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low correlation
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


ICSH 25%GLD 10%SPLG 65%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorTarget 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.


-10.00%-5.00%0.00%5.00%AugustSeptemberOctoberNovemberDecember2025
3.79%
2.98%
low correlation
Benchmark (^GSPC)
Portfolio components

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.


YTD1M6M1Y5Y*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%
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%
*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
20241.31%4.33%3.31%-3.11%4.29%2.97%1.34%2.20%2.20%-0.46%4.78%-2.08%22.82%
20235.45%-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%
20200.44%-6.20%-9.59%10.10%3.84%1.71%5.31%5.30%-3.24%-1.93%7.82%3.47%16.24%
20196.49%2.64%1.25%3.08%-4.62%5.93%1.17%-0.82%1.12%1.86%2.66%2.49%25.35%
20184.21%-2.85%-1.58%0.28%1.84%0.16%2.39%2.57%0.32%-5.21%1.56%-6.43%-3.28%
20171.80%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.


Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for ICSH: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
Expense ratio chart for SPLG: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

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.


The Risk-Adjusted Performance Rank of low correlation is 8080
Overall Rank
The Sharpe Ratio Rank of low correlation is 7878
Sharpe Ratio Rank
The Sortino Ratio Rank of low correlation is 7979
Sortino Ratio Rank
The Omega Ratio Rank of low correlation is 8585
Omega Ratio Rank
The Calmar Ratio Rank of low correlation is 7575
Calmar Ratio Rank
The Martin Ratio Rank of low correlation is 8585
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.


Sharpe ratio
The chart of Sharpe ratio for low correlation, currently valued at 2.05, compared to the broader market-1.000.001.002.003.004.002.051.73
The chart of Sortino ratio for low correlation, currently valued at 2.74, compared to the broader market-2.000.002.004.002.742.33
The chart of Omega ratio for low correlation, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.381.32
The chart of Calmar ratio for low correlation, currently valued at 3.08, compared to the broader market0.002.004.006.008.0010.003.082.59
The chart of Martin ratio for low correlation, currently valued at 13.49, compared to the broader market0.0010.0020.0030.0013.4910.80
low correlation
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SPLG
SPDR Portfolio S&P 500 ETF
1.882.511.352.8111.90
ICSH
iShares Ultra Short-Term Bond ETF
12.7632.387.4766.50452.95
GLD
SPDR Gold Trust
2.062.701.353.8310.41

The current low correlation Sharpe ratio is 2.05. 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 1.19 to 1.88, 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 correlation 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 Ratio1.502.002.503.003.50AugustSeptemberOctoberNovemberDecember2025
2.05
1.73
low correlation
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

low correlation provided a 2.14% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.14%2.14%2.13%1.51%0.92%1.31%1.82%2.00%1.48%1.50%1.42%1.28%
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.


-8.00%-6.00%-4.00%-2.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-3.40%
-4.17%
low correlation
Benchmark (^GSPC)
Portfolio components

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, 202023Mar 23, 202092Aug 3, 2020115
-20.72%Jan 5, 2022194Oct 12, 2022286Dec 1, 2023480
-14.7%Sep 21, 201865Dec 24, 201866Apr 1, 2019131
-10.08%May 19, 2015183Feb 8, 201680Jun 2, 2016263
-7.65%Sep 3, 202014Sep 23, 202037Nov 13, 202051

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.


2.00%3.00%4.00%5.00%6.00%AugustSeptemberOctoberNovemberDecember2025
3.99%
4.67%
low correlation
Benchmark (^GSPC)
Portfolio components

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.

SPLGGLDICSH
SPLG1.000.000.04
GLD0.001.000.10
ICSH0.040.101.00
The correlation results are calculated based on daily price changes starting from Dec 17, 2013
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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