Monthly peer low volatility
In plain terms
Compare a stock’s multi-year monthly volatility with other stocks in that month’s universe, then test trading the lowest-risk or highest-risk tail.
How it works
Monthly current peer quintiles formed on trailing monthly total-return volatility, with low-risk long and high-risk short hypotheses after ordinary executable costs.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Xsec low volatility monthly
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Tested over
- 1968-2008
See the source research for the original effect size; a modern replication on new data may be weaker.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
The older rule stays blocked because it compares each stock with its own history instead of ranking monthly stock peers.
Low-beta stocks (calmer than the market) tend to deliver better risk-adjusted returns than high-beta ones; this family overweights when beta drops.
High-beta stocks usually underperform — but only when there's high disagreement (analyst dispersion). Without disagreement, high beta is fine.
Counterintuitive: high-idiosyncratic-vol stocks UNDERPERFORM. So short the high-IVOL names, long the steady ones.
Explore Monthly peer low volatility on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.