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Low Volatility
Negative of trailing 252-day daily-return standard deviation. Lower vol = higher rank.
As of 2026-08-31 · 100 names held · backtest spans 230 months
Trailing returns
1W
-1.73%
S&P 500 TR +0.45%
1M
-3.36%
S&P 500 TR +2.72%
3M
+4.28%
S&P 500 TR +1.41%
6M
-3.11%
S&P 500 TR +12.32%
YTD
+6.50%
S&P 500 TR +13.14%
1Y
+4.34%
S&P 500 TR +20.38%
5Y
+32.87%
S&P 500 TR +82.47%
10Y
+153.50%
S&P 500 TR +316.17%
SINCE
+502.41%
S&P 500 TR +654.10%
from 2007-07-02
2007-07-02 to 2026-08-31 · 4822 sessions
Cumulative return vs S&P 500 TR
Performance stats
| Metric | Factor | S&P 500 TR |
|---|---|---|
Annualized return (1 + total) ^ (252/4822) − 1 | +9.84% | +11.14% |
Annualized volatility daily-return stdev × √252 | +15.28% | +19.85% |
Sharpe ratio ann return ÷ ann vol (rf = 0) | 0.64 | 0.56 |
Max drawdown worst peak-to-trough on the cumulative series | -39.43% | -55.25% |
Information ratio ann excess return ÷ tracking error (vs S&P 500 TR) | -0.19 | — |
Monthly hit rate share of months where factor return > S&P 500 TR | 47% (108/230) | — |
How it's computed
What. For each ticker compute the standard deviation of daily total returns over the most recent 252 trading days. Negate it so that lower realized vol → higher signal → top quintile.
Why it has worked. The low-volatility anomaly — high-vol/high-beta names underperform on a risk-adjusted basis vs CAPM predictions. Frazzini & Pedersen ("Betting Against Beta", 2014) link this to *leverage constraints*: investors who can't (or won't) use leverage bid up high-beta stocks to juice returns, leaving low-beta names systematically underpriced. A behavioral piece is *lottery preference* — retail investors overpay for volatile names with skewed upside.
Caveats. The portfolio is structurally tilted toward defensive sectors (utilities, staples, healthcare, REITs). In strong risk-on regimes it underperforms badly — and 2026 is exactly such a regime, which is why this factor's 1Y line trails the benchmark despite a positive absolute return.
Current sector mix
| Sector | Names | % of screen | |
|---|---|---|---|
| Financials | 23 | 23.0% | |
| Utilities | 23 | 23.0% | |
| Real Estate | 16 | 16.0% | |
| Industrials | 16 | 16.0% | |
| Consumer Discretionary | 5 | 5.0% | |
| Consumer Staples | 5 | 5.0% | |
| Health Care | 5 | 5.0% | |
| Materials | 4 | 4.0% | |
| Energy | 3 | 3.0% |
Current top quintile (100 names)
| Ticker | Name | Sector | Signal ↓ | Z-score |
|---|---|---|---|---|
| BRK-B | BERKSHIRE HATHAWAY INC | Financials | -0.9% | 1.35 |
| ATO | ATMOS ENERGY CORP | Utilities | -1.0% | 1.35 |
| REG | REGENCY CENTERS CORP | Real Estate | -1.0% | 1.35 |
| FE | FIRSTENERGY CORP | Utilities | -1.0% | 1.35 |
| DUK | Duke Energy CORP | Utilities | -1.0% | 1.35 |
