Systematic factor / S&P 500
Low volatility
Stocks with the lowest daily return volatility over the past year.
1 day vs S&P 500-0.3%relative return
20 days vs S&P 500-0.0%relative return
5-day z-score-0.14σrelative move vs trailing history
Year to date+8.2%long portfolio return
Performance
Low volatility vs S&P 500
Daily long-portfolio return minus the benchmark return, compounded over the selected period. Positive means the factor led the market.
| Return | 1 day | 5 days | 20 days | 60 days | MTD | YTD | 1 year |
|---|---|---|---|---|---|---|---|
| Long portfolio | -0.7% | -0.4% | -0.3% | +4.5% | +0.0% | +8.2% | +5.5% |
| vs S&P 500 | -0.3% | -0.6% | -0.0% | -2.0% | -0.5% | -5.5% | -13.0% |
| Q5 − Q1 spread | -0.8% | -0.9% | -3.7% | -8.3% | -0.4% | -21.6% | -31.1% |
Inside the factor
Rebalanced 2026-08-31 · 4% of the long book is new.
Top quintile: the highest-scoring stocks. Weights below are for the cap-weighted long portfolio.
| BRK-BBerkshire Hathaway | Financial Services | 5.00% | 1.32 | 2019-12-31 | -0.4% | +0.2% | -3.0% | +4.6% | +0.4% | +0.7% | -0.2% |
|---|---|---|---|---|---|---|---|---|---|---|---|
| JNJJohnson & Johnson | Healthcare | 5.00% | 1.18 | 2019-12-31 | -1.1% | +2.7% | +6.7% | +16.0% | +3.5% | +35.1% | +57.4% |
| JPMJPMorgan Chase | Financial Services | 5.00% | 0.92 | 2026-04-30 | -0.9% | +0.3% | +0.3% | +16.5% | +0.7% | +12.9% | +20.3% |
| MAMastercard | Financial Services | 5.00% | 0.90 | 2023-06-30 | -1.1% | -2.7% | +2.9% | +18.6% | -1.7% | +2.0% | -2.1% |
| VVisa Inc. | Financial Services | 5.00% | 0.93 | 2025-07-31 | -1.0% | -1.7% | +3.7% | +16.4% | -1.1% | +7.6% | +7.7% |
| BACBank of America | Financial Services | 4.50% | 0.99 | 2026-04-30 | -0.1% | +1.1% | -0.3% | +15.5% | +1.7% | +15.8% | +27.1% |
| COSTCostco | Consumer Defensive | 4.22% | 1.10 | 2024-12-31 | -1.0% | -3.1% | -3.4% | -6.7% | -3.0% | +6.7% | -3.6% |
| CVXChevron Corporation | Energy | 4.16% | 0.82 | 2026-04-30 | -1.3% | +3.3% | +12.8% | +10.8% | +1.2% | +40.6% | +37.5% |
| KOCoca-Cola Company (The) | Consumer Defensive | 3.87% | 1.20 | 2019-12-31 | -0.8% | -1.8% | +1.2% | +6.0% | -0.7% | +27.7% | +32.7% |
| PGProcter & Gamble | Consumer Defensive | 3.59% | 1.12 | 2019-12-31 | -0.3% | +1.8% | +0.4% | -1.0% | +0.9% | +4.5% | -5.3% |
| LINLinde plc | Basic Materials | 2.30% | 1.16 | 2023-08-31 | -1.0% | -2.1% | -2.2% | -5.9% | -2.1% | +13.1% | +2.5% |
| PEPPepsiCo | Consumer Defensive | 1.94% | 0.99 | 2019-12-31 | -0.7% | -1.4% | +0.1% | -3.6% | -0.9% | -1.2% | -1.6% |
| MCDMcDonald's | Consumer Cyclical | 1.90% | 1.21 | 2020-11-30 | -1.5% | -2.8% | -6.2% | -8.8% | -2.3% | -14.7% | -17.3% |
| UNPUnion Pacific Corporation | Industrials | 1.82% | 0.93 | 2025-10-31 | +0.2% | -5.3% | -0.7% | +9.0% | -3.7% | +27.1% | +32.6% |
| NEENextEra Energy | Utilities | 1.76% | 0.99 | 2026-07-31 | -0.8% | +1.9% | -0.7% | -1.2% | +1.3% | +6.2% | +21.1% |
| WELLWelltower | Real Estate | 1.70% | 0.89 | 2024-07-31 | -2.1% | -0.8% | +0.1% | +12.2% | -0.0% | +28.6% | +42.9% |
| PFEPfizer | Healthcare | 1.68% | 0.82 | 2026-07-31 | -1.2% | +1.8% | +6.3% | +13.1% | -0.0% | +20.1% | +24.1% |
| TJXTJX Companies | Consumer Cyclical | 1.52% | 1.07 | 2023-05-31 | -0.1% | -2.2% | -17.9% | -21.0% | -1.4% | -13.2% | -5.2% |
| CBChubb Limited | Financial Services | 1.35% | 1.14 | 2022-05-31 | -1.9% | +0.5% | -2.5% | +3.6% | +0.9% | +10.1% | +23.6% |
