High Volatility Alpha SAA Part Liquid (ex FI,RE,FX)

The chart shows the growth of an initial investment of $10,000 in High Volatility Alpha SAA Part Liquid (ex FI,RE,FX), 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.

Based on dividend-adjusted daily data since Dec 17, 2020, High Volatility Alpha SAA Part Liquid (ex FI,RE,FX)'s average daily return is +0.04%, while the average monthly return is +1.30%. At this rate, your investment would double in approximately 4.5 years.

Historically, 58% of months were positive and 42% were negative. The best month was Mar 2021 with a return of +17.1%, while the worst month was Jan 2022 at -9.8%. The longest winning streak lasted 5 consecutive months, and the longest losing streak was 3 months.

On a daily basis, High Volatility Alpha SAA Part Liquid (ex FI,RE,FX) closed higher 52% of trading days. The best single day was Mar 18, 2021 with a return of +6.7%, while the worst single day was Mar 23, 2021 at -6.3%.

High Volatility Alpha SAA Part Liquid (ex FI,RE,FX) has an annualized alpha of 7.03%, beta of 0.62, and R² of 0.29 versus S&P 500 Index. Calculated based on daily prices since December 17, 2020.

• This portfolio captured 106.28% of S&P 500 Index gains but only 98.91% of its losses — a favorable profile for investors.
• Beta of 0.62 may look defensive, but with R² of 0.29 this portfolio is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
• R² of 0.29 means this portfolio moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.

High Volatility Alpha SAA Part Liquid (ex FI,RE,FX) has an expense ratio of 0.16%, 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.

High Volatility Alpha SAA Part Liquid (ex FI,RE,FX) ranks 15 for risk / return — in the bottom 15% of portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.

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.

High Volatility Alpha SAA Part Liquid (ex FI,RE,FX) Sharpe ratios as of Apr 3, 2026 (values are recalculated daily):

• 1-Year: 0.89
• 5-Year: 0.50
• All Time: 0.77

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 0.98 to 1.66, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of High Volatility Alpha SAA Part Liquid (ex FI,RE,FX) compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

High Volatility Alpha SAA Part Liquid (ex FI,RE,FX) provided a 3.48% dividend yield over the last twelve months.

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.

The table below displays the maximum drawdowns of the High Volatility Alpha SAA Part Liquid (ex FI,RE,FX). 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 High Volatility Alpha SAA Part Liquid (ex FI,RE,FX) was 38.13%, occurring on Oct 10, 2022. Recovery took 1004 trading sessions.

The current High Volatility Alpha SAA Part Liquid (ex FI,RE,FX) drawdown is 3.46%.

The chart below shows the rolling one-month volatility.