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% |
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.
The earliest data available for this chart is Jul 5, 2016, corresponding to the inception date of TF.TO
Returns By Period
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -15.28% | -13.65% | -13.36% | -4.22% | 12.35% | 9.04% |
| CAD low volatility | 0.45% | -2.58% | -3.08% | 11.12% | 10.11% | N/A |
| Portfolio components: | ||||||
BCE.TO BCE Inc. | -7.27% | -14.68% | -33.70% | -30.50% | -6.34% | -0.17% |
X.TO TMX Group Limited | 9.69% | -5.07% | 8.54% | 27.62% | 16.70% | 16.98% |
ACO-X.TO ATCO Ltd | 2.44% | 2.85% | -2.79% | 26.44% | 7.72% | 4.11% |
CU.TO Canadian Utilities Limited | 3.35% | 2.29% | -2.13% | 14.78% | 4.67% | 3.33% |
ENB Enbridge Inc. | -1.71% | -3.73% | 3.56% | 24.15% | 14.83% | 3.99% |
FTS Fortis Inc | 8.09% | -1.02% | 4.72% | 18.05% | 6.29% | N/A |
H.TO Hydro One Limited | 9.92% | 2.64% | 4.83% | 20.09% | 15.52% | N/A |
MRU.TO Metro Inc. | 8.86% | 2.42% | 11.89% | 30.78% | 11.58% | 12.07% |
RSI.TO Rogers Sugar Inc. | -7.98% | 0.22% | -8.27% | 1.90% | 8.96% | 8.26% |
RY Royal Bank of Canada | -9.30% | -4.10% | -9.87% | 9.33% | 15.68% | 9.80% |
SLF Sun Life Financial Inc. | -9.06% | -1.78% | -4.62% | 4.84% | 13.30% | 9.71% |
T.TO TELUS Corporation | 3.60% | -12.63% | -11.36% | -9.94% | 2.49% | 1.72% |
TF.TO Timbercreek Financial Corp. | -12.71% | -5.00% | -27.02% | -20.77% | 2.63% | N/A |
Monthly Returns
The table below presents the monthly returns of CAD low volatility, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 0.06% | 3.03% | 2.10% | -4.56% | 0.45% | ||||||||
| 2024 | 0.13% | 0.44% | 0.98% | -2.79% | 4.26% | -0.85% | 6.33% | 6.32% | 2.86% | -4.16% | 3.66% | -5.20% | 11.77% |
| 2023 | 4.78% | -2.44% | 1.96% | 3.43% | -4.60% | 3.62% | -1.57% | -4.11% | -3.92% | -3.47% | 7.67% | 6.11% | 6.58% |
| 2022 | 1.33% | -1.41% | 5.99% | -4.16% | 3.41% | -6.72% | 3.81% | -4.30% | -9.33% | 3.83% | 7.25% | -4.76% | -6.49% |
| 2021 | 0.20% | -0.42% | 8.06% | 4.54% | 4.24% | -1.78% | 2.09% | -0.11% | -2.43% | 4.28% | -4.77% | 6.63% | 21.61% |
| 2020 | 2.28% | -5.61% | -14.97% | 4.90% | 5.13% | 1.32% | 4.38% | 2.92% | -1.83% | -2.92% | 9.28% | 0.35% | 2.98% |
| 2019 | 10.34% | 3.18% | 0.59% | 1.77% | -0.19% | 2.87% | 0.27% | 3.60% | 3.22% | -0.24% | 0.16% | 2.05% | 30.82% |
| 2018 | 1.55% | -6.62% | -0.38% | -0.84% | -0.90% | 1.56% | 1.15% | -0.19% | 0.28% | -4.55% | 3.26% | -5.96% | -11.52% |
| 2017 | 3.77% | -2.56% | 2.52% | -0.44% | -0.21% | 4.30% | 2.35% | 0.27% | 1.48% | -2.03% | 0.56% | 2.40% | 12.87% |
| 2016 | 1.96% | -2.36% | 1.76% | -1.54% | 0.33% | 2.28% | 2.36% |
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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