| PLDPrologis | Real Estate | 1.32% | 0.98 | 2026-04-30 | -0.7% | -2.4% | -2.0% | -5.1% | -1.8% | +9.2% | +25.9% |
| MDTMedtronic | Healthcare | 1.19% | 0.83 | 2024-02-29 | +1.1% | +3.2% | +8.0% | +18.4% | +3.9% | -0.3% | +4.7% |
| BNYBank of New York Mellon Corp | Financial Services | 1.14% | 0.99 | 2026-01-30 | +0.3% | +1.4% | +4.6% | +18.4% | +2.2% | +43.8% | +58.9% |
| CMECME Group | Financial Services | 1.04% | 0.83 | 2022-06-30 | -0.3% | -1.6% | +6.7% | +6.6% | -1.5% | +6.0% | +9.3% |
| GDGeneral Dynamics | Industrials | 1.03% | 0.93 | 2021-05-28 | -1.8% | -5.2% | -8.3% | +5.8% | -3.2% | +8.2% | +13.4% |
| SOSouthern Company | Utilities | 1.02% | 1.31 | 2021-03-31 | -0.7% | -0.2% | -4.2% | -5.5% | +0.1% | +3.5% | -0.9% |
| PNCPNC Financial Services | Financial Services | 0.99% | 0.98 | 2026-04-30 | +0.2% | +1.4% | -2.8% | +6.4% | +2.5% | +20.4% | +22.3% |
| USBU.S. Bancorp | Financial Services | 0.97% | 0.94 | 2026-04-30 | -0.2% | +1.4% | -0.9% | +12.5% | +2.9% | +21.0% | +34.0% |
| DUKDuke Energy | Utilities | 0.96% | 1.32 | 2021-03-31 | -1.0% | -0.0% | -2.9% | -3.0% | +0.3% | +5.2% | +2.9% |
| CSXCSX Corporation | Industrials | 0.95% | 0.94 | 2026-05-29 | +0.9% | -3.4% | -1.4% | +6.8% | -2.2% | +37.5% | +53.2% |
| WMWaste Management | Industrials | 0.89% | 1.08 | 2019-12-31 | -1.2% | -0.3% | -3.8% | -2.4% | +0.0% | +0.5% | -1.1% |
| CTASCintas | Industrials | 0.83% | 0.85 | 2025-12-31 | -0.3% | -1.8% | -1.0% | +11.4% | -0.7% | +7.4% | -2.1% |
| MDLZMondelez International | Consumer Defensive | 0.81% | 0.84 | 2019-12-31 | -0.3% | -1.7% | -2.1% | -3.7% | -1.3% | +15.8% | +4.1% |
| ECLEcolab | Basic Materials | 0.81% | 0.94 | 2024-10-31 | +0.1% | -2.6% | -2.1% | +9.0% | -1.4% | +7.0% | +2.7% |
| ITWIllinois Tool Works | Industrials | 0.80% | 0.99 | 2023-11-30 | -0.6% | -3.6% | -8.9% | +8.6% | -1.9% | +11.0% | +4.2% |
| NSCNorfolk Southern Railway | Industrials | 0.79% | 1.07 | 2025-11-28 | +0.5% | -5.5% | -1.5% | +7.1% | -3.9% | +15.6% | +19.8% |
| TRVTravelers Companies (The) | Financial Services | 0.78% | 1.03 | 2025-10-31 | -1.3% | -0.1% | -3.9% | +21.8% | +0.9% | +28.3% | +34.3% |
| KMIKinder Morgan | Energy | 0.73% | 1.05 | 2026-01-30 | -0.6% | -0.5% | +1.8% | -0.4% | -2.6% | +17.5% | +22.3% |
| CLColgate-Palmolive | Consumer Defensive | 0.73% | 0.89 | 2019-12-31 | -1.5% | -2.2% | -4.8% | -0.8% | -1.2% | +14.4% | +8.8% |
| HLTHilton Worldwide | Consumer Cyclical | 0.73% | 0.81 | 2026-06-30 | -1.0% | -3.3% | -2.0% | -8.0% | -1.6% | +8.5% | +12.1% |
| SPGSimon Property Group | Real Estate | 0.70% | 1.16 | 2026-04-30 | -1.0% | -2.4% | -6.0% | -1.6% | -1.4% | +15.7% | +20.9% |
| RSGRepublic Services | Industrials | 0.69% | 1.16 | 2019-12-31 | -1.1% | +0.3% | +3.8% | +5.1% | +0.8% | +6.0% | -3.7% |
| AEPAmerican Electric Power | Utilities | 0.68% | 1.16 | 2024-10-31 | -0.2% | +1.8% | -0.2% | -2.4% | +1.7% | +10.4% | +18.2% |
| METMetLife | Financial Services | 0.63% | 0.82 | 2026-07-31 | -1.6% | +1.1% | -0.1% | +14.0% | +2.6% | +26.3% | +22.8% |
| GWWW. W. Grainger | Industrials | 0.63% | 0.82 | 2026-08-31 NEW | +0.9% | +1.4% | +3.9% | +0.7% | +1.1% | +32.0% | +29.9% |
| TFCTruist Financial | Financial Services | 0.62% | 0.80 | 2026-08-31 NEW | +0.1% | +2.4% | -0.4% | +4.8% | +4.2% | +8.2% | +14.4% |
| AFLAflac | Financial Services | 0.60% | 1.31 | 2025-02-28 | -1.0% | +0.6% | -5.5% | +0.6% | +1.2% | +8.0% | +10.2% |
