CAD low volatility

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%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

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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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%

*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 +0.04%, 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.

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

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.

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

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	2.23	0.88	+1.35
Sortino ratio Return per unit of downside risk	3.19	1.37	+1.83
Omega ratio Gain probability vs. loss probability	1.43	1.21	+0.22
Calmar ratio Return relative to maximum drawdown	8.03	1.39	+6.64
Martin ratio Return 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

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 Apr 2, 2026 (values are recalculated daily):

1-Year: 2.23
5-Year: 0.75
All Time: 0.62

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 is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

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 4.43% 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.

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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 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.

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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. 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

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

	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

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

CAD low volatility

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table