With an overall rank of 92, CAD low volatility is among the top 8% 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.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
BCE.TO BCE Inc. | -1.27 | -1.66 | 0.77 | -0.52 | -1.44 |
X.TO TMX Group Limited | 1.59 | 2.33 | 1.31 | 3.02 | 11.76 |
ACO-X.TO ATCO Ltd | 1.84 | 2.48 | 1.32 | 1.26 | 6.71 |
CU.TO Canadian Utilities Limited | 1.24 | 1.71 | 1.23 | 0.71 | 3.52 |
ENB Enbridge Inc. | 1.84 | 2.42 | 1.33 | 1.38 | 9.89 |
FTS Fortis Inc | 1.54 | 2.18 | 1.27 | 1.06 | 6.04 |
H.TO Hydro One Limited | 1.61 | 2.31 | 1.28 | 1.56 | 3.51 |
MRU.TO Metro Inc. | 2.11 | 2.91 | 1.38 | 2.98 | 11.21 |
RSI.TO Rogers Sugar Inc. | 0.23 | 0.54 | 1.06 | 0.27 | 0.61 |
RY Royal Bank of Canada | 0.84 | 1.26 | 1.17 | 1.01 | 3.13 |
SLF Sun Life Financial Inc. | 0.52 | 0.77 | 1.12 | 0.71 | 1.58 |
T.TO TELUS Corporation | -0.34 | -0.36 | 0.96 | -0.14 | -0.72 |
TF.TO Timbercreek Financial Corp. | -0.88 | -1.09 | 0.86 | -0.57 | -1.30 |
Dividends
Dividend yield
CAD low volatility provided a 4.96% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 4.96% | 5.02% | 5.16% | 4.77% | 4.13% | 4.50% | 3.74% | 4.19% | 3.42% | 3.06% | 2.59% | 2.03% |
| Portfolio components: | ||||||||||||
BCE.TO BCE Inc. | 13.44% | 12.00% | 7.44% | 6.19% | 5.35% | 6.10% | 5.25% | 5.58% | 4.75% | 4.68% | 4.85% | 4.63% |
X.TO TMX Group Limited | 2.02% | 2.15% | 1.65% | 0.49% | 0.47% | 0.32% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ACO-X.TO ATCO Ltd | 2.03% | 3.09% | 4.92% | 4.36% | 4.20% | 4.77% | 3.25% | 3.90% | 2.91% | 2.55% | 2.77% | 1.80% |
CU.TO Canadian Utilities Limited | 5.14% | 5.16% | 5.64% | 4.80% | 4.80% | 5.66% | 4.32% | 5.02% | 3.82% | 3.59% | 3.69% | 2.62% |
ENB Enbridge Inc. | 6.48% | 6.28% | 7.29% | 6.79% | 6.86% | 7.56% | 5.57% | 6.69% | 4.73% | 3.78% | 4.41% | 2.47% |
FTS Fortis Inc | 3.90% | 4.19% | 4.10% | 4.18% | 3.39% | 3.55% | 3.30% | 4.00% | 3.41% | 3.72% | 0.00% | 0.00% |
H.TO Hydro One Limited | 1.30% | 2.09% | 2.94% | 3.78% | 3.20% | 3.50% | 3.81% | 4.49% | 3.88% | 4.11% | 0.00% | 0.00% |
MRU.TO Metro Inc. | 1.43% | 1.51% | 1.75% | 1.49% | 1.49% | 1.62% | 1.49% | 1.52% | 1.61% | 1.39% | 1.20% | 0.00% |
RSI.TO Rogers Sugar Inc. | 6.83% | 6.13% | 6.69% | 6.33% | 6.05% | 6.42% | 7.32% | 6.62% | 5.70% | 5.29% | 8.49% | 7.58% |
RY Royal Bank of Canada | 3.80% | 3.39% | 3.93% | 4.12% | 3.28% | 3.86% | 3.88% | 4.29% | 3.28% | 3.59% | 4.54% | 3.73% |
SLF Sun Life Financial Inc. | 4.46% | 3.99% | 4.26% | 4.59% | 3.19% | 3.70% | 3.46% | 4.41% | 3.25% | 3.18% | 3.77% | 3.61% |
T.TO TELUS Corporation | 8.03% | 8.00% | 6.15% | 5.20% | 4.30% | 3.53% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
TF.TO Timbercreek Financial Corp. | 5.64% | 7.32% | 10.34% | 9.70% | 7.18% | 7.98% | 6.95% | 7.89% | 7.12% | 3.92% | 0.00% | 0.00% |
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.
