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.
Gap to MSCI World: -138.5 percentage points total, -5.8 per year
Index, start = 100
Past performance is not a reliable indicator of future results.
Based on all 16,182 stocks with a score. Not rated are stocks that the profile does not classify because of a size limit or an exclusion rule.
| Score | Number of stocks | High match | Medium match | Low match |
|---|---|---|---|---|
| -3 | 1,516 | 0 | 0 | 1,516 |
| -2 | 2,771 | 0 | 0 | 2,771 |
| -1 | 2,475 | 0 | 0 | 2,475 |
| 0 | 2,368 | 0 | 0 | 2,368 |
| +1 | 2,220 | 0 | 2,220 | 0 |
| +2 | 2,301 | 0 | 2,301 | 0 |
| +3 | 1,357 | 0 | 1,357 | 0 |
| +4 | 427 | 427 | 0 | 0 |
| +5 | 437 | 437 | 0 | 0 |
| +6 | 263 | 263 | 0 | 0 |
| +7 | 47 | 47 | 0 | 0 |
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, here for example “Clearly less volatile than the market (beta < 0.8)”.
In this profile, each rule that is met counts +1 to +4 or −1 to −2 points.
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 signing up for free, you can copy the full profile in the rule editor, adjust its thresholds, and save it as your own starting profile.
See and copy all rules for freeIndex, start = 100
The backtest shows a total return of +101.7%. The MSCI World reaches +240.1% over the same period.
The same strategy with the same settings, started at every possible date. Each dot is a separate run over 5 years.
The periods overlap heavily, neighbouring runs share almost all periods. The spread therefore looks smaller than it would for independent periods. Past results say nothing about future ones.
Strategy calculated without fees and taxes, dividends reinvested.
Point-in-time composition since June 30, 2009: each period uses the members at that time. Stocks that left the market early may be missing, which favours the result.
Historical period, quarterly rebalancing. 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.
Dots per card, in this order: Profitability, Quality, Balance sheet & risk. Filled means at least one rule in the category is met.
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.