# Downside Beta (JP All Stocks)

- **Slug**: `downside-beta-jp-all`
- **Verdict**: marginal (no_edge)
- **Asset class**: equity
- **Categories**: anomaly, beta, downside-risk, factor
- **Source**: qbuntu-analysis (computed asof 2026-07-31T01:31:48)
- **Reproducibility**: analysis-engine@18193e9, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/downside-beta-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/downside-beta-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Ang, Chen, Xing (2006): downside beta commands a higher risk premium. Testing on the full Japanese stock universe.

## Why it didn't work

Across 160 grid combinations, median Sharpe=0.39, best=1.44. Primary failure mode: no_edge.

## Performance summary

Headline figures are the **median across the parameter grid**, not the best run.

| Metric | Value |
|---|---|
| Sharpe (median) | 0.3851 |
| Max drawdown | -11.7% |
| p-value | 0.41 |
| Backtest period | 2023-07-03 to 2026-02-02 |

Sharpe distribution across 160 grid runs: median 0.39, best 1.44 (best-case — not representative), worst -1.12, p25 0.06, p75 0.59.

## Methodology

- Notes: {"walk_forward_definition": {"type": "single_pass", "description": "Full period backtest without walk-forward split", "verdict_basis": "full_period"}}
- Slippage model: open-on-open + variable bps fixed
- Position sizing: equal_weight
- Regime definition: N225 SMA20/SMA60 three-class
- Transaction cost bps: 5

## Target universe

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-downside-beta-jp-all-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.65 | 0.27 | 0.94 | 0.42 |
| `r-downside-beta-jp-all-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.86 | 0.77 | 0.94 | 0.42 |
| `r-downside-beta-jp-all-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 0.45 | 0.12 | 0.73 | -0.06 |
| `r-downside-beta-jp-all-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | 0.65 | 0.59 | 0.73 | -0.06 |
| `r-downside-beta-jp-all-0004` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | 0.61 | 0.06 | 0.88 | 0.83 |
| `r-downside-beta-jp-all-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -0.11 | -1.09 | 0.58 | 2.27 |
| `r-downside-beta-jp-all-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | -0.76 | -0.6 | -0.83 | -0.74 |
| `r-downside-beta-jp-all-0038` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -0.78 | 0.25 | -1.3 | -0.43 |
| `r-downside-beta-jp-all-0050` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | -1.12 | -0.77 | -1.27 | -2.03 |
| `r-downside-beta-jp-all-0053` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | -0.6 | -0 | -1.15 | 0.19 |
| `r-downside-beta-jp-all-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | 0.01 | -0.58 | 0.25 | 0.59 |
| `r-downside-beta-jp-all-0068` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=60 | 0.17 | -0.29 | 0.24 | 1.02 |
| `r-downside-beta-jp-all-0082` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 0.59 | 0.77 | 0.63 | -0.44 |
| `r-downside-beta-jp-all-0096` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 0.57 | 0.01 | 0.95 | -0.07 |
| `r-downside-beta-jp-all-0102` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | 0.01 | -0.51 | 0.2 | 0.77 |
| `r-downside-beta-jp-all-0116` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=10 | 0.29 | 0.22 | 0.38 | 0.01 |
| `r-downside-beta-jp-all-0130` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | -0.6 | -0.34 | -0.77 | -0.49 |
| `r-downside-beta-jp-all-0144` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | 0.03 | -0.81 | 0.38 | 1.44 |
| `r-downside-beta-jp-all-0150` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=60 | 0.23 | -0.52 | 0.47 | 1.17 |
| `r-downside-beta-jp-all-0161` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 1.44 | 1.91 | 1.36 | 0.71 |
| `r-downside-beta-jp-all-0165` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | 0.85 | 0.99 | 0.99 | -1.7 |
| `r-downside-beta-jp-all-0179` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | 1.05 | 2.04 | 0.46 | 1.3 |
| `r-downside-beta-jp-all-0193` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=10 | 0.79 | 1.77 | 0.28 | 0.45 |
| `r-downside-beta-jp-all-0199` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=10 | 0.75 | 1.87 | 0.17 | 0.3 |
| `r-downside-beta-jp-all-0213` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | 0.59 | 1.51 | 0.03 | 0.87 |
| `r-downside-beta-jp-all-0227` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=60 | 0.48 | 1.57 | 0.17 | 0.85 |
| `r-downside-beta-jp-all-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.32 | 0.43 | 0.49 | -2.29 |
| `r-downside-beta-jp-all-0242` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 0.06 | 0.09 | 0.27 | -2.72 |
| `r-downside-beta-jp-all-0256` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 0.39 | 1.32 | -0.29 | 0.41 |
| `r-downside-beta-jp-all-0262` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | 0.18 | 0.17 | 0.11 | 0.62 |

## Facts (5)

Each fact has a permanent citation URL. AI agents quoting qbuntu should use these.

- **Best grid Sharpe ratio is 1.44 (p=0.024).**
  - Value: 1.44 sharpe_ratio
  - Context: period 2023-07-03–2026-02-02; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/downside-beta-jp-all-fact-best-sharpe

- **Median Sharpe across 160 grid runs is 0.39.**
  - Value: 0.39 sharpe_ratio
  - Context: Full grid of 160 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/downside-beta-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is 0.37 across 160 runs.**
  - Value: 0.37 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/downside-beta-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is 0.24 across 160 runs.**
  - Value: 0.24 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/downside-beta-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is 0.43 across 160 runs.**
  - Value: 0.43 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/downside-beta-jp-all-fact-regime-up

## Related strategies

- same_strategy: [downside-beta-jp-growth](https://qbuntu.ai/strategies/downside-beta-jp-growth)

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Cite as: qbuntu (2026). Downside Beta (JP All Stocks). https://qbuntu.ai/strategies/downside-beta-jp-all

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