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 37.52%, occurring on Mar 23, 2020. Recovery took 213 trading sessions.
The current CAD low volatility drawdown is 8.01%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -37.52% | Feb 18, 2020 | 25 | Mar 23, 2020 | 213 | Jan 20, 2021 | 238 |
| -21.22% | Apr 21, 2022 | 124 | Oct 12, 2022 | 461 | Jul 31, 2024 | 585 |
| -16.04% | Jan 29, 2018 | 233 | Dec 24, 2018 | 69 | Apr 3, 2019 | 302 |
| -8.33% | Sep 27, 2024 | 76 | Jan 14, 2025 | 56 | Apr 3, 2025 | 132 |
| -7.26% | Apr 4, 2025 | 3 | Apr 8, 2025 | — | — | — |
Volatility
Volatility Chart
The current CAD low volatility volatility is 5.89%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
Diversification
Asset Correlations Table
| X.TO | MRU.TO | RSI.TO | TF.TO | SLF | ENB | H.TO | FTS | T.TO | RY | BCE.TO | ACO-X.TO | CU.TO | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| X.TO | 1.00 | 0.34 | 0.36 | 0.39 | 0.38 | 0.36 | 0.38 | 0.35 | 0.36 | 0.43 | 0.36 | 0.36 | 0.36 |
| MRU.TO | 0.34 | 1.00 | 0.34 | 0.31 | 0.34 | 0.32 | 0.43 | 0.39 | 0.40 | 0.37 | 0.41 | 0.38 | 0.41 |
| RSI.TO | 0.36 | 0.34 | 1.00 | 0.46 | 0.40 | 0.40 | 0.39 | 0.35 | 0.42 | 0.44 | 0.42 | 0.40 | 0.42 |
| TF.TO | 0.39 | 0.31 | 0.46 | 1.00 | 0.46 | 0.43 | 0.39 | 0.36 | 0.42 | 0.51 | 0.42 | 0.41 | 0.42 |
| SLF | 0.38 | 0.34 | 0.40 | 0.46 | 1.00 | 0.49 | 0.34 | 0.38 | 0.43 | 0.71 | 0.42 | 0.39 | 0.39 |
| ENB | 0.36 | 0.32 | 0.40 | 0.43 | 0.49 | 1.00 | 0.41 | 0.46 | 0.47 | 0.56 | 0.47 | 0.47 | 0.47 |
| H.TO | 0.38 | 0.43 | 0.39 | 0.39 | 0.34 | 0.41 | 1.00 | 0.65 | 0.46 | 0.40 | 0.49 | 0.59 | 0.64 |
| FTS | 0.35 | 0.39 | 0.35 | 0.36 | 0.38 | 0.46 | 0.65 | 1.00 | 0.49 | 0.42 | 0.53 | 0.59 | 0.62 |
| T.TO | 0.36 | 0.40 | 0.42 | 0.42 | 0.43 | 0.47 | 0.46 | 0.49 | 1.00 | 0.50 | 0.76 | 0.45 | 0.49 |
| RY | 0.43 | 0.37 | 0.44 | 0.51 | 0.71 | 0.56 | 0.40 | 0.42 | 0.50 | 1.00 | 0.49 | 0.43 | 0.44 |
| BCE.TO | 0.36 | 0.41 | 0.42 | 0.42 | 0.42 | 0.47 | 0.49 | 0.53 | 0.76 | 0.49 | 1.00 | 0.49 | 0.52 |
| ACO-X.TO | 0.36 | 0.38 | 0.40 | 0.41 | 0.39 | 0.47 | 0.59 | 0.59 | 0.45 | 0.43 | 0.49 | 1.00 | 0.83 |
| CU.TO | 0.36 | 0.41 | 0.42 | 0.42 | 0.39 | 0.47 | 0.64 | 0.62 | 0.49 | 0.44 | 0.52 | 0.83 | 1.00 |