Volatility defined this way will lead to exclusion of stocks which are rising in favour of stocks which are stuck in a range. One can just create a portfolio of non-cyclicals such as Pharma+ FMCG + Utilities and broadly get the same result. As regards downside protection, even during corrections the strongest stocks usually fall the least (or bounce back the quickest). The endeavour should be to reduce volatility at the portfolio level and not necessarily of individual stocks. Stocks with high volatility but uncorrelated (or even negatively correlated) with each other can be combined to create a portfolio which has lower volatility than its individual components, while letting one capture the full upside in individual stocks. Just my thoughts…
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