| DDominion Energy | Utilities | 0.59% | 1.07 | 2025-10-31 | -0.4% | +1.5% | -1.3% | -0.4% | +0.8% | +15.9% | +18.1% |
| ORealty Income | Real Estate | 0.58% | 1.32 | 2024-08-30 | -0.8% | -0.8% | -1.6% | -0.1% | -0.1% | +12.5% | +10.8% |
| PSAPublic Storage | Real Estate | 0.55% | 0.86 | 2025-08-29 | -1.2% | -3.7% | -8.0% | -5.9% | -1.6% | +18.7% | +7.6% |
| AMEAmetek | Industrials | 0.55% | 0.84 | 2025-11-28 | +1.5% | +0.6% | -6.3% | +7.3% | +1.1% | +16.1% | +27.3% |
| SRESempra | Utilities | 0.54% | 1.04 | 2026-02-27 | -0.6% | -0.3% | +0.2% | -7.0% | +2.9% | -3.5% | +5.3% |
| ETREntergy | Utilities | 0.50% | 1.06 | 2025-11-28 | -0.5% | +1.4% | +0.7% | -2.3% | +0.9% | +18.2% | +24.7% |
| XELXcel Energy | Utilities | 0.48% | 1.12 | 2025-03-31 | -0.8% | -0.9% | -3.0% | -2.3% | +0.0% | +4.0% | +8.1% |
| EXCExelon | Utilities | 0.46% | 1.16 | 2024-12-31 | -1.1% | +0.3% | -3.4% | -3.4% | +0.8% | +2.9% | +4.4% |
| VTRVentas | Real Estate | 0.45% | 0.91 | 2025-04-30 | -2.0% | -1.7% | -3.3% | +7.6% | -1.0% | +18.1% | +36.7% |
| EDConsolidated Edison | Utilities | 0.40% | 1.32 | 2021-03-31 | -1.3% | -0.2% | +0.2% | +0.5% | +0.2% | +10.7% | +13.3% |
| PRUPrudential Financial | Financial Services | 0.39% | 0.90 | 2026-05-29 | -1.0% | +1.9% | +1.8% | +17.4% | +3.8% | +12.3% | +18.1% |
| HIGHartford (The) | Financial Services | 0.39% | 1.14 | 2025-07-31 | -1.2% | +0.3% | -3.0% | +7.5% | +1.2% | +1.8% | +4.6% |
| MTBM&T Bank | Financial Services | 0.37% | 0.98 | 2026-04-30 | -0.1% | +1.7% | -3.6% | +7.8% | +3.2% | +21.5% | +21.9% |
| PEGPublic Service Enterprise Group | Utilities | 0.37% | 1.21 | 2025-03-31 | -0.1% | +0.7% | -2.6% | -6.2% | +0.5% | -6.7% | -6.8% |
| WECWEC Energy Group | Utilities | 0.35% | 1.32 | 2024-03-28 | -0.7% | -0.3% | -0.7% | -6.3% | -0.2% | +3.0% | +1.9% |
| PPLPPL Corporation | Utilities | 0.35% | 1.26 | 2021-07-30 | +0.0% | +2.7% | -1.0% | -1.3% | +2.9% | +1.8% | -0.8% |
| ACGLArch Capital Group | Financial Services | 0.34% | 1.01 | 2026-02-27 | -1.7% | -0.8% | -0.4% | +7.4% | +0.0% | +2.3% | +6.4% |
| EXRExtra Space Storage | Real Estate | 0.30% | 0.89 | 2026-08-31 NEW | -1.2% | -2.6% | -6.9% | -5.9% | -1.3% | +9.3% | +1.3% |
| AEEAmeren | Utilities | 0.30% | 1.31 | 2024-12-31 | +0.1% | +0.3% | -2.2% | -2.1% | +0.4% | +8.1% | +8.5% |
| ATOAtmos Energy | Utilities | 0.29% | 1.32 | 2021-11-30 | -0.9% | +0.5% | -0.9% | -0.4% | +0.9% | +1.7% | +4.0% |
| DTEDTE Energy | Utilities | 0.29% | 1.32 | 2024-08-30 | -0.7% | +0.2% | -2.7% | -6.1% | +0.3% | +7.2% | +3.1% |
| VICIVici Properties | Real Estate | 0.28% | 1.24 | 2024-09-30 | -0.9% | -1.7% | -4.9% | -9.0% | -0.9% | -6.6% | -19.2% |
| OTISOtis Worldwide | Industrials | 0.28% | 1.01 | 2026-07-31 | -0.4% | -0.7% | -3.2% | +2.9% | +0.1% | -17.1% | -15.9% |
| AWKAmerican Water Works | Utilities | 0.28% | 0.90 | 2026-05-29 | -0.1% | +1.7% | +4.7% | +12.0% | +1.8% | +10.1% | +2.1% |
| LHLabCorp | Healthcare | 0.28% | 0.84 | 2026-06-30 | -1.4% | -2.5% | +2.6% | +21.9% | -1.7% | +31.3% | +20.0% |
| FEFirstEnergy | Utilities | 0.27% | 1.32 | 2024-03-28 | -0.6% | +1.9% | -1.5% | +1.7% | +2.0% | +7.6% | +11.9% |
| DGXQuest Diagnostics | Healthcare | 0.27% | 0.81 | 2026-05-29 | -0.9% | -2.3% | -0.5% | +16.9% | -1.3% | +38.4% | +34.0% |
| WRBW. R. Berkley Corporation | Financial Services | 0.27% | 0.91 | 2025-07-31 | -0.5% | +1.0% | -3.4% | +2.4% | +2.3% | -0.4% | -2.6% |
