Low Drawdown Portfolio
Asset Allocation
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 Quarterly
The earliest data available for this chart is Oct 20, 2011, corresponding to the inception date of EFAV
Returns By Period
As of Nov 13, 2024, the Low Drawdown Portfolio returned 13.09% Year-To-Date and 7.45% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.48% | 2.14% | 12.76% | 33.14% | 13.96% | 11.39% |
| Low Drawdown Portfolio | 12.90% | -2.17% | 5.16% | 18.69% | 7.00% | 7.43% |
| Portfolio components: | ||||||
SHV iShares Short Treasury Bond ETF | 4.49% | 0.37% | 2.60% | 5.27% | 2.26% | 1.62% |
SPLV Invesco S&P 500® Low Volatility ETF | 19.07% | 1.41% | 12.77% | 23.85% | 7.31% | 9.48% |
VYM Vanguard High Dividend Yield ETF | 20.60% | 0.68% | 10.40% | 30.06% | 11.06% | 10.09% |
XLU Utilities Select Sector SPDR Fund | 26.60% | -2.37% | 9.63% | 30.57% | 7.91% | 9.26% |
XLV Health Care Select Sector SPDR Fund | 8.88% | -5.11% | 1.20% | 16.65% | 10.45% | 9.90% |
VEA Vanguard FTSE Developed Markets ETF | 4.41% | -5.70% | -2.90% | 12.40% | 5.70% | 5.31% |
EFAV iShares Edge MSCI Min Vol EAFE ETF | 6.49% | -4.68% | 2.38% | 12.29% | 2.10% | 4.27% |
Monthly Returns
The table below presents the monthly returns of Low Drawdown Portfolio, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.05% | 1.77% | 3.37% | -2.20% | 3.67% | -1.04% | 3.95% | 3.69% | 1.28% | -2.20% | 12.90% | ||
| 2023 | 1.85% | -3.37% | 2.24% | 2.27% | -4.04% | 3.21% | 2.03% | -2.63% | -3.12% | -1.41% | 5.21% | 3.48% | 5.29% |
| 2022 | -3.46% | -1.52% | 3.57% | -3.96% | 1.37% | -4.83% | 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% |
| 2020 | 0.20% | -7.24% | -9.18% | 6.26% | 2.72% | -0.47% | 3.90% | 2.07% | -1.22% | -1.50% | 7.06% | 2.70% | 4.02% |
| 2019 | 4.76% | 2.47% | 1.22% | 0.92% | -2.40% | 4.32% | -0.47% | 0.52% | 2.23% | 1.56% | 1.05% | 2.41% | 20.02% |
| 2018 | 2.58% | -3.67% | 0.00% | 0.65% | -0.15% | 0.45% | 2.98% | 0.86% | 0.60% | -3.81% | 3.21% | -5.33% | -2.04% |
| 2017 | 1.60% | 3.19% | 0.68% | 1.05% | 2.40% | 0.43% | 1.58% | 0.94% | 0.62% | 1.36% | 2.12% | -0.52% | 16.54% |
| 2016 | -2.13% | -0.03% | 5.10% | 0.57% | 0.89% | 2.13% | 1.86% | -1.78% | 0.27% | -2.38% | -0.54% | 2.11% | 5.98% |
| 2015 | 0.70% | 1.93% | -0.57% | 0.73% | 0.84% | -2.27% | 2.73% | -4.98% | -1.47% | 5.19% | -0.40% | 0.14% | 2.23% |
| 2014 | -1.63% | 4.07% | 0.90% | 1.65% | 1.22% | 1.89% | -2.24% | 2.64% | -1.67% | 3.27% | 1.41% | -0.40% | 11.46% |
| 2013 | 4.21% | 1.24% | 3.84% | 3.55% | -2.88% | -0.29% | 4.02% | -2.99% | 3.18% | 3.21% | 0.92% | 1.13% | 20.47% |
Expense Ratio
Low Drawdown Portfolio has an expense ratio of 0.14%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Low Drawdown Portfolio is 59, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
