A Practical Test of the Low-Volatility Anomaly in U.S. Equities (2020–2025)

Challenging the risk-return paradigm

In this article, I examine whether low-volatility stocks can deliver returns comparable to — or even exceeding — those of the benchmark, but with significantly less risk. Using QuantConnect, I implement a systematic, monthly rebalanced strategy that selects the 30 least volatile equities from the 500 most liquid U.S. stocks. I use SPY as the benchmark f…