Low beta
Stocks that move the least with the market.
Per year
+0.2%
Benchmark +9.2%
Total return
+2%
Benchmark +140%
Max drawdown
−46%
Benchmark −34%
Sharpe
0.08
Benchmark 0.66
Years beating the benchmark
3 / 9
full calendar years
2016-11-07 to 2026-11-06, 100,000 EUR to 101,964 EUR, after 5,708 EUR in trading costs. On average 9.5 stocks held; the portfolio is turned over 4.3 times a year.
How it works
Every quarter, buy the ten liquid stocks with the lowest positive one-year beta against the market index.
The idea
Investors who want more return often buy high-beta stocks instead of borrowing, which makes them expensive and low-beta stocks cheap (betting against beta). Low-beta stocks can still fall on their own news.
Equity (EUR)
Low betaBenchmark
Year by year
| Year | Low beta | Benchmark | Difference |
|---|---|---|---|
| 2026 (part of year) | −16.4% | −0.9% | −15.5% |
| 2025 | −3.7% | +21.1% | −24.8% |
| 2024 | −14.5% | −0.7% | −13.8% |
| 2023 | −4.4% | +0.5% | −4.9% |
| 2022 | −11.5% | −17.9% | +6.4% |
| 2021 | +30.3% | +26.9% | +3.5% |
| 2020 | −6.4% | +27.6% | −34.0% |
| 2019 | +51.2% | +43.6% | +7.7% |
| 2018 | −14.3% | −12.7% | −1.5% |
| 2017 | +5.1% | +10.1% | −4.9% |
| 2016 (part of year) | +5.3% | +9.4% | −4.1% |
Backtests are simulations on historical data, not investment advice. Past results don't guarantee future returns.