CAD low volatility

Asset Allocation

Position	Category/Sector	Target Weight
BCE.TO BCE Inc.	Communication Services	7.69%
X.TO TMX Group Limited	Financial Services	7.69%
ACO-X.TO ATCO Ltd	Utilities	7.69%
CU.TO Canadian Utilities Limited	Utilities	7.69%
ENB Enbridge Inc.	Energy	7.69%
FTS Fortis Inc	Utilities	7.69%
H.TO Hydro One Limited	Utilities	7.69%
MRU.TO Metro Inc.	Consumer Defensive	7.69%
RSI.TO Rogers Sugar Inc.	Consumer Defensive	7.69%
RY Royal Bank of Canada	Financial Services	7.69%
SLF Sun Life Financial Inc.	Financial Services	7.69%
T.TO TELUS Corporation	Communication Services	7.69%
TF.TO Timbercreek Financial Corp.	Financial Services	7.69%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in CAD low volatility, 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.

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Returns By Period

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.30%	0.09%	8.18%	8.17%	23.42%	19.88%	11.91%	13.45%
Portfolio CAD low volatility	-0.07%	0.62%	8.94%	12.68%	16.68%	13.49%	8.81%	—
Portfolio components:
ACO-X.TO ATCO Ltd	0.73%	4.74%	27.92%	36.03%	45.38%	24.47%	11.92%	8.37%
BCE.TO BCE Inc.	1.61%	1.06%	3.68%	7.35%	18.34%	-12.37%	-7.41%	-0.53%
CU.TO Canadian Utilities Limited	0.80%	3.98%	19.94%	24.43%	39.04%	17.00%	10.00%	7.37%
ENB Enbridge Inc.	-1.74%	4.56%	18.72%	17.84%	25.57%	20.90%	13.89%	9.34%
FTS Fortis Inc	1.21%	0.49%	9.43%	11.22%	21.75%	14.09%	8.36%	9.87%
H.TO Hydro One Limited	1.42%	-4.76%	3.26%	8.35%	16.18%	16.96%	13.23%	11.73%
MRU.TO Metro Inc.	4.28%	2.36%	-6.82%	-6.87%	-11.58%	9.89%	8.44%	8.34%
RSI.TO Rogers Sugar Inc.	0.80%	0.30%	13.93%	17.82%	26.39%	10.28%	6.35%	7.19%
RY Royal Bank of Canada	0.66%	7.51%	16.17%	21.22%	57.80%	33.05%	17.96%	16.63%
SLF Sun Life Financial Inc.	1.04%	6.24%	20.52%	28.38%	17.74%	18.69%	11.22%	12.37%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Jul 6, 2016, CAD low volatility's average daily return is +0.05%, while the average monthly return is +0.96%. At this rate, an investment would double in approximately 6.0 years.

Historically, 63% of months were positive and 37% were negative. The best month was Nov 2020 with a return of +10.4%, while the worst month was Sep 2022 at -9.2%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 4 months.

On a daily basis, CAD low volatility closed higher 56% of trading days. The best single day was Mar 13, 2020 with a return of +9.0%, while the worst single day was Mar 12, 2020 at -11.6%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	2.41%	3.47%	-0.98%	3.47%	-0.17%	0.51%							8.94%
2025	0.19%	2.12%	2.51%	7.32%	1.89%	1.21%	-0.52%	3.12%	-0.78%	-1.90%	2.63%	3.21%	22.78%
2024	0.06%	-0.51%	0.57%	-2.00%	3.57%	-1.37%	6.12%	6.36%	3.43%	-4.45%	2.90%	-5.40%	8.82%
2023	4.62%	-1.68%	1.88%	3.36%	-4.89%	3.32%	-2.24%	-3.83%	-3.92%	-3.34%	7.41%	5.86%	5.68%
2022	1.53%	-1.14%	7.00%	-3.62%	3.34%	-6.66%	4.21%	-3.86%	-9.18%	3.04%	6.14%	-3.87%	-4.50%
2021	0.30%	0.65%	7.19%	4.85%	4.50%	-1.38%	2.18%	-0.17%	-2.96%	5.11%	-3.24%	5.79%	24.56%

Benchmark Metrics

CAD low volatility has an annualized alpha of 4.64%, beta of 0.45, and R2 of 0.37 versus S&P 500 Index. Calculated based on daily prices since July 06, 2016.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (54.98%) than losses (50.01%) - typical of diversified or defensive assets.
Beta of 0.45 may look defensive, but with R2 of 0.37 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 0.37 means the benchmark explains less than half of this portfolio's behavior - treat beta with caution or consider switching to a more representative benchmark.

