Experiment with Low Volatility

I am also personally very interested in low volatility portfolios. So ran a backtest based on following method.

1. Measure the volatility of prev year.
2. Measure DD from high within last three years.
3. Calculate z scores of both the criteria.
4. Calculate total z-score, by 75% weightage to Low volatility and 25% to minimum drawdown from three year high.
5. Rank the stocks with least scores. Filter the stocks which trades at least 99% of total trading days.
6. Shortlist top 20 stocks. Form equal weight portfolio.
7. Rebalance monthly.

Other parameters

1. Direct Taxes:- 10% of yearly profit
2. Brokerage/transaction costs:- 0.275%
3. Cash Component:- 5% of total portfolio.
4. Initial Capital:- 11 lacs
5. Dividends:- not considered

Equity Curve

Backtest Period:- Jan 2011 to Oct 2021
Benchmark:- Nifty 50
CAGR:- 12.75%
Annual Volatility:- 11.01%
Beta:- 0.47
Sharpe Ratio:- 1.37
Omega Ratio:- 1.29
Sortino Ratio:- 1.92
Max Drawdown:- 27.98%

Disclaimer:-
This is not an investment advice. The above data has represented for study purpose only. I am not SEBI approved investment advisor.
The above data is prone to calculation mistakes, inaccurate data etc.