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WINNING

Low Vol Anomaly

Buy lowest-vol stocks: anomaly where low risk = higher returns

3Y
Total Return
+5.4%
3Y
Sharpe Ratio
-0.43
3Y
Max Drawdown
-7.0%
3Y
Win Rate
52.9%
3Y
Alpha
-63.7%
3Y
Comp. Score *
0.01
Risk Parameters
Max Allocation0.0%
Stop Loss7.0%
Take Profit5.0%
Max DD Tolerance7.0%
Rebalancemonthly
Execution Guidance
Order TypeLimit
Entry RuleBuy 0.5% below market in uptrend.
TimingSAFE TO BUY. *
ScalingEnter in 3 tranches over 1-2 weeks.
Positions — Vol-Adjusted Sizing
SymbolActionVol Stop LossTake ProfitSizeLinks
BRK-B BUY 17% 5.0% below entry 3.6% above entry 0.0% TVYH
DUK BUY 17% 5.0% below entry 3.5% above entry 0.0% TVYH
JNJ BUY 19% 5.5% below entry 4.0% above entry 0.0% TVYH
PEP BUY 21% 6.2% below entry 4.4% above entry 0.0% TVYH
SO BUY 18% 5.2% below entry 3.7% above entry 0.0% TVYH