Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
ACO-X.TO ATCO Ltd | Utilities | 7.69% |
BCE.TO BCE Inc. | Communication Services | 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% |
X.TO TMX Group Limited | Financial Services | 7.69% |
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.
Loading graphics...
The earliest data available for this chart is Jul 5, 2016, corresponding to the inception date of TF.TO
Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.43% | -3.84% | -1.98% | 16.08% | 16.86% | 10.37% | 12.29% |
Portfolio CAD low volatility | 0.07% | -0.79% | 5.70% | 10.20% | 22.85% | 12.04% | 9.56% | — |
| Portfolio components: | ||||||||
BCE.TO BCE Inc. | -3.74% | -6.14% | 3.90% | 8.19% | 17.91% | -12.24% | -5.51% | -0.24% |
X.TO TMX Group Limited | 1.02% | 1.59% | -5.83% | -4.80% | -1.56% | 23.38% | 13.44% | 20.43% |
ACO-X.TO ATCO Ltd | 1.00% | 3.50% | 21.48% | 39.05% | 45.09% | 20.53% | 13.01% | 9.17% |
CU.TO Canadian Utilities Limited | 1.22% | 1.77% | 15.79% | 30.51% | 43.04% | 14.33% | 11.29% | 7.42% |
ENB Enbridge Inc. | 0.93% | -0.33% | 14.73% | 11.97% | 26.98% | 19.09% | 15.26% | 10.18% |
FTS Fortis Inc | 0.96% | -0.87% | 10.29% | 14.93% | 27.49% | 14.92% | 9.89% | 10.49% |
H.TO Hydro One Limited | 0.24% | -1.31% | 5.74% | 18.67% | 24.77% | 16.72% | 15.72% | 12.36% |
MRU.TO Metro Inc. | 0.59% | -2.25% | -3.31% | 4.35% | -1.19% | 9.66% | 10.22% | 8.99% |
RSI.TO Rogers Sugar Inc. | -0.79% | 0.70% | 11.91% | 7.31% | 32.15% | 8.23% | 8.23% | 8.78% |
RY Royal Bank of Canada | -0.02% | -1.51% | -3.48% | 13.23% | 47.07% | 23.42% | 16.38% | 15.45% |
Monthly Returns
Based on dividend-adjusted daily data since Jul 6, 2016, CAD low volatility's average daily return is +0.04%, while the average monthly return is +0.84%. At this rate, your investment would double in approximately 6.9 years.
Historically, 61% of months were positive and 39% were negative. The best month was Jan 2019 with a return of +10.3%, while the worst month was Mar 2020 at -14.6%. The longest winning streak lasted 6 consecutive months, and the longest losing streak was 4 months.
On a daily basis, CAD low volatility closed higher 54% of trading days. The best single day was Mar 13, 2020 with a return of +10.6%, while the worst single day was Mar 12, 2020 at -12.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.91% | 4.32% | -1.01% | 0.44% | 5.70% | ||||||||
| 2025 | 0.19% | 2.18% | 2.25% | 7.89% | 2.04% | 1.27% | -1.00% | 3.30% | -0.86% | -2.02% | 3.02% | 2.81% | 22.80% |
| 2024 | -0.02% | -0.31% | 0.81% | -2.75% | 4.43% | -1.55% | 6.26% | 6.09% | 3.38% | -4.49% | 3.02% | -5.56% | 8.78% |
| 2023 | 5.02% | -2.63% | 2.29% | 3.62% | -5.21% | 3.19% | -1.92% | -4.01% | -4.47% | -3.12% | 7.81% | 5.62% | 5.18% |
| 2022 | 1.26% | -1.13% | 6.39% | -3.78% | 3.47% | -6.64% | 4.21% | -4.33% | -9.70% | 3.79% | 6.88% | -4.67% | -5.74% |
| 2021 | 0.52% | -0.53% | 8.34% | 4.40% | 4.51% | -1.48% | 2.09% | -0.25% | -2.57% | 4.48% | -4.33% | 6.65% | 23.15% |
Benchmark Metrics
CAD low volatility has an annualized alpha of 2.17%, beta of 0.57, and R² of 0.45 versus S&P 500 Index. Calculated based on daily prices since July 06, 2016.