| WEC | WEC ENERGY GROUP, INC. | Utilities | -1.0% | 1.35 |
| EVRG | Evergy, Inc. | Utilities | -1.0% | 1.35 |
| L | LOEWS CORP | Financials | -1.0% | 1.34 |
| O | REALTY INCOME CORP | Real Estate | -1.0% | 1.33 |
| LNT | ALLIANT ENERGY CORP | Utilities | -1.0% | 1.33 |
| PNW | PINNACLE WEST CAPITAL CORP | Utilities | -1.0% | 1.31 |
| FRT | FEDERAL REALTY INVESTMENT TRUST | Real Estate | -1.0% | 1.31 |
| CMS | CMS ENERGY CORP | Utilities | -1.1% | 1.29 |
| DTE | DTE ENERGY CO | Utilities | -1.1% | 1.28 |
| CNP | CENTERPOINT ENERGY INC | Utilities | -1.1% | 1.28 |
| SO | SOUTHERN CO | Utilities | -1.1% | 1.28 |
| AEE | AMEREN CORP | Utilities | -1.1% | 1.28 |
| ED | CONSOLIDATED EDISON INC | Utilities | -1.1% | 1.27 |
| AFL | AFLAC INC | Financials | -1.1% | 1.27 |
| KIM | KIMCO REALTY CORP | Real Estate | -1.1% | 1.22 |
| VICI | VICI PROPERTIES INC. | Real Estate | -1.1% | 1.20 |
| MCD | MCDONALDS CORP | Consumer Discretionary | -1.2% | 1.18 |
| PEG | PUBLIC SERVICE ENTERPRISE GROUP INC | Utilities | -1.2% | 1.17 |
| NI | NISOURCE INC. | Utilities | -1.2% | 1.16 |
| KO | COCA COLA CO | Consumer Staples | -1.2% | 1.16 |
| JNJ | JOHNSON & JOHNSON | Health Care | -1.2% | 1.16 |
| LIN | LINDE PLC | Materials | -1.2% | 1.14 |
| AEP | AMERICAN ELECTRIC POWER CO INC | Utilities | -1.2% | 1.13 |
| SPG | SIMON PROPERTY GROUP INC. | Real Estate | -1.2% | 1.13 |
| RSG | REPUBLIC SERVICES, INC. | Industrials | -1.2% | 1.13 |
| MAA | MID AMERICA APARTMENT COMMUNITIES INC. | Real Estate | -1.2% | 1.13 |
| EXC | EXELON CORP | Utilities | -1.2% | 1.13 |
| HIG | HARTFORD INSURANCE GROUP, INC. | Financials | -1.2% | 1.12 |
| CB | Chubb Ltd | Financials | -1.2% | 1.11 |
| PG | PROCTER & GAMBLE Co | Materials | -1.2% | 1.09 |
| XEL | XCEL ENERGY INC | Utilities | -1.2% | 1.09 |
| ESS | ESSEX PROPERTY TRUST, INC. | Real Estate | -1.2% | 1.07 |
| CPT | CAMDEN PROPERTY TRUST | Real Estate | -1.2% | 1.07 |
| COST | COSTCO WHOLESALE CORP /NEW | Consumer Staples | -1.3% | 1.06 |
| WM | WASTE MANAGEMENT INC | Industrials | -1.3% | 1.06 |
| GL | GLOBE LIFE INC. | Financials | -1.3% | 1.06 |
| SNA | Snap-on Inc | Industrials | -1.3% | 1.05 |
| D | DOMINION ENERGY, INC | Utilities | -1.3% | 1.04 |
| ETR | ENTERGY CORP /DE/ | Utilities | -1.3% | 1.03 |
| TJX | TJX COMPANIES INC /DE/ | Consumer Discretionary | -1.3% | 1.03 |
| UDR | UDR, Inc. | Real Estate | -1.3% | 1.03 |
| NSC | NORFOLK SOUTHERN CORP | Industrials | -1.3% | 1.03 |
| KMI | KINDER MORGAN, INC. | Energy | -1.3% | 1.01 |
| CINF | CINCINNATI FINANCIAL CORP | Financials | -1.3% | 1.01 |
| TRV | TRAVELERS COMPANIES, INC. | Financials | -1.3% | 1.01 |
| SRE | SEMPRA | Utilities | -1.3% | 1.01 |
| ACGL | ARCH CAPITAL GROUP LTD. | Financials | -1.3% | 0.99 |
