BIST stock selection with positive trend + low volatility dual filter. Low-risk portfolio without catching falling knives.
| # | Hisse | Skor | Ağırlık | Ay Getirisi |
|---|---|---|---|---|
| 1 | KAYSE | 91 | 5% | -6.4% |
| 2 | OYLUM | 91 | 5% | +4.8% |
| 3 | ISBIR | 90 | 5% | -1.6% |
| 4 | KUTPO | 89 | 5% | -4.0% |
| 5 | RGYAS | 89 | 5% | +5.9% |
| 6 | BEGYO | 88 | 5% | -9.7% |
| 7 | SEKFK | 88 | 5% | -2.9% |
| 8 | TRGYO | 88 | 5% | -0.8% |
| 9 | MEDTR | 88 | 5% | -7.4% |
| 10 | BNTAS | 88 | 5% | -1.7% |
| 11 | MNDTR | 87 | 5% | -3.1% |
| 12 | HTTBT | 87 | 5% | -3.6% |
| 13 | AKSGY | 87 | 5% | +1.3% |
| 14 | ADESE | 87 | 5% | -5.2% |
| 15 | VAKFA | 87 | 5% | -3.9% |
| 16 | KZGYO | 87 | 5% | -3.6% |
| 17 | PETUN | 86 | 5% | -1.2% |
| 18 | MACKO | 86 | 5% | +0.5% |
| 19 | EGEEN | 86 | 5% | -4.9% |
| 20 | INDES | 86 | 5% | -1.5% |
Pure low-volatility strategies can select stocks that are slowly declining — the "catching falling knives" risk. The dual filter solves this: first, only stocks with positive 63-day momentum are eligible, then the 20 lowest-volatility names from that subset are selected.
The Low Vol + Trend portfolio has produced the highest Sharpe ratio among all factor portfolios. It delivers higher returns than the pure low-vol portfolio with similar low drawdown. The trend filter significantly improved low-vol performance during bear markets.
This strategy strikes the best balance between return and risk. Ideal for conservative investors protecting retirement savings and anyone wanting low drawdown. Combined with momentum, it makes an excellent "core" component in a core-satellite approach.
Related articles: Low Volatility, Momentum Factor, Portfolio Management