- This portfolio participated in 61.21% of S&P 500 Index downside but only 58.35% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.57 may look defensive, but with R² of 0.45 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 0.45 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
- 2.17%
- Beta
- 0.57
- R²
- 0.45
- Upside Capture
- 58.35%
- Downside Capture
- 61.21%
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.
Return for Risk
Risk / Return Rank
CAD low volatility ranks 95 for risk / return — in the top 95% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.23 | 0.88 | +1.35 |
Sortino ratioReturn per unit of downside risk | 3.19 | 1.37 | +1.83 |
Omega ratioGain probability vs. loss probability | 1.43 | 1.21 | +0.22 |
Calmar ratioReturn relative to maximum drawdown | 8.03 | 1.39 | +6.64 |
Martin ratioReturn relative to average drawdown | 26.48 | 6.43 | +20.04 |
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.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
BCE.TO BCE Inc. | 63 | 0.87 | 1.32 | 1.16 | 1.08 | 2.45 |
X.TO TMX Group Limited | 34 | -0.06 | 0.08 | 1.01 | -0.05 | -0.11 |
ACO-X.TO ATCO Ltd | 94 | 2.75 | 3.72 | 1.49 | 5.35 | 14.26 |
CU.TO Canadian Utilities Limited | 95 | 2.82 | 3.84 | 1.52 | 5.23 | 20.09 |
ENB Enbridge Inc. | 82 | 1.59 | 2.14 | 1.28 | 3.05 | 7.57 |
FTS Fortis Inc | 88 | 1.88 | 2.70 | 1.33 | 4.16 | 10.66 |
H.TO Hydro One Limited | 81 | 1.62 | 2.30 | 1.29 | 2.61 | 5.42 |
MRU.TO Metro Inc. | 35 | -0.06 | 0.05 | 1.01 | 0.04 | 0.07 |
RSI.TO Rogers Sugar Inc. | 89 | 1.99 | 2.86 | 1.38 | 3.87 | 12.09 |
RY Royal Bank of Canada | 95 | 2.84 | 3.98 | 1.52 | 4.83 | 17.99 |
Loading graphics...
Dividends
Dividend yield
CAD low volatility provided a 4.43% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 4.43% | 4.73% | 5.38% | 5.35% | 4.95% | 4.29% | 4.73% | 4.26% | 4.76% | 4.02% | 3.78% | 3.43% |
| Portfolio components: | ||||||||||||
BCE.TO BCE Inc. | 5.14% | 7.06% | 11.98% | 7.42% | 6.19% | 5.32% | 6.12% | 5.27% | 5.60% | 4.76% | 4.71% | 4.86% |
X.TO TMX Group Limited | 1.77% | 1.70% | 2.15% | 2.52% | 2.45% | 2.35% | 2.14% | 2.24% | 3.17% | 2.77% | 2.31% | 4.47% |
ACO-X.TO ATCO Ltd | 2.95% | 3.58% | 4.12% | 4.92% | 4.36% | 4.20% | 4.77% | 3.25% | 3.91% | 2.92% | 2.55% | 2.78% |
CU.TO Canadian Utilities Limited | 3.70% | 4.29% | 5.20% | 5.63% | 4.85% | 4.80% | 5.60% | 4.32% | 5.02% | 3.83% | 3.59% | 3.69% |
ENB Enbridge Inc. | 5.07% | 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 | 3.19% | 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 | 2.29% | 2.40% | 2.80% | 2.94% | 3.78% | 3.20% | 3.50% | 3.81% | 4.49% | 3.88% | 4.11% | 0.00% |
MRU.TO Metro Inc. | 1.57% | 1.50% | 1.49% | 1.77% | 1.47% | 1.49% | 1.58% | 1.49% | 1.52% | 1.62% | 1.39% | 1.21% |
RSI.TO Rogers Sugar Inc. | 5.41% | 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 | 2.75% | 2.54% | 3.39% | 4.29% | 4.07% | 3.24% | 3.88% | 3.88% | 4.27% | 3.22% | 3.95% | 5.41% |
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.
Loading graphics...
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 37.39%, occurring on Mar 23, 2020. Recovery took 209 trading sessions.