Alpha: 4.64%

Beta: 0.45

R²: 0.37

Upside Capture: 54.98%

Downside Capture: 50.01%

Expense Ratio

CAD low volatility has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

The portfolio doesn't include any funds that charge management fees.

Return for Risk

Risk / Return Rank

CAD low volatility ranks 45 for risk / return — on par with similar Portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for CAD low volatility and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.23	1.94	+0.29
Sortino ratioReturn per unit of downside risk	3.43	2.63	+0.80
Omega ratioGain probability vs. loss probability	1.39	1.35	+0.04
Calmar ratioReturn relative to maximum drawdown	4.69	2.59	+2.10
Martin ratioReturn relative to average drawdown	14.84	11.84	+3.00
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
ACO-X.TO ATCO Ltd	94	2.88	3.82	1.50	5.42	13.62
BCE.TO BCE Inc.	68	1.01	1.53	1.18	1.53	3.09
CU.TO Canadian Utilities Limited	95	2.82	3.89	1.54	6.32	19.41
ENB Enbridge Inc.	81	1.58	2.28	1.27	2.82	7.09
FTS Fortis Inc	82	1.53	2.24	1.27	3.27	8.24
H.TO Hydro One Limited	73	1.17	1.67	1.20	1.72	5.42
MRU.TO Metro Inc.	16	-0.64	-0.75	0.90	-0.69	-1.17
RSI.TO Rogers Sugar Inc.	84	1.72	2.46	1.33	2.97	9.01
RY Royal Bank of Canada	97	3.86	5.56	1.68	5.79	21.54
SLF Sun Life Financial Inc.	65	0.89	1.24	1.18	1.20	2.59

Sharpe Ratio

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.

CAD low volatility Sharpe ratios as of Jun 6, 2026 (values are recalculated daily):

1-Year: 2.23
5-Year: 0.79
All Time: 0.84

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 1.64 to 2.53, 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 CAD low volatility compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

CAD low volatility provided a 4.41% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	4.41%	4.72%	5.34%	5.65%	5.64%	5.93%	5.39%	5.29%	6.09%	5.19%	4.82%	5.15%
Portfolio components:
ACO-X.TO ATCO Ltd	2.84%	3.58%	4.12%	4.92%	4.36%	4.20%	4.77%	3.25%	3.90%	2.91%	2.55%	2.77%
BCE.TO BCE Inc.	5.14%	7.06%	11.97%	7.42%	6.19%	5.32%	6.12%	5.27%	5.60%	4.75%	4.70%	4.86%
CU.TO Canadian Utilities Limited	3.61%	4.28%	5.20%	5.63%	4.85%	4.79%	5.60%	4.32%	5.02%	3.82%	3.59%	3.69%
ENB Enbridge Inc.	5.01%	5.66%	6.28%	7.31%	6.80%	6.85%	7.55%	5.58%	6.68%	4.71%	4.13%	4.71%
FTS Fortis Inc	3.29%	3.42%	4.62%	4.50%	4.48%	3.40%	3.54%	3.31%	3.35%	4.43%	4.94%	0.00%
H.TO Hydro One Limited	2.34%	2.40%	2.80%	2.94%	3.05%	3.20%	3.50%	3.81%	4.49%	3.88%	4.11%	0.00%
MRU.TO Metro Inc.	1.68%	1.50%	1.49%	1.76%	1.47%	1.49%	1.58%	1.49%	1.52%	1.61%	1.39%	1.20%
RSI.TO Rogers Sugar Inc.	5.30%	6.05%	6.13%	6.69%	6.33%	6.05%	6.42%	7.32%	6.62%	5.70%	5.29%	8.49%
RY Royal Bank of Canada	2.37%	2.54%	3.39%	4.29%	4.07%	3.24%	3.88%	3.88%	4.27%	3.22%	3.95%	5.41%
SLF Sun Life Financial Inc.	3.60%	4.03%	4.00%	4.98%	4.59%	3.32%	3.69%	3.47%	4.71%	3.17%	3.98%	4.64%

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 CAD low volatility. 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 CAD low volatility was 31.75%, occurring on Mar 23, 2020. Recovery took 105 trading sessions.

