Low volatility
Own the calmest stocks on the exchange.
Per year
+6.5%
Benchmark +9.2%
Total return
+86%
Benchmark +140%
Max drawdown
−34%
Benchmark −34%
Sharpe
0.56
Benchmark 0.66
Years beating the benchmark
3 / 9
full calendar years
2016-11-07 to 2026-11-06, 100,000 EUR to 186,434 EUR, after 5,673 EUR in trading costs. On average 15.0 stocks held; the portfolio is turned over 3.9 times a year.
How it works
Every quarter, buy the 15 liquid stocks whose price has moved the least over the last 60 trading days, in equal weight.
The idea
Calm stocks have historically given about the same return as the market with much smaller swings, the low-volatility anomaly. Expect it to lag in strong bull markets and hold up better in sell-offs.
Equity (EUR)
Low volatilityBenchmark
Year by year
| Year | Low volatility | Benchmark | Difference |
|---|---|---|---|
| 2026 (part of year) | −3.2% | −0.9% | −2.4% |
| 2025 | +20.5% | +21.1% | −0.6% |
| 2024 | +2.9% | −0.7% | +3.6% |
| 2023 | −2.1% | +0.5% | −2.6% |
| 2022 | −12.1% | −17.9% | +5.8% |
| 2021 | +26.2% | +26.9% | −0.6% |
| 2020 | +5.9% | +27.6% | −21.7% |
| 2019 | +31.4% | +43.6% | −12.2% |
| 2018 | −10.0% | −12.7% | +2.8% |
| 2017 | +7.0% | +10.1% | −3.0% |
| 2016 (part of year) | +6.8% | +9.4% | −2.6% |
Backtests are simulations on historical data, not investment advice. Past results don't guarantee future returns.