The current CAD low volatility drawdown is 1.72%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -37.39% | Feb 18, 2020 | 25 | Mar 23, 2020 | 209 | Jan 14, 2021 | 234 |
| -21.22% | Apr 21, 2022 | 124 | Oct 12, 2022 | 474 | Aug 19, 2024 | 598 |
| -14.51% | Jan 29, 2018 | 233 | Dec 24, 2018 | 44 | Feb 27, 2019 | 277 |
| -9.32% | Sep 27, 2024 | 76 | Jan 14, 2025 | 66 | Apr 17, 2025 | 142 |
| -7.2% | Aug 19, 2016 | 61 | Nov 14, 2016 | 21 | Dec 13, 2016 | 82 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading graphics...
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. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.
Asset Correlations Table
| Benchmark | X.TO | MRU.TO | RSI.TO | TF.TO | SLF | ENB | H.TO | FTS | BCE.TO | T.TO | ACO-X.TO | RY | CU.TO | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.40 | 0.29 | 0.34 | 0.45 | 0.58 | 0.42 | 0.29 | 0.29 | 0.33 | 0.39 | 0.28 | 0.62 | 0.29 | 0.54 |
| X.TO | 0.40 | 1.00 | 0.32 | 0.33 | 0.38 | 0.36 | 0.34 | 0.36 | 0.32 | 0.33 | 0.35 | 0.33 | 0.41 | 0.33 | 0.57 |
| MRU.TO | 0.29 | 0.32 | 1.00 | 0.34 | 0.28 | 0.33 | 0.32 | 0.42 | 0.39 | 0.39 | 0.39 | 0.38 | 0.34 | 0.39 | 0.57 |
| RSI.TO | 0.34 | 0.33 | 0.34 | 1.00 | 0.44 | 0.38 | 0.38 | 0.37 | 0.34 | 0.40 | 0.41 | 0.39 | 0.42 | 0.40 | 0.62 |
| TF.TO | 0.45 | 0.38 | 0.28 | 0.44 | 1.00 | 0.45 | 0.40 | 0.36 | 0.33 | 0.39 | 0.40 | 0.38 | 0.50 | 0.40 | 0.63 |
| SLF | 0.58 | 0.36 | 0.33 | 0.38 | 0.45 | 1.00 | 0.47 | 0.32 | 0.36 | 0.38 | 0.41 | 0.36 | 0.69 | 0.36 | 0.64 |
| ENB | 0.42 | 0.34 | 0.32 | 0.38 | 0.40 | 0.47 | 1.00 | 0.40 | 0.46 | 0.44 | 0.44 | 0.46 | 0.53 | 0.47 | 0.68 |
| H.TO | 0.29 | 0.36 | 0.42 | 0.37 | 0.36 | 0.32 | 0.40 | 1.00 | 0.65 | 0.48 | 0.45 | 0.58 | 0.37 | 0.63 | 0.69 |
| FTS | 0.29 | 0.32 | 0.39 | 0.34 | 0.33 | 0.36 | 0.46 | 0.65 | 1.00 | 0.50 | 0.47 | 0.59 | 0.39 | 0.62 | 0.70 |
| BCE.TO | 0.33 | 0.33 | 0.39 | 0.40 | 0.39 | 0.38 | 0.44 | 0.48 | 0.50 | 1.00 | 0.74 | 0.46 | 0.45 | 0.49 | 0.70 |
| T.TO | 0.39 | 0.35 | 0.39 | 0.41 | 0.40 | 0.41 | 0.44 | 0.45 | 0.47 | 0.74 | 1.00 | 0.43 | 0.46 | 0.47 | 0.69 |
| ACO-X.TO | 0.28 | 0.33 | 0.38 | 0.39 | 0.38 | 0.36 | 0.46 | 0.58 | 0.59 | 0.46 | 0.43 | 1.00 | 0.39 | 0.83 | 0.73 |
| RY | 0.62 | 0.41 | 0.34 | 0.42 | 0.50 | 0.69 | 0.53 | 0.37 | 0.39 | 0.45 | 0.46 | 0.39 | 1.00 | 0.40 | 0.70 |
| CU.TO | 0.29 | 0.33 | 0.39 | 0.40 | 0.40 | 0.36 | 0.47 | 0.63 | 0.62 | 0.49 | 0.47 | 0.83 | 0.40 | 1.00 | 0.75 |
| Portfolio | 0.54 | 0.57 | 0.57 | 0.62 | 0.63 | 0.64 | 0.68 | 0.69 | 0.70 | 0.70 | 0.69 | 0.73 | 0.70 | 0.75 | 1.00 |