assets
2.004.006.008.0010.0012.0014.00
Effective Assets: 8.90

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.

^GSPCBILUSFRVMFXXSWVXXLCSIXENIAXUUPDBSCXHICOXBTALQLEIXYCSSVARXPGTYXPortfolio
^GSPC1.000.000.02-0.010.03-0.050.17-0.130.010.03-0.520.500.190.400.850.54
BIL0.001.000.180.040.05-0.030.050.000.020.050.010.01-0.010.010.010.08
USFR0.020.181.000.040.020.010.050.03-0.01-0.01-0.030.000.010.030.020.13
VMFXX-0.010.040.041.000.11-0.030.020.010.030.050.04-0.05-0.010.03-0.010.12
SWVXX0.030.050.020.111.00-0.010.01-0.020.010.24-0.000.02-0.010.010.010.13
LCSIX-0.05-0.030.01-0.03-0.011.000.01-0.040.100.070.02-0.01-0.09-0.01-0.040.39
ENIAX0.170.050.050.020.010.011.00-0.070.220.12-0.130.12-0.020.280.150.30
UUP-0.130.000.030.01-0.02-0.04-0.071.00-0.18-0.130.09-0.070.55-0.20-0.120.17
DBSCX0.010.02-0.010.030.010.100.22-0.181.000.350.01-0.10-0.320.240.020.23
HICOX0.030.05-0.010.050.240.070.12-0.130.351.000.01-0.09-0.260.240.050.27
BTAL-0.520.01-0.030.04-0.000.02-0.130.090.010.011.00-0.16-0.14-0.30-0.46-0.17
QLEIX0.500.010.00-0.050.02-0.010.12-0.07-0.10-0.09-0.161.000.160.160.380.41
YCS0.19-0.010.01-0.01-0.01-0.09-0.020.55-0.32-0.26-0.140.161.00-0.090.150.28
SVARX0.400.010.030.030.01-0.010.28-0.200.240.24-0.300.16-0.091.000.360.39
PGTYX0.850.010.02-0.010.01-0.040.15-0.120.020.05-0.460.380.150.361.000.58
Portfolio0.540.080.130.120.130.390.300.170.230.27-0.170.410.280.390.581.00
The correlation results are calculated based on daily price changes starting from Aug 5, 2014