All Reports / Report #208

Simulation Report

Low Volatility

The simulation finished up 8.92% versus contributed principal.
Created at 2026-07-14 19:51:22 / v2 / Updated by Colin ZHao

Simulation Report

Low Volatility

The simulation finished up 8.92% versus contributed principal.

Created at 2026-07-14 19:51:22 / Updated by Colin ZHao

Thesis

No forward-looking thesis was provided.

Goal

Test whether low-volatility large caps compound capital with shallower drawdowns

Primary metric: Annualized edge over equal-weight S&P 500 with drawdown context

Period

Simulation range
2001-07-03 -> 2006-07-10
Starting value
202,500.00
Principal contributed
345,000.00
Ending cash
375,778.77

Strategy Rules

Low Volatility lowvol-2001-top15-rb6-vd252

  • No look-ahead; trailing realized volatility only

Result

Ending value
375,778.77Portfolio value at the final available date
Total gain/loss
+30,778.77+8.92%
Avg yearly gain
+2.16%Money-weighted annualized return using the recorded deposit schedule
S&P 500 (EW) yearly gain
+15.57%S&P 500 (EW) ending value: 627,670.03
Max drawdown
+0.00%0 open positions at the end of the run

Run Facts

Largest position
0.00%
Cash position
375,778.77 (100.00%)
Unique stocks traded
0

Tax Profile

Unrealized gain exposure
+0.00
Long-term tax
0.00
Short-term tax
0.00
Dividend tax
0.00
Total estimated tax
7,386.91

Strategy Check

  • The strategy followed the trading-universe rule: 0 user-selected stocks were traded, with 0 buys and 0 sells.
  • The strategy met the capital-growth goal in absolute terms, finishing with a 8.92% return on contributed principal.
  • The strategy followed the no-sell rule for the full run.
  • The path was volatile: maximum drawdown reached 0.00%.
  • Cash usage drifted higher than intended at the end of the run, finishing at 100.00% of the portfolio.

Note

Pure low-volatility large-cap strategy: hold the lowest-realized-volatility liquid profitable names over a trailing 252d window.

