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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in LSV Global Managed Volatility Fund, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
LSV Global Managed Volatility Fund (LVAFX) has returned 2.95% so far this year and 17.65% over the past 12 months. Over the last ten years, LVAFX has returned 8.89% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
LSV Global Managed Volatility Fund
- 1D
- -0.35%
- 1M
- -5.26%
- YTD
- 2.95%
- 6M
- 7.67%
- 1Y
- 17.65%
- 3Y*
- 16.39%
- 5Y*
- 10.88%
- 10Y*
- 8.89%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Jan 2, 2015, LVAFX's average daily return is +0.03%, while the average monthly return is +0.70%. At this rate, your investment would double in approximately 8.3 years.
Historically, 63% of months were positive and 37% were negative. The best month was Nov 2020 with a return of +10.4%, while the worst month was Mar 2020 at -14.4%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 3 months.
On a daily basis, LVAFX closed higher 51% of trading days. The best single day was Dec 22, 2023 with a return of +10.7%, while the worst single day was Mar 12, 2020 at -9.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.93% | 4.56% | -5.26% | 2.95% | |||||||||
| 2025 | 3.08% | 3.08% | 0.75% | -0.46% | 2.89% | 1.90% | -0.80% | 4.74% | 0.77% | -0.68% | 3.76% | 1.49% | 22.33% |
| 2024 | 0.77% | 2.21% | 4.32% | -3.87% | 3.28% | -0.73% | 4.66% | 3.32% | 1.77% | -2.07% | 3.39% | -1.60% | 16.10% |
| 2023 | 3.21% | -2.76% | 1.46% | 1.62% | -3.99% | 4.52% | 1.86% | -1.39% | -1.41% | -2.32% | 4.84% | 4.27% | 9.81% |
| 2022 | 0.17% | -1.71% | 2.09% | -3.40% | 1.94% | -6.57% | 2.50% | -3.61% | -7.87% | 8.74% | 7.01% | -2.03% | -4.04% |
| 2021 | -0.20% | 1.17% | 6.86% | 2.08% | 3.63% | -0.60% | 0.60% | 1.54% | -3.03% | 1.82% | -3.24% | 5.98% | 17.36% |
Benchmark Metrics
LSV Global Managed Volatility Fund has an annualized alpha of 1.52%, beta of 0.61, and R² of 0.67 versus S&P 500 Index. Calculated based on daily prices since January 05, 2015.
- This fund participated in 70.45% of S&P 500 Index downside but only 65.49% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.61 indicates this fund moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 1.52%
- Beta
- 0.61
- R²
- 0.67
- Upside Capture
- 65.49%
- Downside Capture
- 70.45%
Expense Ratio
LVAFX has a high expense ratio of 1.00%, indicating above-average management fees.
Return for Risk
Risk / Return Rank
LVAFX ranks 82 for risk / return — in the top 82% of mutual funds 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
The table below present risk-adjusted performance metrics for LSV Global Managed Volatility Fund (LVAFX) and compare them to a chosen benchmark (S&P 500 Index).
| LVAFX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.62 | 0.90 | +0.72 |
Sortino ratioReturn per unit of downside risk | 2.18 | 1.39 | +0.80 |
Omega ratioGain probability vs. loss probability | 1.33 | 1.21 | +0.12 |
Calmar ratioReturn relative to maximum drawdown | 1.83 | 1.40 | +0.43 |
Martin ratioReturn relative to average drawdown | 8.99 | 6.61 | +2.39 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore LVAFX risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
LSV Global Managed Volatility Fund provided a 9.88% dividend yield over the last twelve months, with an annual payout of $1.14 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $1.14 | $1.14 | $1.85 | $1.62 | $0.32 | $0.34 | $0.22 | $0.84 | $0.36 | $0.79 | $0.17 | $0.16 |
Dividend yield | 9.88% | 10.17% | 18.36% | 15.64% | 2.90% | 2.90% | 2.14% | 7.62% | 3.59% | 7.10% | 1.66% | 1.74% |
Monthly Dividends
The table displays the monthly dividend distributions for LSV Global Managed Volatility Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | |||||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.14 | $1.14 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.85 | $1.85 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.62 | $1.62 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.32 | $0.32 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.34 | $0.34 |
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 LSV Global Managed Volatility Fund. 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 LSV Global Managed Volatility Fund was 33.69%, occurring on Mar 23, 2020. Recovery took 246 trading sessions.
The current LSV Global Managed Volatility Fund drawdown is 5.26%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -33.69% | Jan 21, 2020 | 44 | Mar 23, 2020 | 246 | Mar 15, 2021 | 290 |
| -18.34% | Jan 18, 2022 | 178 | Sep 30, 2022 | 302 | Dec 13, 2023 | 480 |
| -17.18% | Apr 29, 2015 | 184 | Jan 20, 2016 | 140 | Aug 9, 2016 | 324 |
| -14.69% | Jan 29, 2018 | 229 | Dec 24, 2018 | 214 | Oct 30, 2019 | 443 |
| -9.93% | Mar 10, 2025 | 22 | Apr 8, 2025 | 26 | May 15, 2025 | 48 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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