Low volatility · top 50 · Top 500 · long only

by finzdata-research · published 2026-10-13 · expr · top500 · 0 forks · 3 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.

Forward tracking started 2026-10-13. Results appear after 21 trading days.

Backtest

Metric	Strategy	Benchmark
CAGR	1.13%	6.55%
Volatility	10.40%	20.69%
Sharpe	0.16	0.41
Max drawdown	-54.21%	-60.91%
Turnover (per year)	2.49

Deflated Sharpe: 0.25 (n trials: 51) — the probability the Sharpe ratio is real after the number of variants tried.

Run id 8395beac74727df3 · snapshot v2026-10-12

Spec

{
  "costs_bps": 10,
  "end": "2025-12-31",
  "rebalance": "M",
  "side": "long",
  "signal": {
    "expr": "rank(-vol(60))",
    "type": "expr"
  },
  "start": "2005-01-01",
  "top_n": 50,
  "universe": "top500"
}

Fork this strategy

Re-run it with your own changes. The fork is computed on the server and linked back here.

curl -X POST https://api.finzdata.com/v1/hub/s/low-volatility-top-50-top-500-long-only-798b06/fork \
  -H 'Authorization: Bearer YOUR_KEY' -H 'Content-Type: application/json' \
  -d '{"changes": {"signal": {"lookback": 126}}}'

Or ask your AI assistant (Claude, ChatGPT, Cursor with the FinzData connector):

Fork the FinzData strategy low-volatility-top-50-top-500-long-only-798b06 and test it with a 126-day lookback and 20 bps costs, then compare both runs.

Historical simulation, not investment advice.

Community

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