Boring beats spectacular: low-volatility stocks historically delivered more risk-adjusted return. This screen finds them automatically.
Save the strategy and StockScorer checks its rules for you every day. You'll get a heads-up whenever a stock crosses the upper or lower score threshold.
MSCI World over the same period: +240.1 %
Past performance is not a reliable indicator of future results.
| Score | Number of stocks |
|---|---|
| -3 | 1,495 |
| -2 | 2,752 |
| -1 | 2,400 |
| 0 | 2,364 |
| +1 | 2,263 |
| +2 | 2,355 |
| +3 | 1,338 |
| +4 | 428 |
| +5 | 519 |
| +6 | 305 |
| +7 | 46 |
Every stock runs through the same disclosed rules. The points add up to a score, traceable down to the individual rule.
Each rule checks a metric against a threshold, for example ROE above 15 %.
You decide how much each rule counts: from +1 to +3 or −1 to −3.
The sum is the score. That gives three classes: high, medium, low match.
These terms describe only the match with the criteria, not a recommendation to buy or sell.
Annualised 1-year volatility measures the swing itself: below 20% clearly defensive (+4), above 40% highly volatile (−2).
An equity ratio above 40% provides the buffer defensive investors look for.
A dividend uncut for at least five years demonstrates plannable cash flows.
Return on equity above 10% with positive earnings; a loss year costs a point.
These exact rules run over every stock daily.
After a free sign-up: the full profile in the rule editor to copy, adjust thresholds and save as your own starting profile.
See & copy all rulesThe backtest shows a total return of +108.4%. The MSCI World reaches +240.1% over the same period.
Survivorship-free since June 30, 2015: the index composition is applied point-in-time.
Historical period, quarterly rebalancing, no taxes or fees. Past performance is not a reliable indicator of future results.
Purely mechanical rule application, no curated-list effect: stocks with a high match can fall just like any other stock.
For safety-oriented investors, retirees and anyone who copes badly with deep drawdowns. The strategy deliberately trades upside for stability: in strong bull markets it typically lags the market.
The low-volatility anomaly is one of the best-documented capital-market observations: stocks with low price swings delivered higher risk-adjusted returns over decades than highly volatile names, the opposite of what classic theory (more risk = more return) would predict. A common explanation: investors systematically overpay for lottery-like stocks with spectacular upside and shun the boring. This strategy turns that around: since the fidelity round, the core criterion is annualised 252-day volatility, the same measure used by the S&P and MSCI minimum-volatility indices, rather than beta. Beta now serves only as a stand-in when the price history is too short to compute volatility. That is flanked by a defensive equity ratio, a dividend uncut for years and stable profitability, though as a StockScorer construction with no direct precedent in a low-volatility index: the fundamental rules are inspired by the idea of defensive quality, not part of the original methodology.
Annualised 1-year volatility is the core: below 20% (the stock swings clearly less than the market) earns +4 points, 20 to 28% still +1. Above 40% costs 2 points: here the volatility hurdle is clearly missed. If the price history is too short to compute volatility, beta steps in instead (below 0.8 or above 1.3, with the same point values); if both are missing, the classification stays neutral, since not scoreable is not a risk finding.
Three further checks complete the picture, but are a StockScorer construction with no precedent in a true low-volatility index: equity ratio above 40% (+1), dividend uncut for at least five years (+1) and stable profitability: return on equity above 10% with positive net income (+1); a loss year costs a point. The upper threshold is a uniform 4 points across all size classes and, since the fidelity round, reachable only via the volatility hurdle: a low beta alone (absent volatility data) no longer suffices at +2, and the fundamental rules alone certainly do not either.
1Y vola < 20% (or, as a fallback, beta < 0.8): clearly less volatile than the market (+4). 1Y vola 20–28% (or beta 0.8–1.0): moderately defensive (+1). 1Y vola > 40% (or beta > 1.3): highly volatile (−2).
Equity ratio > 40%: defensive balance sheet (+1).
Dividend uncut for ≥ 5 years: reliable payout (+1).
ROE > 10% with positive earnings: stable profitability (+1). Net income negative: loss year (−1).
The strength lies in drawdown behaviour: defensive portfolios typically lose considerably less in corrections and have less to recover afterwards. That is the mathematical source of the anomaly: losing 20% requires a 25% recovery; losing 40% requires 67%.
Fidelity update as of 23 August 2026: annualised 252-day volatility replaces beta as the core metric, closer to the methodology of the S&P/MSCI minimum-volatility indices; beta remains only a fallback when price history is missing. The BUY threshold is set so it is reachable only via the volatility hurdle itself, no longer via the fundamental rules alone.
The three fundamental rules (balance sheet, dividend, profitability) are explicitly a StockScorer construction, inspired by the idea of defensive quality, not part of a low-volatility index. In strong bull markets the strategy lags, that is not a flaw but the price of stability. In the backtest the volatility, beta and dividend-streak rules are only partially scoreable depending on historical data availability; the rule-coverage panel discloses this transparently.
For investors who care more about maximum drawdown than the last percent of return, as the defensive core of a portfolio or as a calming complement to aggressive strategies.