- ISIN
- US66538E6068
- CUSIP
- 66538E606
- Issuer
- Swan
- Inception Date
- Jul 29, 2012
- Category
- Options Trading
- Min. Investment
- $100,000
- Distribution Policy
- Distributing
- Asset Class
- Alternatives
Share Price Chart
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Performance
SDRIX Performance Chart
Swan Defined Risk Fund (SDRIX) is up 4.5% since the beginning of the year. SDRIX is currently trading at $15 per share. Investors who bought $1,000 worth of SDRIX shares 5 years ago would now be looking at an investment worth $1,255.
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Returns By Period
Swan Defined Risk Fund (SDRIX) has returned 4.47% so far this year and 12.46% over the past 12 months. Over the last ten years, SDRIX has returned 5.46% per year, falling short of the S&P 500 Index benchmark, which averaged 13.26% annually.
Swan Defined Risk Fund
- 1D
- 1.11%
- 1M
- -0.84%
- 6M
- 3.56%
- YTD
- 4.47%
- 1Y
- 12.46%
- 3Y*
- 7.99%
- 5Y*
- 4.64%
- 10Y*
- 5.46%
- ALL TIME*
- 5.44%
Benchmark (S&P 500 Index)
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
SDRIX Monthly Returns History
Based on dividend-adjusted daily data since Jan 2, 2013, SDRIX's average daily return is +0.02%, while the average monthly return is +0.47%. At this rate, an investment would double in approximately 12.3 years.
Historically, 66% of months were positive and 34% were negative. The best month was Apr 2020 with a return of +7.4%, while the worst month was Dec 2024 at -7.9%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.
On a daily basis, SDRIX closed higher 51% of trading days. The best single day was Mar 24, 2020 with a return of +4.0%, while the worst single day was Dec 27, 2024 at -6.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.88% | -0.13% | -3.43% | 5.08% | 3.84% | -0.45% | -1.15% | 4.47% | |||||
| 2025 | 2.10% | -0.27% | -3.06% | -0.07% | 1.72% | 2.50% | 0.99% | 1.63% | 2.83% | 2.06% | -0.06% | 0.00% | 10.72% |
| 2024 | 0.14% | 2.70% | 2.56% | -4.18% | 3.03% | 2.19% | 0.27% | 1.80% | 2.16% | -0.26% | 2.89% | -7.87% | 4.91% |
| 2023 | 2.49% | -1.81% | 1.98% | 1.80% | 0.89% | 1.69% | 1.00% | 0.92% | -3.00% | -0.13% | 2.96% | 3.12% | 12.37% |
| 2022 | -3.16% | -1.67% | 1.11% | -5.09% | -1.29% | -4.68% | 2.89% | -3.16% | -3.48% | 5.93% | 2.34% | -2.77% | -12.84% |
| 2021 | 0.36% | 1.60% | 1.71% | 2.95% | 0.41% | 1.83% | 1.87% | 2.69% | -3.32% | 4.75% | -0.57% | 2.09% | 17.41% |
Benchmark Metrics
Swan Defined Risk Fund has an annualized alpha of -1.08%, beta of 0.50, and R2 of 0.84 versus S&P 500 Index. Calculated based on daily prices since January 02, 2013.
- This fund participated in 64.09% of S&P 500 Index downside but only 46.97% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.50 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
- -1.08%
- Beta
- 0.50
- R²
- 0.84
- Upside Capture
- 46.97%
- Downside Capture
- 64.09%
Expense Ratio
SDRIX has a high expense ratio of 1.18%, indicating above-average management fees.
Return for Risk
Risk / Return Rank
SDRIX ranks 46 for risk / return — above 46% of mutual funds peers on PortfoliosLab. Its historical combined result is near the middle of the peer group.
Risk / Return Metrics
The table below present risk-adjusted performance metrics for Swan Defined Risk Fund (SDRIX) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| SDRIX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.10 | ||
| Sortino ratioReturn per unit of downside risk | -0.13 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.25 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | 2.07 | 2.00 | +0.07 |
| Martin ratioReturn relative to average drawdown | 8.16 | 8.49 | -0.33 |
Dividends
Dividend History
Swan Defined Risk Fund provided a 10.10% dividend yield over the last twelve months, with an annual payout of $1.56 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $1.56 | $1.56 | $0.00 | $1.74 | $0.00 | $0.00 | $0.05 | $0.16 | $0.12 | $0.10 | $0.17 | $0.09 |
Dividend yield | 10.10% | 10.55% | 0.00% | 12.37% | 0.00% | 0.00% | 0.34% | 1.21% | 1.00% | 0.76% | 1.42% | 0.78% |
Monthly Dividends
The table displays the monthly dividend distributions for Swan Defined Risk 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 | $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 | $1.56 | $1.56 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.74 | $1.74 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Swan Defined Risk 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 Swan Defined Risk Fund was 20.69%, occurring on Mar 23, 2020. Recovery took 163 trading sessions.
The current Swan Defined Risk Fund drawdown is 2.16%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-20.69%Mar 2020 | 1mo 2d | 7mo 23d | 8mo 25dFeb 2020 - Nov 2020 | COVID crash2020 |
-17.67%Sep 2022 | 9mo 6d | 1y 4mo | 2y 1moDec 2021 - Feb 2024 | Bear market2022 |
-14.16%Apr 2025 | 4mo | 6mo 1d | 10mo 1dDec 2024 - Oct 2025 | 2025 selloff2025 |
-14.07%Dec 2018 | 3mo 1d | 12mo 1d | 1y 2moSep 2018 - Dec 2019 | Rate-hike selloffLate 2018 |
-11.21%Jan 2016 | 8mo 6d | 10mo 24d | 1y 6moMay 2015 - Dec 2016 | — |
Drawdown Indicators
| SDRIX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.69% | -56.78% | +36.09% |
Max Drawdown (1Y)Largest decline over 1 year | -5.29% | -9.10% | +3.81% |
Max Drawdown (3Y)Largest decline over 3 years | -14.16% | -18.90% | +4.74% |
Max Drawdown (5Y)Largest decline over 5 years | -17.67% | -25.43% | +7.76% |
Max Drawdown (10Y)Largest decline over 10 years | -20.69% | -33.92% | +13.23% |
Current DrawdownCurrent decline from peak | -2.16% | -1.58% | -0.58% |
Average DrawdownAverage peak-to-trough decline | -3.53% | -10.70% | +7.17% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.34% | 2.14% | -0.80% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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