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13Low volatility
Hold the calmest stocks with the smallest price swings.
Result
vs. All-World: Lost
vs. TOPIX: Lost
After tax and costs it returned 4.0% a year. Holding the all-world index over the same period returned 14.2%, and TOPIX 11.2%.
Growth of ¥1M (log scale, month-end). The strategy is after tax and costs; indexes include dividends. Values in ¥10,000.
The numbers
| Annual return (after tax & costs) | 4.0% |
|---|---|
| Annual return (before tax) | 5.0% |
| Difference vs. All-World (after tax) | −10.3pt |
| Difference vs. TOPIX (after tax) | −7.2pt |
| 3-year runs that beat All-World | 0% (75 runs) |
| 3-year runs that beat TOPIX | 7% (75 runs) |
| Maximum drawdown | −18.5% |
| Winning trades | 56% (270 trades) |
| Median trade return | 0.5% |
What if the exit rule were different?
Here we re-screen and rebalance every three months. Keeping the same entry but switching among 16 exit rules gives after-tax annual returns of 0.7% to 5.4% (median 3.8%). Compare with 14.2% for the all-world index.
Picking the best of 16 after the fact tends to find a lucky one, so we fixed the exit rule by strategy type in advance.
- Period: 2017-07-03 to 2026-09-30 (~9.2 years)
- ¥10M capital split equally across up to 10 stocks, 100-share lots
- Universe: average daily trading value ≥ ¥100M, price ≤ ¥10,000, listed for at least a year
- Trades at the next day's open; costs from 0.1% per side, rising with order size relative to liquidity
- Japanese tax of 20.315% (annual loss offset, 3-year loss carry-forward); dividends taxed on receipt