| CINFCincinnati Financial | Financial Services | 0.27% | 1.03 | 2026-01-30 | -2.1% | -0.5% | -3.3% | +3.4% | +0.7% | +6.0% | +12.4% |
| CNPCenterPoint Energy | Utilities | 0.27% | 1.31 | 2025-03-31 | -0.8% | +1.1% | -1.9% | -6.6% | +0.2% | +5.2% | +8.3% |
| VMRKEquity Residential | Real Estate | 0.25% | 1.05 | 2025-11-28 | +0.6% | -0.3% | -2.6% | -2.4% | +0.3% | +7.2% | +4.1% |
| VLTOVeralto | Industrials | 0.24% | 0.86 | 2025-01-31 | -1.6% | -2.3% | -2.1% | +16.7% | -2.3% | -3.2% | -9.2% |
| PFGPrincipal Financial Group | Financial Services | 0.24% | 0.95 | 2026-04-30 | -1.5% | +5.5% | +3.7% | +7.6% | +6.7% | +35.5% | +48.5% |
| CHDChurch & Dwight | Consumer Defensive | 0.24% | 0.84 | 2020-02-28 | -0.0% | -2.7% | -4.3% | +0.7% | -1.2% | +18.6% | +4.8% |
| KEYKeyCorp | Financial Services | 0.24% | 0.85 | 2026-07-31 | +0.3% | +2.2% | -1.5% | +1.8% | +3.6% | +10.6% | +20.3% |
| LLoews Corporation | Financial Services | 0.23% | 1.32 | 2022-03-31 | -0.7% | -0.4% | -5.3% | +1.2% | +0.9% | +4.0% | +12.3% |
| CMSCMS Energy | Utilities | 0.21% | 1.32 | 2019-12-31 | -0.2% | +0.4% | -3.6% | -6.0% | +0.6% | +0.2% | -1.3% |
| SNASnap-on | Industrials | 0.21% | 1.09 | 2026-02-27 | -0.3% | -2.3% | -7.4% | +1.8% | -0.9% | +13.3% | +19.7% |
| NINiSource | Utilities | 0.20% | 1.19 | 2024-08-30 | -0.7% | +2.0% | -2.9% | -10.6% | +1.1% | +1.1% | +6.7% |
| EVRGEvergy | Utilities | 0.19% | 1.32 | 2024-07-31 | -0.5% | +1.1% | -1.4% | -0.7% | +0.6% | +15.3% | +17.9% |
| ESSEssex Property Trust | Real Estate | 0.18% | 1.10 | 2026-03-31 | -0.0% | -1.9% | -3.3% | -1.2% | -1.5% | +9.7% | +9.5% |
| NDSNNordson Corporation | Industrials | 0.18% | 0.93 | 2026-04-30 | +0.3% | -1.9% | +2.7% | +14.6% | -1.0% | +33.2% | +42.7% |
| LNTAlliant Energy | Utilities | 0.18% | 1.32 | 2023-10-31 | -0.0% | -0.1% | -2.0% | -6.2% | -0.0% | +7.0% | +8.3% |
| INVHInvitation Homes | Real Estate | 0.18% | 1.01 | 2025-04-30 | -0.2% | -2.9% | -6.5% | -3.5% | -2.6% | +4.5% | -2.3% |
| IEXIDEX Corporation | Industrials | 0.17% | 0.91 | 2026-07-31 | +0.3% | -2.8% | -4.6% | +4.7% | -2.1% | +27.1% | +37.8% |
| KIMKimco Realty | Real Estate | 0.16% | 1.26 | 2025-12-31 | -0.2% | +0.4% | -2.4% | -5.9% | +0.7% | +20.3% | +9.7% |
| MAAMid-America Apartment Communities | Real Estate | 0.15% | 1.16 | 2025-02-28 | -0.2% | -1.0% | -4.9% | -7.1% | -0.4% | -4.3% | -6.7% |
| AIZAssurant | Financial Services | 0.14% | 0.92 | 2026-08-31 NEW | -0.7% | +0.3% | -1.0% | +11.4% | +1.4% | +19.9% | +33.9% |
| REGRegency Centers | Real Estate | 0.14% | 1.32 | 2024-10-31 | -0.9% | -0.3% | -2.4% | -5.1% | +0.7% | +11.1% | +6.5% |
| GLGlobe Life | Financial Services | 0.14% | 1.08 | 2026-04-30 | -1.3% | +0.9% | -5.2% | +7.4% | +0.9% | +25.4% | +24.2% |
| UDRUDR, Inc. | Real Estate | 0.12% | 1.05 | 2024-11-29 | +0.0% | -2.0% | -4.9% | -6.8% | -1.5% | +2.4% | -2.1% |
| PNWPinnacle West | Utilities | 0.12% | 1.32 | 2024-11-29 | -0.5% | -0.1% | -3.5% | -4.5% | -0.1% | +13.0% | +13.5% |
| CPTCamden Property Trust | Real Estate | 0.11% | 1.10 | 2025-03-31 | +0.1% | -0.6% | -5.6% | -7.5% | -0.1% | -2.1% | -0.3% |
| FRTFederal Realty Investment Trust | Real Estate | 0.10% | 1.32 | 2026-01-30 | -0.1% | +0.3% | -1.4% | -4.4% | +0.9% | +19.8% | +21.0% |
Bottom quintile: the lowest-scoring stocks, used as the equal-weighted short leg of the spread.