The current CAD low volatility drawdown is 1.54%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-31.75%Mar 2020	1mo 3d	4mo 28d	6mo 1dFeb 2020 - Aug 2020
Bear market2022	-20.41%Oct 2022	6mo 4d	1y 10mo	2y 4moApr 2022 - Aug 2024
Rate-hike selloffLate 2018	-13.18%Dec 2018	11mo 2d	1mo 13d	1y 10dJan 2018 - Feb 2019
2025 pullback2025	-9.29%Jan 2025	3mo 19d	3mo 3d	6mo 22dSep 2024 - Apr 2025
2016 pullback2016	-6.72%Nov 2016	2mo 24d	28d	3mo 22dAug 2016 - Dec 2016

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 13 assets, with an effective number of assets of 13.00, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	All Time
Diversification Ratio	2.24	1.69	1.62	1.57

The portfolio has a diversification ratio of 1.57, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

CAD low volatility correlation to the S&P 500 Index

CAD low volatility has a 0.10 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.10
Correlation (3Y) Calculated over the trailing 3-year period	0.31
Correlation (5Y) Calculated over the trailing 5-year period	0.41
Correlation (All Time) Calculated using the full available price history since Jul 6, 2016	0.44

Benchmark Correlations

Correlation vs. S&P 500 Index. RY has the highest benchmark correlation at 0.61, while H.TO has the lowest at 0.13.

0.13

0.14

0.15

0.16

0.18

0.22

0.25

0.27

0.29

0.32

0.41

0.58

0.61

Portfolio Correlations

Correlation vs. CAD low volatility. CU.TO has the highest portfolio correlation at 0.72, while X.TO has the lowest at 0.50.

X.TO

0.50

MRU.TO

0.52

SLF

0.53

0.55

0.55

0.56

0.57

0.60

0.64

0.65

0.66

0.70

0.72

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	X.TO	MRU.TO	RSI.TO	TF.TO	SLF	ENB	RY	FTS	H.TO	BCE.TO	T.TO	ACO-X.TO	CU.TO
X.TO	1.00	0.28	0.24	0.30	0.21	0.19	0.23	0.18	0.31	0.28	0.30	0.28	0.28
MRU.TO	0.28	1.00	0.30	0.23	0.17	0.15	0.14	0.22	0.40	0.40	0.37	0.35	0.37
RSI.TO	0.24	0.30	1.00	0.37	0.23	0.24	0.23	0.20	0.31	0.36	0.37	0.34	0.34
TF.TO	0.30	0.23	0.37	1.00	0.30	0.24	0.31	0.18	0.30	0.35	0.36	0.32	0.34
SLF	0.21	0.17	0.23	0.30	1.00	0.46	0.69	0.36	0.14	0.20	0.24	0.21	0.20
ENB	0.19	0.15	0.24	0.24	0.46	1.00	0.52	0.46	0.22	0.25	0.27	0.32	0.31
RY	0.23	0.14	0.23	0.31	0.69	0.52	1.00	0.38	0.15	0.22	0.26	0.21	0.22
FTS	0.18	0.22	0.20	0.18	0.36	0.46	0.38	1.00	0.48	0.33	0.30	0.45	0.48
H.TO	0.31	0.40	0.31	0.30	0.14	0.22	0.15	0.48	1.00	0.47	0.42	0.57	0.62
BCE.TO	0.28	0.40	0.36	0.35	0.20	0.25	0.22	0.33	0.47	1.00	0.73	0.44	0.47
T.TO	0.30	0.37	0.37	0.36	0.24	0.27	0.26	0.30	0.42	0.73	1.00	0.40	0.44
ACO-X.TO	0.28	0.35	0.34	0.32	0.21	0.32	0.21	0.45	0.57	0.44	0.40	1.00	0.82
CU.TO	0.28	0.37	0.34	0.34	0.20	0.31	0.22	0.48	0.62	0.47	0.44	0.82	1.00

The correlation results are calculated based on daily price changes starting from Jul 6, 2016

Diversification Analysis

Find what CAD low volatility is missing

See which holdings overlap, where CAD low volatility is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification