Low-Vol Defensive

Idea

Each quarter it takes profitable companies worth at least $10 billion with gross margins of at least 20% and buys the twenty-five whose share prices moved least over the past year, favouring higher gross margins. Calm, steady businesses tend to fall less in sell-offs.

Universe

Every stock listed in the US at each date, including foreign companies listed here and companies that later delisted or were acquired.

Must pass

Require market value (this share class) at least $10 billion. Require net income over the last twelve months above 0. Require gross margin at least 20%.

Ranking

Lower share-price volatility over the past year (2 weight); higher gross margin (1 weight).

Holdings

Equal weight the top 25 names.

Rebalance

Quarterly; orders fill at the next session's open, with spread and market-impact costs that grow for less liquid names; compare against SPY.

Note

Every figure is as it was known on the decision date; a name missing a figure is left out at that decision.

These identify the exact rules and record shown on this page.

Rules fingerprint

a322da54a9fc1b5d2f6948f7

Record ID

bt_74412b4583b14097890514c0d74890d1

Last updated

2026-10-02

Backtest window

2010-06-01 to 2026-09-30