| APPAppLovin Corporation | Technology | -3.00 | 2025-09-30 | +2.2% | +0.9% | -7.6% | -35.0% | +2.7% | -52.4% | -35.9% |
|---|---|---|---|---|---|---|---|---|---|---|
| CIENCiena Corporation | Technology | -3.00 | 2026-02-27 | +1.1% | -15.2% | -22.2% | -26.2% | -16.1% | +37.3% | +174.6% |
| COHRCoherent, Inc. | Technology | -3.00 | 2026-03-31 | +6.6% | +0.9% | -25.7% | -20.5% | +1.5% | +52.7% | +194.8% |
| INTCIntel | Technology | -3.00 | 2023-06-30 | +4.5% | +7.1% | -5.8% | -10.5% | +7.0% | +159.6% | +289.3% |
| LITELumentum Holdings Inc. | Technology | -3.00 | 2026-03-31 | +4.0% | -1.5% | -1.0% | +3.3% | -3.7% | +139.1% | +521.0% |
| MRNAModerna | Healthcare | -3.00 | 2021-07-30 | -2.2% | +5.5% | +146.0% | +216.5% | +3.7% | +393.6% | +499.5% |
| MRVLMarvell Technology, Inc. | Technology | -3.00 | 2026-06-30 | +7.0% | +3.2% | +2.2% | -11.5% | +5.6% | +163.4% | +249.5% |
| MUMicron Technology | Technology | -3.00 | 2021-06-30 | +6.1% | +9.0% | +15.8% | +14.0% | +6.0% | +256.4% | +719.8% |
| SMCISupermicro | Technology | -3.00 | 2024-03-28 | +4.5% | +6.8% | +27.2% | +35.3% | +6.2% | +35.3% | -2.7% |
| SNDKSandisk Corporation | Technology | -3.00 | 2025-12-31 | +11.9% | +17.2% | +43.5% | +5.9% | +11.1% | +633.0% | +2684.0% |
| STXSeagate Technology | Technology | -3.00 | 2025-04-30 | +6.3% | +2.4% | +4.5% | +4.2% | +2.5% | +209.1% | +365.4% |
| TERTeradyne | Technology | -3.00 | 2024-03-28 | +5.5% | +0.6% | -5.8% | +2.8% | +2.1% | +84.7% | +199.9% |
| WDCWestern Digital | Technology | -3.00 | 2019-12-31 | +5.9% | +1.7% | +7.6% | -4.6% | +3.8% | +171.6% | +417.4% |
| DELLDell Technologies | Technology | -2.92 | 2024-09-30 | +1.5% | +14.8% | +15.5% | +41.9% | +14.9% | +320.1% | +319.0% |
| AMDAdvanced Micro Devices | Technology | -2.88 | 2021-03-31 | +4.7% | +2.6% | -1.2% | +5.6% | +1.5% | +123.0% | +195.2% |
| HOODRobinhood Markets, Inc. | Financial Services | -2.88 | 2025-09-30 | -2.1% | +17.1% | +30.9% | +41.4% | +16.5% | +8.0% | +18.7% |
| RDDTReddit, Inc. | Communication Services | -2.84 | 2026-08-31 NEW | -1.0% | +0.9% | -4.5% | -10.3% | +4.5% | -32.8% | -33.5% |
| GLWCorning Inc. | Technology | -2.76 | 2026-02-27 | +5.7% | +3.8% | -6.7% | -8.1% | +3.7% | +77.1% | +123.2% |
| COINCoinbase Global | Financial Services | -2.73 | 2025-05-30 | -4.2% | +3.4% | +20.2% | +19.9% | -1.8% | -18.4% | -39.8% |
| DDOGDatadog | Technology | -2.65 | 2025-07-31 | -0.9% | -10.2% | -9.0% | -6.5% | -10.2% | +56.6% | +61.6% |
| FLEXFlex Ltd. | Technology | -2.61 | 2026-06-30 | +1.5% | -0.9% | -9.8% | -21.5% | +0.2% | +81.2% | +98.5% |
| ORCLOracle Corporation | Technology | -2.54 | 2025-01-31 | +3.1% | +5.3% | +8.0% | -20.8% | +6.5% | -17.7% | -28.0% |
| VRTVertiv Holdings Co | Industrials | -2.40 | 2026-03-31 | +4.3% | +9.1% | +3.0% | -0.1% | +8.4% | +73.2% | +123.4% |
| LRCXLam Research | Technology | -2.28 | 2021-01-29 | +5.1% | +1.9% | -1.2% | -4.3% | +2.0% | +80.1% | +208.1% |
| CVNACarvana Co. | Consumer Cyclical | -2.12 | 2025-12-31 | +1.6% | +0.7% | +5.3% | +10.9% | +1.5% | -11.6% | +0.8% |
| ONON Semiconductor | Technology | -2.09 | 2022-06-30 | +1.0% | +2.4% | -8.4% | -32.5% | +0.4% | +37.4% | +54.8% |
| AXONAxon Enterprise | Industrials | -2.05 | 2024-08-30 | -4.2% | -14.2% | -9.7% | +15.2% | -9.0% | -9.2% | -29.4% |
| KLACKLA Corporation | Technology | -1.97 | 2021-05-28 | +7.3% | +5.7% | -6.2% | -13.0% | +5.8% | +53.3% | +113.7% |
| PLTRPalantir Technologies | Technology | -1.97 | 2024-09-30 | -4.5% | -6.4% | +1.4% | +33.9% | -6.5% | -1.9% | +11.7% |
| AMATApplied Materials | Technology | -1.92 | 2021-05-28 | +4.3% | -1.5% | -15.6% | -8.4% | -0.8% | +77.6% | +189.0% |
| ALBAlbemarle Corporation | Basic Materials | -1.87 | 2021-03-31 | -4.5% | -8.1% | -3.7% | -14.0% | -6.4% | -10.3% | +61.5% |
| SNPSSynopsys | Technology | -1.87 | 2025-09-30 | -5.4% | -11.0% | -5.3% | -14.5% | -10.4% | -16.2% | -34.6% |
| AKAMAkamai Technologies | Technology | -1.86 | 2026-04-30 | -1.2% | -2.1% | -4.8% | -19.0% | -3.1% | +20.6% | +36.3% |
| ECHOEchoStar Corporation | Communication Services | -1.77 | 2023-08-31 | +0.0% | +3.4% | -0.3% | -22.1% | +3.9% | -17.4% | +33.6% |
| FISVFiserv, Inc. | Technology | -1.77 | 2025-10-31 | +0.5% | -0.3% | +1.1% | -0.5% | -0.6% | -21.1% | -61.1% |
| QQnity Electronics, Inc. | Technology | -1.74 | 2026-08-31 NEW | +1.7% | +0.2% | -12.7% | -13.7% | +0.9% | +47.8% | — |
| FIXComfort Systems USA, Inc. | Industrials | -1.72 | 2025-12-31 | +1.9% | +6.0% | -4.9% | -6.3% | +4.2% | +72.8% | +122.9% |
| TTDThe Trade Desk, Inc. | Technology | -1.72 | 2025-07-31 | -4.4% | +6.3% | +4.6% | -25.2% | +5.2% | -62.0% | -72.2% |
| NOWServiceNow | Technology | -1.67 | 2026-01-30 | -3.0% | -2.4% | +13.1% | +33.2% | -4.5% | -7.8% | -21.4% |
| ITGartner | Technology | -1.58 | 2025-11-28 | -4.6% | -6.0% | +0.4% | +20.3% | -5.9% | -26.1% | -21.2% |
| ANETArista Networks | Technology | -1.57 | 2023-05-31 | +1.2% | -0.8% | +2.7% | +27.7% | -1.0% | +47.9% | +37.3% |
| GNRCGenerac | Industrials | -1.57 | 2025-07-31 | +2.4% | +1.9% | -11.7% | -21.6% | +1.1% | +37.4% | +5.1% |
| NCLHNorwegian Cruise Line Holdings | Consumer Cyclical | -1.53 | 2020-03-31 | -0.1% | -6.5% | -19.1% | -13.1% | -3.5% | -30.2% | -39.2% |
| FICOFair Isaac | Technology | -1.52 | 2025-07-31 | -16.7% | -19.2% | -10.5% | -23.6% | -18.7% | -44.9% | -38.6% |
| WDAYWorkday, Inc. | Technology | -1.48 | 2026-04-30 | -5.4% | -4.4% | +9.0% | +42.4% | -0.8% | -8.8% | -15.3% |
| MPWRMonolithic Power Systems | Technology | -1.47 | 2021-04-30 | +0.8% | -2.6% | -12.7% | -16.8% | -3.5% | +35.5% | +45.3% |
| CRWDCrowdStrike | Technology | -1.46 | 2024-06-28 | -0.9% | -2.4% | -0.6% | +31.6% | -7.8% | +81.8% | +106.7% |
| PSKYParamount Skydance Corp | Communication Services | -1.44 | 2025-08-29 | -1.6% | -0.2% | +18.2% | +5.9% | -0.5% | -18.1% | -25.1% |
| HPEHewlett Packard Enterprise | Technology | -1.43 | 2026-05-29 | -4.5% | -0.6% | -2.3% | +14.6% | -0.5% | +118.6% | +129.3% |
| FSLRFirst Solar | Energy | -1.42 | 2022-12-30 | -1.4% | -0.0% | -18.2% | -18.0% | +1.3% | -21.7% | +1.3% |
| GEVGE Vernova | Utilities | -1.40 | 2025-01-31 | +0.0% | +3.3% | -4.9% | +8.7% | +4.8% | +44.4% | +57.7% |
| QCOMQualcomm | Technology | -1.39 | 2026-05-29 | +0.1% | +3.3% | +1.1% | -11.3% | -0.5% | +0.2% | +7.9% |
| FCXFreeport-McMoRan | Basic Materials | -1.27 | 2019-12-31 | +0.2% | -4.9% | +4.5% | +17.4% | -4.0% | +44.2% | +59.5% |
| BLDRBuilders FirstSource | Industrials | -1.22 | 2023-12-29 | +2.5% | -2.9% | -11.9% | -11.8% | -0.9% | -36.1% | -54.1% |
| MCHPMicrochip Technology | Technology | -1.19 | 2024-08-30 | +1.5% | +1.7% | -11.9% | -15.1% | +1.0% | +18.4% | +18.1% |
| NEMNewmont | Basic Materials | -1.17 | 2026-01-30 | -1.8% | +0.3% | +13.6% | +38.4% | +1.8% | +29.1% | +72.7% |
| VSTVistra Corp. | Utilities | -1.17 | 2024-05-31 | +3.5% | +8.9% | +6.2% | +7.9% | +8.7% | -7.2% | -20.9% |
| ZBRAZebra Technologies | Technology | -1.17 | 2025-08-29 | +1.5% | +1.8% | -3.6% | +67.3% | +2.6% | +49.4% | +16.5% |
| CHTRCharter Communications | Communication Services | -1.16 | 2026-04-30 | +0.4% | -1.1% | -0.4% | +10.3% | -0.3% | -27.2% | -41.4% |
| EXPEExpedia Group | Consumer Cyclical | -1.16 | 2019-12-31 | -1.7% | -9.5% | -3.9% | +36.3% | -6.0% | +5.8% | +38.7% |
| CNCCentene Corporation | Healthcare | -1.14 | 2025-07-31 | -1.4% | +3.5% | +1.9% | +2.6% | +4.2% | +62.9% | +134.0% |
| NXPINXP Semiconductors | Technology | -1.12 | 2024-08-30 | +1.3% | +1.9% | -5.0% | -19.9% | +1.4% | +5.9% | +2.9% |
| ELEstée Lauder Companies (The) | Consumer Defensive | -1.10 | 2023-07-31 | +3.0% | +0.8% | +18.0% | +22.0% | +1.5% | +0.2% | +20.4% |
| HUMHumana | Healthcare | -1.10 | 2024-10-31 | -1.2% | +4.2% | +4.3% | +10.4% | +4.8% | +57.9% | +30.6% |
| IBMIBM | Technology | -1.09 | 2026-07-31 | +0.1% | -0.3% | -0.3% | -13.1% | +0.4% | -19.1% | -2.5% |
| AVGOBroadcom | Technology | -1.08 | 2024-02-29 | +0.2% | -2.9% | -16.3% | -3.7% | -3.4% | +3.8% | +17.8% |
| NRGNRG Energy | Utilities | -1.08 | 2024-11-29 | +6.4% | +7.1% | +0.8% | -1.0% | +8.1% | -24.5% | -18.6% |
| TPLTexas Pacific Land Corporation | Energy | -1.08 | 2024-11-29 | -1.1% | -0.4% | +6.6% | -3.2% | -3.0% | +26.7% | +17.5% |
| INTUIntuit | Technology | -1.07 | 2026-05-29 | -3.4% | -7.1% | +2.3% | +17.6% | -7.4% | -49.3% | -49.7% |
| CCLCarnival | Consumer Cyclical | -1.03 | 2020-02-28 | +0.1% | -5.1% | -18.9% | -9.0% | -1.6% | -21.8% | -24.8% |
| UALUnited Airlines Holdings | Industrials | -1.03 | 2020-03-31 | +2.5% | +0.7% | -14.0% | +8.4% | +3.1% | -0.4% | +5.0% |
| CRMSalesforce | Technology | -1.01 | 2026-08-31 NEW | -2.0% | +1.3% | +34.5% | +52.1% | +0.7% | -1.7% | +7.1% |
| CEGConstellation Energy | Utilities | -0.99 | 2024-03-28 | +4.9% | +8.0% | +10.9% | +23.6% | +8.8% | -15.0% | -2.7% |
| DASHDoorDash | Communication Services | -0.98 | 2025-11-28 | -4.6% | -10.6% | -2.1% | +40.2% | -8.6% | -6.5% | -14.9% |
| FDSFactSet | Financial Services | -0.98 | 2026-06-30 | -3.5% | -1.9% | +6.1% | +21.7% | -3.7% | +5.5% | -16.8% |
| RCLRoyal Caribbean Group | Consumer Cyclical | -0.97 | 2024-12-31 | -0.1% | -5.1% | -17.1% | -1.3% | -1.3% | -3.9% | -25.1% |
| TSLATesla, Inc. | Consumer Cyclical | -0.97 | 2020-12-31 | -5.9% | +1.5% | +7.8% | -7.2% | -3.8% | -21.3% | +4.6% |
| AREAlexandria Real Estate Equities | Real Estate | -0.96 | 2026-04-30 | -0.1% | +2.1% | +5.9% | +2.0% | +2.6% | +10.7% | -32.6% |
| TECHBio-Techne | Healthcare | -0.96 | 2024-05-31 | -0.0% | +0.1% | +0.3% | +38.1% | +0.2% | +23.7% | +37.6% |
| APAAPA Corporation | Energy | -0.94 | 2024-10-31 | -3.2% | +0.5% | +13.7% | +13.4% | -0.9% | +79.0% | +88.8% |
| XYZBlock, Inc. | Technology | -0.94 | 2025-07-31 | -0.7% | -1.0% | +4.8% | +24.2% | +0.9% | +27.2% | +9.2% |
| GDDYGoDaddy | Technology | -0.92 | 2026-07-31 | -2.2% | +3.7% | +11.2% | +26.2% | +3.5% | -18.4% | -30.1% |
| JBLJabil | Technology | -0.91 | 2026-07-31 | +1.5% | +3.0% | -9.0% | -11.8% | +1.7% | +36.3% | +49.5% |
| SWKSSkyworks Solutions | Technology | -0.90 | 2026-06-30 | +3.5% | +12.5% | +4.8% | +5.3% | +10.5% | +19.2% | +2.4% |
| CRLCharles River Laboratories | Healthcare | -0.88 | 2024-07-31 | -1.7% | -1.0% | +7.8% | +54.9% | +0.1% | +44.6% | +77.8% |
| LULULululemon Athletica | Consumer Cyclical | -0.85 | 2024-03-28 | -17.4% | -16.7% | -21.8% | -15.4% | -16.3% | -51.6% | -51.2% |
| DVADaVita | Healthcare | -0.84 | 2026-08-31 NEW | +1.3% | +1.8% | +0.1% | -7.3% | +4.5% | +62.0% | +35.7% |
| APHAmphenol | Technology | -0.83 | 2026-06-30 | +0.9% | +5.0% | -2.1% | +11.1% | +4.4% | +22.9% | +47.9% |
| EMEEMCOR Group, Inc. | Industrials | -0.83 | 2026-07-31 | +1.7% | +1.9% | -7.7% | -2.9% | +2.7% | +23.5% | +18.0% |
| APTVAptiv | Consumer Cyclical | -0.82 | 2026-08-31 NEW | +3.0% | +4.8% | -3.2% | -26.5% | +7.1% | -37.0% | -40.4% |
| CDWCDW | Technology | -0.82 | 2026-08-31 NEW | -1.0% | +3.2% | +12.7% | +18.4% | +0.5% | +13.7% | -6.5% |
| DECKDeckers Brands | Consumer Cyclical | -0.82 | 2024-03-28 | +1.6% | -2.2% | -11.9% | -22.8% | -1.5% | -17.2% | -30.8% |
