Low Vol Anomaly

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

Low Volatility Anomaly 3Y

Total Return

+7.1%

Sharpe Ratio

-0.31

Max Drawdown

-7.5%

Win Rate

54.1%

Alpha

-6.3%

Comp. Score *

0.01

Risk Parameters

Max Allocation0.0%

Stop Loss9.0%

Take Profit5.0%

Max DD Tolerance7.5%

Rebalanceweekly

Execution Guidance

Order TypeLimit

Entry Rule0.5% below current price for buys

TimingSAFE TO BUY. *

ScalingEnter in 3 tranches over 1-2 weeks to average in

Positions — Vol-Adjusted Sizing

Symbol	Action	Vol	Stop Loss	Take Profit	Size	Links
SO	BUY	17%	6.5% below entry	3.6% above entry	0.0%	TV YH
KO	BUY	16%	6.2% below entry	3.4% above entry	0.0%	TV YH
JNJ	BUY	18%	6.7% below entry	3.7% above entry	0.0%	TV YH
ABT	BUY	22%	8.3% below entry	4.6% above entry	0.0%	TV YH
AAPL	BUY	29%	10.8% below entry	6.0% above entry	0.0%	TV YH

▶ For Passive Investors (Buy & Hold)

Marginal long-term returns. Treat as tactical, not core. Small allocation (<2%) if any.

Avg 5Y Return

28.6%

Avg 5Y Sharpe

0.20

Avg 5Y Max DD

-11.2%

10Y Return (2015-2024)

58.2%

10Y Sharpe

0.14

10Y Max DD

-12.7%

HODL Composite

0.17

Windows Tested

Consistency

71%