Testing Low- versus High-Volatility A-Share Portfolios

Summary

This article compares monthly portfolios formed from the highest- and lowest-volatility stocks in the CSI 300. Each portfolio holds 20 stocks, rebalanced on the first trading day of each month, and the author says the strategies were backtested over 2014–2017 using MindGo. The article reports a notable difference in long-run performance between the two groups, but the text does not provide the figures shown in its referenced charts or specify the volatility calculation.

The proposed explanation is that high-volatility stocks may offer greater upside but can also suffer larger drawdowns during pullbacks. The author also points to the brevity of bull-market periods as a possible disadvantage for the high-volatility selection. This is a simple historical comparison, not proof that low volatility will outperform in other periods; transaction costs, risk-adjusted returns, and portfolio constraints are not discussed.

Key ideas

• The comparison selects 20 highest- or lowest-volatility CSI 300 stocks each month.
• Both portfolios rebalance on the first trading day of each month.
• The author reports a performance difference in a 2014–2017 backtest but gives no chart values in the text.
• Large pullbacks and limited bull-market periods are suggested as reasons high-volatility stocks may lag.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.