| DOWDow Inc. | Basic Materials | -0.79 | 2025-07-31 | -3.0% | -2.4% | +1.5% | -13.0% | -3.5% | +30.2% | +29.2% |
| MOSMosaic Company (The) | Basic Materials | -0.79 | 2026-03-31 | +1.4% | +9.5% | +12.1% | +30.4% | +7.2% | +9.3% | -18.0% |
| PODDInsulet Corporation | Healthcare | -0.79 | 2026-08-31 NEW | -2.1% | +1.6% | +4.5% | -2.1% | -0.8% | -48.1% | -57.4% |
| CHRWC.H. Robinson | Industrials | -0.77 | 2026-04-30 | +0.7% | -1.8% | -1.1% | -19.9% | -1.4% | -7.1% | +17.8% |
| ARESAres Management Corporation | Financial Services | -0.76 | 2026-06-30 | -1.0% | -1.7% | +2.4% | +10.3% | -2.1% | -11.2% | -19.3% |
| LUVSouthwest Airlines | Industrials | -0.76 | 2025-11-28 | +2.3% | +0.4% | -15.4% | -3.4% | +3.3% | -2.9% | +29.6% |
| PWRQuanta Services | Industrials | -0.76 | 2026-07-31 | +0.7% | +3.6% | -7.1% | -4.1% | +2.9% | +48.0% | +66.2% |
| ACNAccenture | Technology | -0.75 | 2026-07-31 | -3.3% | -1.5% | +6.3% | +10.8% | -1.6% | -28.6% | -23.7% |
Score is the cross-sectional z-score at rebalance. “Since” marks the start of the stock’s current uninterrupted run in that book. A missing long weight means no usable market cap at rebalance; the name remains in the equal-weighted spread leg. Individual stock returns are descriptive, not portfolio attribution.
How Low volatility is defined
Ranked by negative standard deviation of daily total returns over 252 trading days, with at least 200 observations required.
Raw metrics are winsorized at the 2.5th and 97.5th percentiles, then standardized within the point-in-time universe. Stocks are split into five groups at each month-end rebalance.
The long portfolio holds the top quintile, weighted by market capitalization with a 5% name cap at rebalance. The Q5 − Q1 spread uses equal weights on both sides. Holdings drift with prices between rebalances.
First rebalance: 2019-12-31. The 5-day z-score compares the latest relative move with the prior 252 overlapping 5-day moves.
Read the full methodology →Sector exposure
Long portfolio / S&P 500 benchmark
Financial Services35.6% / 12.6%
Consumer Defensive15.4% / 5.0%
Utilities11.1% / 2.3%
Industrials10.1% / 7.4%
Healthcare8.4% / 9.2%
Real Estate7.3% / 1.7%
Energy4.9% / 3.4%
Consumer Cyclical4.2% / 9.5%
Basic Materials3.1% / 1.6%
Monthly portfolio changes
The last 12 rebalances of the long book. Turnover is the share of names newly added.
2026-08-31 4 added · 4 dropped
Added AIZ, EXR, GWW, TFC
Dropped AVB, EA, WMB, YUM
2026-07-31 6 added · 6 dropped
Added IEX, KEY, MET, NEE, OTIS, PFE
Dropped CTVA, EQIX, ICE, MO, ORLY, PGR
2026-06-30 6 added · 6 dropped
Added CTVA, EQIX, HLT, LH, ORLY, WMB
Dropped AAPL, DLR, SYK, T, TFC, VZ
2026-05-29 8 added · 8 dropped
Added AAPL, AWK, CSX, DGX, EA, PRU, TFC, VZ
Dropped ADP, CBOE, MNST, MSI, ORLY, RMD, WMB, WMT
2026-04-30 14 added · 14 dropped
Added BAC, CVX, GL, JPM, MTB, NDSN, PFG, PGR, PLD, PNC, RMD, SPG, USB, WMB
Dropped ABT, AWK, CLX, CSX, DGX, EW, GIS, HD, JKHY, MRSH, ROL, SCHW, TSN, VZ
2026-03-31 6 added · 6 dropped
Added DLR, ESS, JKHY, SCHW, VZ, WMT
Dropped AON, AZO, DOC, LHX, SHW, SYY
2026-02-27 7 added · 7 dropped
Added ACGL, CLX, GIS, SHW, SNA, SRE, YUM
Dropped BR, COR, JKHY, MCK, ROP, STE, WTW
2026-01-30 7 added · 7 dropped
Added AWK, BNY, CINF, DOC, EW, FRT, KMI
Dropped CLX, GIS, GWW, MLM, TDY, VZ, XOM
2025-12-31 3 added · 3 dropped
Added CSX, CTAS, KIM
Dropped BSX, CSCO, K
2025-11-28 9 added · 9 dropped
Added AME, ETR, GWW, MCK, MLM, MNST, MSI, NSC, VMRK
Dropped AIG, BNY, KIM, KMB, LH, MKC, NWSA, SPGI, YUM
2025-10-31 6 added · 6 dropped
Added BNY, D, KIM, TRV, UNP, XOM
Dropped AJG, AME, AVY, MSI, NDAQ, VRSK
2025-09-30 2 added · 2 dropped
Added AIG, AJG
Dropped CAH, FDS