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Low Vol
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Low Vol

Currency in USD · Last updated May 25, 2025

Asset Allocation

GLD 25%BRK-B 25%XST.TO 25%COST 25%CommodityCommodityEquityEquity
PositionCategory/SectorTarget Weight
BRK-B
Berkshire Hathaway Inc.		Financial Services
25%
COST
Costco Wholesale Corporation		Consumer Defensive
25%
GLD
SPDR Gold Trust		Precious Metals, Gold
25%
XST.TO
iShares S&P/TSX Capped Consumer Staples Index ETF		Consumer Staples Equities
25%

S&P 500

Performance

Performance Chart

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The earliest data available for this chart is Apr 19, 2011, corresponding to the inception date of XST.TO

Returns By Period

As of May 25, 2025, the Low Vol returned 16.09% Year-To-Date and 14.90% of annualized return in the last 10 years.

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		-1.34%5.80%-2.79%9.39%14.45%10.68%
Low Vol16.09%0.37%12.08%29.02%20.92%14.90%
Portfolio components:
GLD
SPDR Gold Trust		27.93%0.55%23.98%43.46%13.67%10.52%
BRK-B
Berkshire Hathaway Inc.		11.07%-5.30%5.64%23.58%23.54%13.36%
XST.TO
iShares S&P/TSX Capped Consumer Staples Index ETF		13.77%2.41%12.97%21.70%14.49%9.19%
COST
Costco Wholesale Corporation		10.33%3.52%4.87%25.19%29.35%23.70%
*Annualized

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20253.46%5.18%1.71%5.45%-0.53%16.09%
20243.05%4.55%2.01%-1.50%5.65%1.33%4.10%4.92%0.92%-1.28%5.06%-4.08%27.08%
20235.57%-3.67%4.06%2.50%-1.93%3.15%1.89%-0.43%-1.64%0.58%4.65%4.95%20.94%
2022-2.83%2.77%8.04%-5.23%-4.20%-4.74%6.70%-4.03%-6.69%5.15%7.92%-4.70%-3.57%
2021-4.02%-1.66%5.85%4.66%5.26%-2.38%4.30%2.52%-3.44%4.50%0.61%6.38%24.08%
20202.34%-5.72%-4.61%5.60%2.00%-0.53%8.82%4.34%-0.06%-3.05%5.68%1.79%16.69%
20194.04%0.62%2.62%2.18%-2.08%6.65%0.68%4.48%-0.70%0.86%1.37%0.28%22.75%
20184.06%-3.26%-1.59%0.47%-0.49%0.35%2.38%2.07%0.87%-1.75%3.43%-4.12%2.06%
20172.52%3.38%-1.15%2.38%1.67%-2.86%1.36%1.84%0.68%-0.58%5.34%2.01%17.61%
2016-0.36%5.54%3.84%-0.04%-2.32%3.97%3.09%0.37%-3.14%-1.87%0.07%2.22%11.50%
2015-0.22%1.38%-0.84%-1.35%-0.10%-2.75%1.96%-2.20%-0.22%4.37%-1.39%-1.51%-3.03%
2014-2.74%4.40%0.72%2.41%-0.88%1.97%0.34%3.96%-0.55%2.34%4.51%1.77%19.51%
Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Expense Ratio

Low Vol has an expense ratio of 0.25%, 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.

GLD
SPDR Gold Trust
XST.TO
iShares S&P/TSX Capped Consumer Staples Index ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 77, Low Vol 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 Vol is 7777
Overall Rank
The Sharpe Ratio Rank of Low Vol is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of Low Vol is 7979
Sortino Ratio Rank
The Omega Ratio Rank of Low Vol is 9797
Omega Ratio Rank
The Calmar Ratio Rank of Low Vol is 8787
Calmar Ratio Rank
The Martin Ratio Rank of Low Vol is 5555
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
GLD
SPDR Gold Trust		2.433.251.425.3314.48
BRK-B
Berkshire Hathaway Inc.		1.211.771.262.796.71
XST.TO
iShares S&P/TSX Capped Consumer Staples Index ETF		0.201.461.570.480.58
COST
Costco Wholesale Corporation		1.231.661.221.494.27

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 Vol Sharpe ratios as of May 25, 2025 (values are recalculated daily):

  • 1-Year: 0.83
  • 5-Year: 1.08
  • 10-Year: 0.91
  • All Time: 0.93

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 0.49 to 1.03, 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 Vol compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend yield

Low Vol provided a 0.44% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio0.44%0.41%0.72%0.19%0.14%0.85%0.21%0.27%1.20%0.27%1.01%0.24%
Portfolio components:
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%
BRK-B
Berkshire Hathaway Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XST.TO
iShares S&P/TSX Capped Consumer Staples Index ETF		1.29%1.16%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
COST
Costco Wholesale Corporation		0.47%0.49%2.87%0.76%0.54%3.38%0.86%1.08%4.81%1.09%4.06%0.97%

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.

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Worst Drawdowns

The table below displays the maximum drawdowns of the Low Vol. 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 Vol was 19.63%, occurring on Aug 9, 2024. The portfolio has not yet recovered.

The current Low Vol drawdown is 1.19%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-19.63%Aug 9, 20241Aug 9, 2024———
-19.15%Apr 21, 2022126Oct 14, 2022277Nov 14, 2023403
-18.3%Feb 24, 202021Mar 23, 202088Jul 24, 2020109
-9.46%Feb 5, 2015245Jan 20, 201628Mar 1, 2016273
-8.84%Dec 4, 201815Dec 24, 201838Feb 19, 201953
Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 4 assets, with an effective number of assets of 4.00, 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.
^GSPCGLDXST.TOCOSTBRK-BPortfolio
^GSPC1.000.030.450.560.710.69
GLD0.031.000.110.02-0.030.36
XST.TO0.450.111.000.310.330.66
COST0.560.020.311.000.420.72
BRK-B0.71-0.030.330.421.000.67
Portfolio0.690.360.660.720.671.00
The correlation results are calculated based on daily price changes starting from Apr 20, 2011
Go to the full Correlations tool for more customization options