Low volatility · top 20 · Top 500 · long/short

by finzdata-research · published 2026-10-13 · expr · top500 · 0 forks · 1 views

The low-volatility anomaly: less volatile stocks have historically earned similar or better returns than volatile ones because leverage-constrained investors overpay for risky names. Falsified if the strategy fails to match the benchmark's Sharpe ratio out of sample.

Backtest

Deflated Sharpe: 0.05 (n trials: 50) — the probability the Sharpe ratio is real after the number of variants tried.

Run id 61cfd0d3644e68ab · snapshot v2026-10-12

Spec

{
  "costs_bps": 10,
  "end": "2025-12-31",
  "rebalance": "M",
  "side": "long_short",
  "signal": {
    "expr": "rank(-vol(60))",
    "type": "expr"
  },
  "start": "2005-01-01",
  "top_n": 20,
  "universe": "top500"
}

Fork this strategy

curl -X POST https://api.finzdata.com/v1/hub/s/low-volatility-top-20-top-500-long-short-302b45/fork \
  -H 'Authorization: Bearer YOUR_KEY' -H 'Content-Type: application/json' \
  -d '{"changes": {"signal": {"lookback": 126}}}'

Fork the FinzData strategy low-volatility-top-20-top-500-long-short-302b45 and test it with a 126-day lookback and 20 bps costs, then compare both runs.

Historical simulation, not investment advice.

[![FinzData](https://data.finzdata.com/badge/low-volatility-top-20-top-500-long-short-302b45.svg)](https://data.finzdata.com/s/low-volatility-top-20-top-500-long-short-302b45)