RSK001Factor HubRisk FactorsLow
Volatility Factor
Owns the calm: volatility-sorted low-risk portfolios earn better risk-adjusted returns.
Formula
VOL = -std(R_daily, 60)Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
5.04%
Sharpe ratio
0.46
Max drawdown
-19.17%
Total return
63.56%
Cumulative performance（2016-09 … 2026-08）
2016 -2.5%2017 -2.8%2018 +8.6%2019 +10.5%2020 +10.8%2021 -7.8%2022 +23.7%2023 -11.1%2024 +17.7%2025 +4.7%2026 +3.9%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | ED | Consolidated Edison | -0.008 |
| 2 | MAA | Mid-America Apartment | -0.008 |
| 3 | BRK.B | Berkshire Hathaway | -0.008 |
| 4 | XEL | Xcel Energy | -0.008 |
| 5 | UDR | UDR | -0.008 |
| 6 | PPL | PPL Corporation | -0.008 |
| 7 | REG | Regency Centers | -0.008 |
| 8 | ATO | Atmos Energy | -0.008 |
| 9 | KIM | Kimco Realty | -0.009 |
| 10 | O | Realty Income | -0.009 |
| 11 | KO | Coca-Cola | -0.009 |
| 12 | COST | Costco | -0.009 |
| 13 | LIN | Linde | -0.009 |
| 14 | WEC | WEC Energy | -0.009 |
| 15 | JNJ | Johnson & Johnson | -0.009 |
| 16 | AEE | Ameren | -0.009 |
| 17 | DUK | Duke Energy | -0.009 |
| 18 | SO | Southern Company | -0.009 |
| 19 | MA | Mastercard | -0.010 |
| 20 | NEE | NextEra Energy | -0.010 |
| 21 | PEP | PepsiCo | -0.010 |
| 22 | BAC | Bank of America | -0.010 |
| 23 | VICI | VICI Properties | -0.010 |
| 24 | EPR | EPR Properties | -0.010 |
| 25 | CMS | CMS Energy | -0.010 |
| 26 | PG | Procter & Gamble | -0.010 |
| 27 | ABBV | AbbVie | -0.010 |
| 28 | PEG | Public Service Enterprise | -0.010 |
| 29 | MDLZ | Mondelez | -0.010 |
| 30 | V | Visa | -0.010 |
Holdings computed by the exact formula above at the latest month-end observation on the deterministic research panel (2026-08).
Data export
Exports include formulas, performance statistics, the 120-month series and current holdings — everything needed to replicate results locally.