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Low-Volatility Premium

Updated annualData needs: mediumlong onlyshort onlylong short

In plain terms

Counterintuitive: high-idiosyncratic-vol stocks UNDERPERFORM. So short the high-IVOL names, long the steady ones.

How it works

Stocks with high idiosyncratic volatility relative to FF3 earn LOWER returns going forward — the IVOL puzzle (Ang-Hodrick-Xing-Zhang 2006/2009). Counterintuitive (more idio risk should imply higher required return) but robust across 23+ markets. Short top-quintile IVOL (~−7% ann. excess), long bottom-quintile (mild positive carry). Distinct from lottery_max which keys off MAX[5d] peak; IVOL keys off residual stdev.

Live results

30 times picked on its own · 164 times inside a blend (135 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 164 such blended picks (135 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Fama french daily
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: ~-7% ann. on top-quintile IVOL
Tested over: 1963-2000 (Ang-Hodrick-Xing-Zhang)

Two complementary readings: • SHORT HIGH-IVOL — top-quintile IVOL gives ~−7% annualized excess return after FF3 controls.

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