Monthly Return of Alpha Low Volatility:
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sept | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Alpha Low Volatility 2024 | 1.72% | 3.00% | 0.62% | 5.42% | |||||||||
| Bloomberg Barclay's U.S. Aggregate Bond Index | -0.27% | -1.41% | 0.92% | -0.78% | |||||||||
| Alpha Low Volatility 2023 | -6.92% | 1.14% | -1.55% | -2.21% | -1.79% | 1.05% | 1.59% | -8.27% | 0.68% | -0.25% | 8.33% | 3.64% | -5.49% |
| Bloomberg Barclay's U.S. Aggregate Bond Index | 3.08% | -2.59% | 2.54% | 0.61% | -1.09% | -0.36% | -0.07% | -0.64% | -2.54% | -1.58% | 4.53% | 3.83% | 5.53% |
| Alpha Low Volatility 2022 | -10.04% | 1.13% | 0.5% | 0.68% | 3.67% | -9.47% | 1.12% | 4.23% | 8.39% | -1.57% | 1.77% | -0.44% | -1.57% |
| Bloomberg Barclay's U.S. Aggregate Bond Index | -2.15% | -1.12% | -2.78% | -3.79% | .64% | -1.57% | 2.44% | -2.83% | -4.32% | -1.30% | 3.68% | -0.45% | -13.01% |
| Alpha Low Volatility 2021 | 0.34% | 1.43% | 1.91% | 2.40% | 3.30% | -5.56 | 2.47 | 5.12 | 11.60% | ||||
| Bloomberg Barclay's U.S. Aggregate Bond Index | 0.335 | 0.70% | 1.12% | -0.19% | -0.87% | -0.03 | 0.30 | -0.26 | 1.09% |
Performance
| Time Horizon | Manager (net of fees) | S&P 500 ETF |
|---|---|---|
| Last 30 Days | -1.5% | -0.25% |
| Last 90 Days | 2.58% | 3.2% |
| Last 365 Days | 17.4% | 13.45% |
| Since Inception (Annualized) | 19.3% | 20.3% |
| 2018 (YTD) | 7.2% | 7.5% |
| 2017 | 19.4% | 21.7% |
Risk Metrics (Last 365 Days)
| Metric | Manager (net of fees) | 60/40 Benchmark |
|---|---|---|
| Volatility | 11.9% | 12.6% |
| Sharpe Ratio | 1.79 | 1.05 |
| Sortino Ratio | .64 | 1.32 |
| Maximum Drawdown | -6.27% | -10.1% |
| Value-at-risk (95%, 1 week) | -2.7% | -2.9% |
March 2024
Jan 2024
Dec 2023
Nov 2023