| INVH | Invitation Homes Inc. | Real Estate | -1.3% | 0.98 |
| OTIS | Otis Worldwide Corp | Industrials | -1.3% | 0.98 |
| PEP | PEPSICO INC | Consumer Staples | -1.3% | 0.97 |
| BAC | BANK OF AMERICA CORP /DE/ | Financials | -1.3% | 0.97 |
| NEE | NEXTERA ENERGY INC | Utilities | -1.3% | 0.96 |
| ITW | ILLINOIS TOOL WORKS INC | Industrials | -1.3% | 0.96 |
| PLD | Prologis, Inc. | Real Estate | -1.4% | 0.94 |
| PNC | PNC FINANCIAL SERVICES GROUP, INC. | Financials | -1.4% | 0.94 |
| MTB | M&T BANK CORP | Financials | -1.4% | 0.94 |
| PFG | PRINCIPAL FINANCIAL GROUP INC | Financials | -1.4% | 0.93 |
| ECL | ECOLAB INC. | Materials | -1.4% | 0.92 |
| GD | GENERAL DYNAMICS CORP | Industrials | -1.4% | 0.91 |
| V | VISA INC. | Industrials | -1.4% | 0.91 |
| UNP | UNION PACIFIC CORP | Industrials | -1.4% | 0.91 |
| AIZ | ASSURANT, INC. | Financials | -1.4% | 0.90 |
| JPM | JPMORGAN CHASE & CO | Financials | -1.4% | 0.90 |
| WRB | BERKLEY W R CORP | Financials | -1.4% | 0.90 |
| VTR | Ventas, Inc. | Real Estate | -1.4% | 0.89 |
| USB | US BANCORP DE | Financials | -1.4% | 0.89 |
| MA | Mastercard Inc | Industrials | -1.4% | 0.89 |
| NDSN | NORDSON CORP | Industrials | -1.4% | 0.89 |
| PRU | PRUDENTIAL FINANCIAL INC | Financials | -1.4% | 0.88 |
| AWK | American Water Works Company, Inc. | Utilities | -1.4% | 0.88 |
| CL | COLGATE PALMOLIVE CO | Consumer Staples | -1.4% | 0.87 |
| WELL | WELLTOWER INC. | Real Estate | -1.4% | 0.87 |
| IEX | IDEX CORP /DE/ | Industrials | -1.4% | 0.87 |
| EXR | Extra Space Storage Inc. | Real Estate | -1.4% | 0.86 |
| CSX | CSX CORP | Industrials | -1.4% | 0.86 |
| VLTO | Veralto Corp | Industrials | -1.4% | 0.85 |
| PSA | Public Storage | Real Estate | -1.4% | 0.84 |
| CTAS | CINTAS CORP | Consumer Discretionary | -1.4% | 0.84 |
| LH | LABCORP HOLDINGS INC. | Health Care | -1.5% | 0.83 |
| AME | AMETEK INC/ | Industrials | -1.5% | 0.83 |
| MDLZ | Mondelez International, Inc. | Consumer Staples | -1.5% | 0.83 |
| CHD | CHURCH & DWIGHT CO INC /DE/ | Materials | -1.5% | 0.82 |
| CME | CME GROUP INC. | Financials | -1.5% | 0.81 |
| CVX | CHEVRON CORP | Energy | -1.5% | 0.81 |
| MET | METLIFE INC | Financials | -1.5% | 0.81 |
| GWW | W.W. GRAINGER, INC. | Industrials | -1.5% | 0.81 |
| KEY | KEYCORP /NEW/ | Financials | -1.5% | 0.80 |
| DGX | QUEST DIAGNOSTICS INC | Health Care | -1.5% | 0.80 |
| PFE | PFIZER INC | Health Care | -1.5% | 0.80 |
| MDT | Medtronic plc | Health Care | -1.5% | 0.79 |
| YUM | YUM BRANDS INC | Consumer Discretionary | -1.5% | 0.79 |
| HLT | Hilton Worldwide Holdings Inc. | Consumer Discretionary | -1.5% | 0.79 |
| WMB | WILLIAMS COMPANIES, INC. | Energy | -1.5% | 0.77 |
| TFC | TRUIST FINANCIAL CORP | Financials | -1.5% | 0.77 |
| RF | REGIONS FINANCIAL CORP | Financials | -1.5% | 0.77 |