Selects stocks with the lowest historical volatility
Selects stocks with the lowest historical volatility
Volatility-based strategies emerged from the discovery of the 'low volatility anomaly' — the empirical finding that low-risk stocks tend to deliver higher risk-adjusted returns than high-risk stocks. This was first documented by Robert Haugen and James Heins in the 1970s and later confirmed by Baker, Bradley, and Wurgler (2011). The practical application gained momentum through products like the S&P 500 Low Volatility Index and minimum-variance portfolio research by Roger Clarke, Harindra de Silva, and Steven Thorley.
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Lower-risk profile — expect smaller drawdowns in exchange for more modest returns.
Stocks currently selected by this strategy's screen, ordered by how many of its criteria they meet.
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Important disclaimer
Backtested KPIs are estimates derived from historical data and do not guarantee future returns. Markets carry risk of loss.
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