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 | |
|---|---|---|---|---|---|
SHV iShares Short Treasury Bond ETF | 19.46 | 132.58 | 52.87 | 194.71 | 1,957.08 |
SPLV Invesco S&P 500® Low Volatility ETF | 2.75 | 3.84 | 1.50 | 2.61 | 18.38 |
VYM Vanguard High Dividend Yield ETF | 3.05 | 4.33 | 1.56 | 6.29 | 20.03 |
XLU Utilities Select Sector SPDR Fund | 2.24 | 3.09 | 1.39 | 1.84 | 11.00 |
XLV Health Care Select Sector SPDR Fund | 1.66 | 2.33 | 1.30 | 2.11 | 7.20 |
VEA Vanguard FTSE Developed Markets ETF | 1.18 | 1.70 | 1.21 | 1.56 | 6.25 |
EFAV iShares Edge MSCI Min Vol EAFE ETF | 1.45 | 2.07 | 1.25 | 1.14 | 7.63 |
Dividends
Dividend yield
Low Drawdown Portfolio provided a 2.90% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.90% | 3.07% | 2.33% | 2.00% | 2.01% | 2.81% | 2.69% | 2.23% | 2.47% | 2.29% | 2.39% | 2.27% |
| Portfolio components: | ||||||||||||
SHV iShares Short Treasury Bond ETF | 5.15% | 4.73% | 1.39% | 0.00% | 0.74% | 2.19% | 1.66% | 0.72% | 0.34% | 0.03% | 0.00% | 0.00% |
SPLV Invesco S&P 500® Low Volatility ETF | 1.88% | 2.45% | 2.11% | 1.50% | 2.13% | 2.08% | 2.17% | 2.03% | 2.03% | 2.28% | 2.20% | 2.60% |
VYM Vanguard High Dividend Yield ETF | 2.75% | 3.12% | 3.01% | 2.76% | 3.18% | 3.03% | 3.40% | 2.80% | 2.91% | 3.22% | 2.78% | 2.81% |
XLU Utilities Select Sector SPDR Fund | 2.82% | 3.39% | 2.92% | 2.79% | 3.14% | 2.95% | 3.33% | 3.33% | 3.42% | 3.67% | 3.19% | 3.86% |
XLV Health Care Select Sector SPDR Fund | 1.55% | 1.59% | 1.47% | 1.33% | 1.49% | 2.17% | 1.58% | 1.47% | 1.60% | 1.43% | 1.35% | 1.52% |
VEA Vanguard FTSE Developed Markets ETF | 3.06% | 3.16% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% | 3.68% | 2.60% |
EFAV iShares Edge MSCI Min Vol EAFE ETF | 3.10% | 3.07% | 2.53% | 2.47% | 1.33% | 4.19% | 3.34% | 2.45% | 3.94% | 2.49% | 3.57% | 2.53% |
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 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 2.30%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -28.09% | Feb 18, 2020 | 25 | Mar 23, 2020 | 179 | Dec 4, 2020 | 204 |
| -15.35% | 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 |
| -7.89% | Jan 29, 2018 | 9 | Feb 8, 2018 | 140 | Aug 29, 2018 | 149 |
Volatility
Volatility Chart
The current Low Drawdown Portfolio volatility is 2.13%, 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
| SHV | XLU | XLV | EFAV | VEA | SPLV | VYM | |
|---|---|---|---|---|---|---|---|
| SHV | 1.00 | 0.05 | -0.03 | 0.01 | -0.02 | 0.01 | -0.03 |
| XLU | 0.05 | 1.00 | 0.42 | 0.42 | 0.36 | 0.75 | 0.52 |
| XLV | -0.03 | 0.42 | 1.00 | 0.62 | 0.63 | 0.72 | 0.73 |
| EFAV | 0.01 | 0.42 | 0.62 | 1.00 | 0.90 | 0.65 | 0.70 |
| VEA | -0.02 | 0.36 | 0.63 | 0.90 | 1.00 | 0.63 | 0.79 |
| SPLV | 0.01 | 0.75 | 0.72 | 0.65 | 0.63 | 1.00 | 0.82 |
| VYM | -0.03 | 0.52 | 0.73 | 0.70 | 0.79 | 0.82 | 1.00 |