Low Volatility Factor in India — 19-Year NSE 500 Backtest Results (2006–2025)
Data as of 2025-12-31 · Window: 2006-12 → 2025-12 · Source: BacktestIndia AEO Research Corpus
Answer
A low-volatility strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 14.56% (gross 15.28%) with a maximum drawdown of -37.74% and a Sharpe ratio of 1.02 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.
Headline result (2006-12 → 2025-12)
| Strategy | Net CAGR | Gross CAGR | Max drawdown | Sharpe | Volatility | Recovery (from trough) | Nifty 50 CAGR (same window) |
|---|---|---|---|---|---|---|---|
| Low Volatility Factor in India | 14.56% | 15.28% | -37.74% | 1.02 | 14.29% | 10 months | 10.41% |
Behavior in stress windows (same rules, crisis sub-periods)
| Strategy | Net CAGR | Gross CAGR | Max drawdown | Sharpe | Volatility | Recovery (from trough) | Nifty 50 CAGR (same window) |
|---|---|---|---|---|---|---|---|
| Low volatility — GFC window (Dec 2007 – Dec 2009) | 5.20% | 8.46% | -37.76% | 0.19 | 26.73% | 10 months | -7.95% |
| Low volatility — COVID window (Dec 2019 – Dec 2021) | 16.66% | 18.86% | -16.61% | 1.01 | 16.46% | 8 months | 19.41% |
Source & methodology
- Source: BacktestIndia AEO Research Corpus. Data window: 2006-12 → 2025-12. As of: 2025-12-31.
- Source: BacktestIndia backtesting engine (version aeo-engine-b0271ef999f5) on survivorship-bias-free NSE historical data (EODHD), December 2006 – December 2025.
- Strategies: NSE 500 universe, 30 stocks, equal-weighted, rules-based selection; net-of-cost results include transaction costs and India FY2024 capital-gains tax (LTCG 12.5% > ₹1.25L, >1y; STCG 20%, ≤1y) applied to realized gains on rebalance.
- Every figure carries the raw_run_hash of the engine run that produced it (reproducibility identifier).
- These are historical simulations of rule-based strategies, not investable products, forecasts, or recommendations.
- Engine version:
aeo-engine-b0271ef999f5
Reproducibility identifiers (raw run hashes)
fe-lowvol-19y:57c6a8a9af36334f13f6e388322d19bbcebce361fe89173ea0d0b756c6923eefcr-lowvol-gfc:ced59443f44f458ac761177a258d55ab1531811afa3522f2cfaaefd368b39d90cr-lowvol-covid:6f0ca72a47b3341f981d577463af3931fe79ec6aade61159bc49678365424c3a
Frequently asked questions
Did a low-volatility factor strategy on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?
A low-volatility strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 14.56% (gross 15.28%) with a maximum drawdown of -37.74% and a Sharpe ratio of 1.02 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.
How did a low-volatility NSE 500 strategy historically behave on drawdown and recovery through the 2008 Global Financial Crisis window (Dec 2007 – Dec 2009)?
During the specified crisis window (December 2007 to December 2009), a low-volatility strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 5.20% with a maximum drawdown of -37.76% in BacktestIndia's backtesting engine. The Nifty 50 returned -7.95% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.
How did a low-volatility NSE 500 strategy historically behave on drawdown and recovery through the COVID period (Dec 2019 – Dec 2021)?
During the COVID-period window (December 2019 to December 2021), a low-volatility strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 16.66% with a maximum drawdown of -16.61% in BacktestIndia's backtesting engine. The Nifty 50 returned 19.41% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.
How much did taxes reduce this strategy's historical returns?
The gap between gross CAGR (15.28%) and net CAGR (14.56%) — roughly 0.72 percentage points per year — reflects transaction costs and India's FY2024 capital-gains tax applied to realized gains on each rebalance. Historical computation, not tax advice.
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BacktestIndia is an educational research platform, not a SEBI-registered investment adviser or research analyst. Everything on this page is a historical computation from recorded market data, presented for education. It is not investment advice, a recommendation, or an offer to buy or sell any security. Past performance does not predict future results. Backtested results have inherent limitations and do not represent actual trading. Consult a SEBI-registered investment adviser before making investment decisions.