Positions At Report Date

—

As of 2006-07-10

Show types
Date Action Symbol Qty Price Acquired Term Cash Note
2006-07-03 INTEREST — — — — — +1542.06 —
2006-06-01 INTEREST — — — — — +1487.93 —
2006-05-01 INTEREST — — — — — +1335.26 —
2006-04-07 DEPOSIT — — — — — +7500.00 Monthly contribution x3
2006-04-03 INTEREST — — — — — +1539.84 —
2006-03-01 INTEREST — — — — — +1301.84 —
2006-02-01 INTEREST — — — — — +1340.43 —
2006-01-06 DEPOSIT — — — — — +7500.00 Monthly contribution x3
2006-01-03 INTEREST — — — — — +944.14 —
2005-12-01 INTEREST — — — — — +806.59 —
2005-11-01 INTEREST — — — — — +776.25 —
2005-10-06 DEPOSIT — — — — — +7500.00 Monthly contribution x3
2005-10-03 INTEREST — — — — — +837.98 —
2005-09-01 INTEREST — — — — — +809.87 —
2005-08-01 INTEREST — — — — — +803.93 —
2005-07-08 DEPOSIT — — — — — +7500.00 Monthly contribution x3
2005-07-01 INTEREST — — — — — +762.88 —
2005-06-01 INTEREST — — — — — +761.13 —
2005-05-02 INTEREST — — — — — +780.62 —
2005-04-08 DEPOSIT — — — — — +7500.00 Monthly contribution x3
2005-04-01 INTEREST — — — — — +764.99 —
2005-03-01 INTEREST — — — — — +689.48 —
2005-02-01 INTEREST — — — — — +710.79 —
2005-01-06 DEPOSIT — — — — — +7500.00 Monthly contribution x3
2005-01-03 INTEREST — — — — — +328.72 —
2004-12-01 INTEREST — — — — — +256.60 —
2004-11-01 INTEREST — — — — — +263.70 —
2004-10-07 DEPOSIT — — — — — +7500.00 Monthly contribution x3
2004-10-01 INTEREST — — — — — +250.01 —
2004-09-01 INTEREST — — — — — +249.81 —
2004-08-02 INTEREST — — — — — +264.59 —
2004-07-09 DEPOSIT — — — — — +7500.00 Monthly contribution x3
2004-07-01 INTEREST — — — — — +243.23 —
2004-06-01 INTEREST — — — — — +234.93 —
2004-05-03 INTEREST — — — — — +257.78 —
2004-04-07 DEPOSIT — — — — — +7500.00 Monthly contribution x3
2004-04-01 INTEREST — — — — — +244.34 —
2004-03-01 INTEREST — — — — — +220.52 —
2004-02-02 INTEREST — — — — — +242.92 —
2004-01-07 DEPOSIT — — — — — +7500.00 Monthly contribution x3
2004-01-02 INTEREST — — — — — +222.07 —
2003-12-01 INTEREST — — — — — +192.84 —
2003-11-03 INTEREST — — — — — +225.98 —
2003-10-07 DEPOSIT — — — — — +7500.00 Monthly contribution x3
2003-10-01 INTEREST — — — — — +194.06 —
2003-09-02 INTEREST — — — — — +213.97 —
2003-08-01 INTEREST — — — — — +205.65 —
2003-07-09 DEPOSIT — — — — — +7500.00 Monthly contribution x3
2003-07-01 INTEREST — — — — — +188.27 —
2003-06-02 INTEREST — — — — — +207.58 —
2003-05-01 INTEREST — — — — — +193.17 —
2003-04-08 DEPOSIT — — — — — +7500.00 Monthly contribution x3
2003-04-01 INTEREST — — — — — +182.49 —
2003-03-03 INTEREST — — — — — +176.07 —
2003-02-03 INTEREST — — — — — +200.14 —
2003-01-07 DEPOSIT — — — — — +7500.00 Monthly contribution x3
2003-01-02 INTEREST — — — — — +286.97 —
2002-12-02 INTEREST — — — — — +293.39 —
2002-11-01 INTEREST — — — — — +291.32 —
2002-10-07 DEPOSIT — — — — — +7500.00 Monthly contribution x3
2002-10-01 INTEREST — — — — — +256.35 —
2002-09-03 INTEREST — — — — — +301.75 —
2002-08-01 INTEREST — — — — — +280.82 —
2002-07-09 DEPOSIT — — — — — +7500.00 Monthly contribution x3
2002-07-01 INTEREST — — — — — +247.41 —
2002-06-03 INTEREST — — — — — +291.22 —
2002-05-01 INTEREST — — — — — +262.14 —
2002-04-09 DEPOSIT — — — — — +7500.00 Monthly contribution x3
2002-04-01 INTEREST — — — — — +264.02 —
2002-03-01 INTEREST — — — — — +238.22 —
2002-02-01 INTEREST — — — — — +253.50 —
2002-01-07 DEPOSIT — — — — — +7500.00 Monthly contribution x3
2002-01-02 INTEREST — — — — — +654.82 —
2001-12-03 INTEREST — — — — — +727.17 —
2001-11-01 INTEREST — — — — — +698.93 —
2001-10-05 DEPOSIT — — — — — +7500.00 Monthly contribution x3
2001-10-01 INTEREST — — — — — +588.20 —
2001-09-04 INTEREST — — — — — +738.02 —
2001-08-01 INTEREST — — — — — +649.11 —
2001-07-02 DEPOSIT — — — — — +2500.00 Monthly contribution (first month)
2001-07-02 DEPOSIT — — — — — +200000.00 Initial capital
storage/stock-reports/208/values.log
Snapshots
1,260
First value
202,500
Latest value
375,778.77
Net change
173,278.77
Total Value 375,778.77
+173,278.77 (+85.57%) 2001-07-03 -> 2006-07-10