PortfoliosLab logo
PortfoliosLab logo
Tools
Portfolios
Screeners
Discussions
low correlation
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

low correlation

Currency in USD · Last updated May 11, 2025

Asset Allocation

ICSH 25%GLDM 10%SCHD 32.5%SCHV 32.5%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorTarget Weight
GLDM
SPDR Gold MiniShares Trust		Precious Metals, Gold
10%
ICSH
iShares Ultra Short-Term Bond ETF		Money Market, Actively Managed
25%
SCHD
Schwab US Dividend Equity ETF		Large Cap Growth Equities, Dividend
32.50%
SCHV
Schwab U.S. Large-Cap Value ETF		Large Cap Blend Equities
32.50%
VXUS
Vanguard Total International Stock ETF		Foreign Large Cap Equities
0%

Performance

Performance Chart

Loading data...

The earliest data available for this chart is Jun 26, 2018, corresponding to the inception date of GLDM

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		-3.77%7.44%-5.60%8.37%14.12%10.46%
low correlation1.68%3.83%-1.63%8.79%11.74%N/A
Portfolio components:
ICSH
iShares Ultra Short-Term Bond ETF		1.72%0.43%2.38%5.38%2.94%2.57%
SCHD
Schwab US Dividend Equity ETF		-4.97%3.04%-9.89%1.08%12.64%10.39%
VXUS
Vanguard Total International Stock ETF		10.58%11.19%6.81%9.90%10.82%5.13%
SCHV
Schwab U.S. Large-Cap Value ETF		0.99%7.03%-3.61%9.91%16.11%11.70%
GLDM
SPDR Gold MiniShares Trust		26.81%4.98%23.91%40.70%14.32%N/A
*Annualized

Monthly Returns

The table below presents the monthly returns of low correlation, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.69%1.65%-0.28%-2.82%0.52%1.68%
20240.11%1.94%4.42%-2.51%1.95%0.33%4.08%2.11%1.85%0.23%3.21%-4.43%13.72%
20232.71%-2.67%0.77%0.35%-2.88%3.69%2.84%-1.33%-2.68%-1.46%4.83%4.58%8.59%
2022-1.94%-0.58%1.86%-3.36%1.60%-5.19%3.17%-2.11%-5.19%7.03%5.42%-1.65%-1.79%
2021-0.93%3.03%5.21%2.24%2.55%-1.24%0.90%1.35%-2.85%3.27%-1.52%4.64%17.57%
2020-0.84%-6.08%-8.30%8.59%2.56%0.03%3.98%2.94%-1.89%-0.60%8.07%3.29%10.85%
20194.68%2.51%0.70%2.13%-4.42%5.99%0.91%-0.49%2.11%1.17%1.59%2.80%21.13%
2018-0.14%2.76%1.14%0.46%-3.37%2.10%-4.49%-1.75%

Expense Ratio

low correlation has an expense ratio of 0.07%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

GLDM
SPDR Gold MiniShares Trust
ICSH
iShares Ultra Short-Term Bond ETF
VXUS
Vanguard Total International Stock ETF
SCHD
Schwab US Dividend Equity ETF
SCHV
Schwab U.S. Large-Cap Value ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 77, low correlation is among the top 23% 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 correlation is 7777
Overall Rank
The Sharpe Ratio Rank of low correlation is 7373
Sharpe Ratio Rank
The Sortino Ratio Rank of low correlation is 7575
Sortino Ratio Rank
The Omega Ratio Rank of low correlation is 7777
Omega Ratio Rank
The Calmar Ratio Rank of low correlation is 7979
Calmar Ratio Rank
The Martin Ratio Rank of low correlation is 7979
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
ICSH
iShares Ultra Short-Term Bond ETF		11.7327.296.1265.44356.73
SCHD
Schwab US Dividend Equity ETF		0.080.321.040.150.49
VXUS
Vanguard Total International Stock ETF		0.601.001.130.782.46
SCHV
Schwab U.S. Large-Cap Value ETF		0.641.071.150.732.74
GLDM
SPDR Gold MiniShares Trust		2.423.341.435.4014.50

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 correlation Sharpe ratios as of May 11, 2025 (values are recalculated daily):

  • 1-Year: 0.87
  • 5-Year: 1.10
  • All Time: 0.81

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 0.41 to 0.94, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of low correlation compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

Loading data...

Dividends

Dividend yield

low correlation provided a 3.30% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio3.30%3.23%3.12%2.29%1.64%2.32%2.60%2.54%1.97%2.44%1.98%1.74%
Portfolio components:
ICSH
iShares Ultra Short-Term Bond ETF		4.97%5.24%4.78%1.66%0.42%1.21%2.61%2.20%1.36%0.88%0.54%0.46%
SCHD
Schwab US Dividend Equity ETF		4.04%3.64%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%
VXUS
Vanguard Total International Stock ETF		3.00%3.37%3.25%3.09%3.10%2.14%3.06%3.17%2.73%2.93%2.83%3.40%
SCHV
Schwab U.S. Large-Cap Value ETF		2.28%2.25%2.42%2.38%1.93%3.03%3.02%3.05%2.37%3.96%2.69%2.38%
GLDM
SPDR Gold MiniShares Trust		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.

Loading data...

Worst Drawdowns

The table below displays the maximum drawdowns of the low correlation. 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 correlation was 23.80%, occurring on Mar 23, 2020. Recovery took 97 trading sessions.

The current low correlation drawdown is 2.82%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-23.8%Feb 13, 202027Mar 23, 202097Aug 10, 2020124
-12.28%Jan 13, 2022180Sep 30, 202271Jan 12, 2023251
-10.2%Sep 24, 201864Dec 24, 201837Feb 19, 2019101
-8.88%Dec 2, 202487Apr 8, 2025———
-6.36%Aug 1, 202363Oct 27, 202324Dec 1, 202387

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

Loading data...

Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 5 assets, with an effective number of assets of 3.52, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of 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.
^GSPCICSHGLDMVXUSSCHDSCHVPortfolio
^GSPC1.000.050.070.800.800.860.83
ICSH0.051.000.190.080.040.050.08
GLDM0.070.191.000.230.050.060.19
VXUS0.800.080.231.000.710.760.76
SCHD0.800.040.050.711.000.940.97
SCHV0.860.050.060.760.941.000.97
Portfolio0.830.080.190.760.970.971.00
The correlation results are calculated based on daily price changes starting from Jun 27, 2018