Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
EFAV iShares Edge MSCI Min Vol EAFE ETF | Foreign Large Cap Equities | 14.20% |
SHV iShares Short Treasury Bond ETF | Government Bonds | 14.30% |
SPLV Invesco S&P 500 Low Volatility ETF | S&P 500, Large Cap Value Equities | 14.30% |
VEA Vanguard FTSE Developed Markets ETF | Foreign Large Cap Equities | 14.30% |
VYM Vanguard High Dividend Yield ETF | Dividend | 14.30% |
XLU Utilities Select Sector SPDR Fund | Utilities Equities | 14.30% |
XLV State Street Health Care Select Sector SPDR ETF | Health & Biotech Equities | 14.30% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Low Drawdown Portfolio, 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 Oct 20, 2011, corresponding to the inception date of EFAV
Returns By Period
As of Apr 7, 2026, the Low Drawdown Portfolio returned 3.53% Year-To-Date and 8.53% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.44% | -1.90% | -3.41% | -1.91% | 30.31% | 17.22% | 10.14% | 12.44% |
Portfolio Low Drawdown Portfolio | 0.14% | -0.78% | 3.53% | 5.33% | 21.11% | 11.03% | 8.06% | 8.53% |
| Portfolio components: | ||||||||
SHV iShares Short Treasury Bond ETF | 0.01% | 0.27% | 0.87% | 1.82% | 3.97% | 4.67% | 3.20% | 2.17% |
SPLV Invesco S&P 500 Low Volatility ETF | 0.04% | -2.62% | 4.10% | 2.61% | 7.92% | 7.51% | 6.89% | 8.56% |
VYM Vanguard High Dividend Yield ETF | 0.39% | -0.78% | 4.21% | 6.58% | 30.28% | 15.21% | 11.00% | 11.39% |
XLU Utilities Select Sector SPDR Fund | -0.37% | -0.53% | 8.91% | 4.36% | 27.42% | 13.18% | 10.60% | 10.02% |
XLV State Street Health Care Select Sector SPDR ETF | -0.36% | -3.81% | -5.12% | 2.35% | 10.06% | 4.82% | 6.36% | 9.56% |
VEA Vanguard FTSE Developed Markets ETF | 0.74% | -0.08% | 4.42% | 8.43% | 43.21% | 16.56% | 8.74% | 9.55% |
EFAV iShares Edge MSCI Min Vol EAFE ETF | 0.49% | 1.84% | 7.23% | 10.03% | 26.88% | 13.93% | 7.77% | 6.48% |
Monthly Returns
Based on dividend-adjusted daily data since Oct 21, 2011, Low Drawdown Portfolio's average daily return is +0.04%, while the average monthly return is +0.78%. At this rate, your investment would double in approximately 7.4 years.
Historically, 67% of months were positive and 33% were negative. The best month was Nov 2020 with a return of +7.1%, while the worst month was Mar 2020 at -9.2%. The longest winning streak lasted 12 consecutive months, and the longest losing streak was 3 months.
On a daily basis, Low Drawdown Portfolio closed higher 54% of trading days. The best single day was Mar 24, 2020 with a return of +6.9%, while the worst single day was Mar 16, 2020 at -8.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.67% | 5.06% | -4.67% | 0.69% | 3.53% | ||||||||
| 2025 | 3.32% | 2.19% | -0.09% | 0.04% | 1.60% | 1.58% | -0.25% | 2.50% | 1.55% | 0.50% | 3.14% | -0.65% | 16.45% |
| 2024 | 0.05% | 1.77% | 3.37% | -2.20% | 3.67% | -1.04% | 3.95% | 3.69% | 1.28% | -2.20% | 2.32% | -4.52% | 10.14% |
| 2023 | 1.85% | -3.37% | 2.24% | 2.27% | -4.04% | 3.20% | 2.03% | -2.63% | -3.12% | -1.41% | 5.21% | 3.48% | 5.28% |
| 2022 | -3.46% | -1.52% | 3.57% | -3.96% | 1.37% | -4.82% | 3.81% | -2.97% | -6.91% | 5.65% | 6.66% | -1.45% | -4.99% |
| 2021 | -0.53% | -0.57% | 4.75% | 2.78% | 1.46% | -0.23% | 2.33% | 1.86% | -3.92% | 3.49% | -2.23% | 6.17% | 15.97% |
Benchmark Metrics
Low Drawdown Portfolio has an annualized alpha of 1.56%, beta of 0.61, and R² of 0.80 versus S&P 500 Index. Calculated based on daily prices since October 21, 2011.
- This portfolio participated in 62.46% of S&P 500 Index downside but only 61.98% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.61 indicates this portfolio moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 1.56%
- Beta
- 0.61
- R²
- 0.80
- Upside Capture
- 61.98%
- Downside Capture
- 62.46%
Expense Ratio
Low Drawdown Portfolio has an expense ratio of 0.13%, 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.
