low correlation
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
GLD SPDR Gold Trust | Precious Metals, Gold | 10% |
ICSH iShares Ultra Short-Term Bond ETF | Money Market, Actively Managed | 25% |
SPLG SPDR Portfolio S&P 500 ETF | Large Cap Blend Equities | 65% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in low correlation, 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 Dec 16, 2013, corresponding to the inception date of ICSH
Returns By Period
As of Jan 14, 2025, the low correlation returned -0.53% Year-To-Date and 10.94% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -0.77% | -3.55% | 3.64% | 22.00% | 12.20% | 11.23% |
| low correlation | -0.53% | -2.82% | 3.80% | 21.87% | 12.13% | 10.94% |
| Portfolio components: | ||||||
SPLG SPDR Portfolio S&P 500 ETF | -0.77% | -3.44% | 3.65% | 23.64% | 13.78% | 13.25% |
ICSH iShares Ultra Short-Term Bond ETF | 0.14% | 0.33% | 2.60% | 5.40% | 2.76% | 2.22% |
GLD SPDR Gold Trust | 1.49% | 0.59% | 7.64% | 29.53% | 10.98% | 7.23% |
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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 1.31% | 4.33% | 3.31% | -3.11% | 4.29% | 2.97% | 1.34% | 2.20% | 2.20% | -0.46% | 4.78% | -2.08% | 22.82% |
| 2023 | 5.45% | -2.35% | 3.58% | 1.37% | 0.34% | 5.09% | 2.86% | -1.30% | -4.13% | -1.21% | 7.58% | 3.87% | 22.51% |
| 2022 | -4.43% | -2.07% | 3.15% | -7.34% | 0.01% | -6.83% | 7.17% | -3.44% | -7.63% | 6.35% | 4.97% | -4.32% | -14.90% |
| 2021 | -0.97% | 1.69% | 3.56% | 4.42% | 1.04% | 1.36% | 2.14% | 2.41% | -4.02% | 5.77% | -0.61% | 3.90% | 22.31% |
| 2020 | 0.44% | -6.20% | -9.59% | 10.10% | 3.84% | 1.71% | 5.31% | 5.30% | -3.24% | -1.93% | 7.82% | 3.47% | 16.24% |
| 2019 | 6.49% | 2.64% | 1.25% | 3.08% | -4.62% | 5.93% | 1.17% | -0.82% | 1.12% | 1.86% | 2.66% | 2.49% | 25.35% |
| 2018 | 4.21% | -2.85% | -1.58% | 0.28% | 1.84% | 0.16% | 2.39% | 2.57% | 0.32% | -5.21% | 1.56% | -6.43% | -3.28% |
| 2017 | 1.80% | 2.85% | 0.25% | 0.70% | 0.98% | 0.53% | 1.55% | 0.45% | 1.28% | 1.65% | 2.27% | 1.11% | 16.52% |
| 2016 | -4.08% | 2.07% | 4.08% | 0.30% | 0.93% | 1.02% | 2.88% | -0.18% | 0.44% | -1.85% | 2.34% | 1.09% | 9.14% |
| 2015 | -1.16% | 3.39% | -0.89% | 0.22% | 0.99% | -1.41% | 0.79% | -3.77% | -2.61% | 6.60% | -0.52% | -1.28% | -0.08% |
| 2014 | -1.33% | 3.70% | -0.20% | -0.02% | 1.62% | 2.11% | -1.34% | 2.55% | -1.32% | 0.97% | 1.87% | 0.03% | 8.84% |
Expense Ratio
low correlation has an expense ratio of 0.08%, which is considered low compared to other funds. 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 80, low correlation is among the top 20% 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 | |
|---|---|---|---|---|---|
SPLG SPDR Portfolio S&P 500 ETF | 1.88 | 2.51 | 1.35 | 2.81 | 11.90 |
ICSH iShares Ultra Short-Term Bond ETF | 12.76 | 32.38 | 7.47 | 66.50 | 452.95 |
GLD SPDR Gold Trust | 2.06 | 2.70 | 1.35 | 3.83 | 10.41 |
Dividends
Dividend yield
low correlation provided a 2.14% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.14% | 2.14% | 2.13% | 1.51% | 0.92% | 1.31% | 1.82% | 2.00% | 1.48% | 1.50% | 1.42% | 1.28% |
| Portfolio components: | ||||||||||||
SPLG SPDR Portfolio S&P 500 ETF | 1.29% | 1.28% | 1.44% | 1.69% | 1.25% | 1.54% | 1.79% | 2.23% | 1.75% | 1.97% | 1.98% | 1.79% |
ICSH iShares Ultra Short-Term Bond ETF | 5.23% | 5.24% | 4.78% | 1.66% | 0.42% | 1.22% | 2.60% | 2.19% | 1.36% | 0.88% | 0.54% | 0.46% |
GLD SPDR Gold 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.
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 27.07%, occurring on Mar 23, 2020. Recovery took 92 trading sessions.
The current low correlation drawdown is 3.40%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -27.07% | Feb 20, 2020 | 23 | Mar 23, 2020 | 92 | Aug 3, 2020 | 115 |
| -20.72% | Jan 5, 2022 | 194 | Oct 12, 2022 | 286 | Dec 1, 2023 | 480 |
| -14.7% | Sep 21, 2018 | 65 | Dec 24, 2018 | 66 | Apr 1, 2019 | 131 |
| -10.08% | May 19, 2015 | 183 | Feb 8, 2016 | 80 | Jun 2, 2016 | 263 |
| -7.65% | Sep 3, 2020 | 14 | Sep 23, 2020 | 37 | Nov 13, 2020 | 51 |
Volatility
Volatility Chart
The current low correlation volatility is 3.99%, 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
| SPLG | GLD | ICSH | |
|---|---|---|---|
| SPLG | 1.00 | 0.00 | 0.04 |
| GLD | 0.00 | 1.00 | 0.10 |
| ICSH | 0.04 | 0.10 | 1.00 |