low volatility
Low-vol quality stocks on the TSX returned 9.80% CAGR, beating the TSX Composite by +4.72% annually from 2000 to 2025. 0.658 Sharpe ratio, down capture of 38.5%, max drawdown -28.49% vs -46.13%.
low volatility
We tested low-vol quality on 14 exchanges worldwide using the same screen: ROE > 10%, OPM > 10%, lowest 252-day volatility. Compared to local benchmarks (Sensex, Nikkei, FTSE 100, etc.), the strategy beats its home market in 12 of 14 exchanges. China leads with +7.0% excess over the SSE...
low volatility
We backtested low-vol quality stocks on the Taiwan Stock Exchange (TAI) from 2000 to 2025. The portfolio returned 6.65% CAGR with a 0.422 Sharpe ratio, beating the TAIEX by +2.28% annually. Down capture of 29.0% and a beta of 0.317 in a market dominated by TSMC and semiconductors. The...
low volatility
Low-vol quality stocks on the LSE returned 6.46% CAGR, beating the FTSE 100 by +5.11% annually from 2000 to 2025. Down capture of 48.76%, max drawdown -26.21% vs -42.12% for FTSE 100. Zero cash periods across 103 quarters.
low volatility
We backtested a low-volatility quality screen across all US exchanges (NYSE, NASDAQ, AMEX) from 2000 to 2025. The portfolio delivered 6.19% CAGR with a 0.426 Sharpe ratio vs 0.361 for the S&P 500, a max drawdown of -26.6% vs -43.9%, and captured only 30% of market downside. Boring stocks, better...
low volatility
Low-vol quality stocks on NSE returned 16.8% CAGR with a 0.578 Sharpe ratio from 2000 to 2025. That is +5.7% annualized over the Sensex with 85.7% up capture and 36.7% down capture. $10,000 grew to roughly $545,000.
low volatility
Low-vol quality stocks on the JPX returned 6.14% CAGR vs the Nikkei 225's 3.40% from 2000 to 2025. 0.382 Sharpe, 4.17% alpha, 57.28% win rate. Max drawdown of -42.48%. The strategy sat in cash for 14% of quarters due to late Japanese financial filings. Down capture of 43.35%.
low volatility
Low-vol quality stocks on the SIX Swiss Exchange returned 5.46% CAGR with a 0.393 Sharpe ratio from 2000 to 2025, beating the SMI by +3.4% annually. 12.61% annualized volatility. Zero cash periods. Switzerland's naturally defensive market produced 293% total returns with -40.9% max drawdown.