Return for Risk
Risk / Return Rank
Low Drawdown Portfolio ranks 55 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.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.21 | 1.84 | +0.36 |
Sortino ratioReturn per unit of downside risk | 3.38 | 2.97 | +0.41 |
Omega ratioGain probability vs. loss probability | 1.43 | 1.40 | +0.03 |
Calmar ratioReturn relative to maximum drawdown | 2.14 | 1.82 | +0.32 |
Martin ratioReturn relative to average drawdown | 8.20 | 7.76 | +0.44 |
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 | |
|---|---|---|---|---|---|---|
SHV iShares Short Treasury Bond ETF | 100 | 19.58 | 152.33 | 54.64 | 443.15 | 2,490.75 |
SPLV Invesco S&P 500 Low Volatility ETF | 24 | 0.70 | 1.13 | 1.13 | 0.13 | 0.38 |
VYM Vanguard High Dividend Yield ETF | 85 | 2.29 | 3.59 | 1.47 | 2.37 | 9.07 |
XLU Utilities Select Sector SPDR Fund | 72 | 1.87 | 2.59 | 1.33 | 2.13 | 5.16 |
XLV State Street Health Care Select Sector SPDR ETF | 23 | 0.61 | 0.98 | 1.12 | 0.31 | 0.67 |
VEA Vanguard FTSE Developed Markets ETF | 89 | 2.67 | 3.79 | 1.51 | 2.70 | 10.59 |
EFAV iShares Edge MSCI Min Vol EAFE ETF | 89 | 2.37 | 3.29 | 1.44 | 3.18 | 11.52 |
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Dividends
Dividend yield
Low Drawdown Portfolio provided a 2.65% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.65% | 2.76% | 2.98% | 3.07% | 2.33% | 2.00% | 2.01% | 2.81% | 2.69% | 2.23% | 2.47% | 2.29% |
| Portfolio components: | ||||||||||||
SHV iShares Short Treasury Bond ETF | 3.93% | 4.09% | 5.02% | 4.73% | 1.39% | 0.00% | 0.74% | 2.19% | 1.66% | 0.72% | 0.34% | 0.03% |
SPLV Invesco S&P 500 Low Volatility ETF | 2.10% | 2.04% | 1.88% | 2.45% | 2.11% | 1.51% | 2.12% | 2.08% | 2.18% | 2.03% | 2.03% | 2.28% |
VYM Vanguard High Dividend Yield ETF | 2.36% | 2.44% | 2.74% | 3.12% | 3.01% | 2.76% | 3.18% | 3.03% | 3.40% | 2.80% | 2.91% | 3.22% |
XLU Utilities Select Sector SPDR Fund | 2.58% | 2.71% | 2.96% | 3.39% | 2.92% | 2.79% | 3.14% | 2.95% | 3.33% | 3.33% | 3.41% | 3.67% |
XLV State Street Health Care Select Sector SPDR ETF | 1.71% | 1.60% | 1.67% | 1.59% | 1.47% | 1.33% | 1.49% | 2.17% | 1.57% | 1.47% | 1.60% | 1.43% |
VEA Vanguard FTSE Developed Markets ETF | 2.88% | 3.22% | 3.35% | 3.15% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% |
EFAV iShares Edge MSCI Min Vol EAFE ETF | 2.98% | 3.20% | 3.24% | 3.08% | 2.53% | 2.47% | 1.33% | 4.19% | 3.34% | 2.45% | 3.94% | 2.49% |
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 Drawdown Portfolio. 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 Drawdown Portfolio was 28.09%, occurring on Mar 23, 2020. Recovery took 179 trading sessions.
The current Low Drawdown Portfolio drawdown is 4.02%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -28.09% | Feb 18, 2020 | 25 | Mar 23, 2020 | 179 | Dec 4, 2020 | 204 |
| -15.34% | Jan 3, 2022 | 196 | Oct 12, 2022 | 305 | Dec 29, 2023 | 501 |
| -9.85% | Sep 24, 2018 | 64 | Dec 24, 2018 | 38 | Feb 20, 2019 | 102 |
| -8.51% | May 22, 2015 | 89 | Sep 28, 2015 | 125 | Mar 29, 2016 | 214 |
| -7.93% | Mar 4, 2025 | 26 | Apr 8, 2025 | 27 | May 16, 2025 | 53 |
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 7 assets, with an effective number of assets of 7.00, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| Benchmark | SHV | XLU | XLV | EFAV | VEA | SPLV | VYM | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | -0.03 | 0.41 | 0.72 | 0.69 | 0.81 | 0.71 | 0.87 | 0.83 |
| SHV | -0.03 | 1.00 | 0.05 | -0.02 | 0.03 | -0.01 | 0.01 | -0.03 | 0.01 |
| XLU | 0.41 | 0.05 | 1.00 | 0.41 | 0.41 | 0.36 | 0.73 | 0.52 | 0.69 |
| XLV | 0.72 | -0.02 | 0.41 | 1.00 | 0.60 | 0.61 | 0.71 | 0.72 | 0.81 |
| EFAV | 0.69 | 0.03 | 0.41 | 0.60 | 1.00 | 0.89 | 0.64 | 0.68 | 0.83 |
| VEA | 0.81 | -0.01 | 0.36 | 0.61 | 0.89 | 1.00 | 0.61 | 0.78 | 0.84 |
| SPLV | 0.71 | 0.01 | 0.73 | 0.71 | 0.64 | 0.61 | 1.00 | 0.80 | 0.89 |
| VYM | 0.87 | -0.03 | 0.52 | 0.72 | 0.68 | 0.78 | 0.80 | 1.00 | 0.89 |
| Portfolio | 0.83 | 0.01 | 0.69 | 0.81 | 0.83 | 0.84 | 0.89 | 0.89 | 1.00 |