# Downside Beta (JP Growth Stocks)

- **Slug**: `downside-beta-jp-growth`
- **Verdict**: rejected (regime_dependent)
- **Asset class**: equity
- **Categories**: anomaly, beta, downside-risk, factor
- **Source**: qbuntu-analysis (computed asof 2026-07-31T01:32:30)
- **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-growth
- **JSON**: https://qbuntu.ai/v1/strategies/downside-beta-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Ang, Chen, Xing (2006): downside beta (beta on market-down days only) commands a higher risk premium. Stocks with high downside beta earn lower returns. LONG lowest downside beta, SHORT highest.

## Why it didn't work

Across 320 grid combinations, median Sharpe=-0.27, best=1.18. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.2675 |
| Max drawdown | -17.2% |
| p-value | 0.53 |
| Backtest period | 2023-07-03 to 2026-06-01 |

Sharpe distribution across 320 grid runs: median -0.27, best 1.18 (best-case — not representative), worst -1.5, p25 -0.49, p75 0.01.

## 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 Growth Market, ~495 stocks, tv >= 30M JPY

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-downside-beta-jp-growth-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.58 | -1.07 | -0.12 | -7.92 |
| `r-downside-beta-jp-growth-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.71 | -1.25 | -0.12 | -7.92 |
| `r-downside-beta-jp-growth-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.72 | -1.25 | -0.24 | -8.46 |
| `r-downside-beta-jp-growth-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -0.82 | -1.31 | -0.24 | -8.46 |
| `r-downside-beta-jp-growth-0012` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -0.6 | -0.54 | -0.04 | -5.41 |
| `r-downside-beta-jp-growth-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -0.05 | 0.07 | 0.13 | -316.53 |
| `r-downside-beta-jp-growth-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | 0.47 | -0.12 | 1.22 | -3.05 |
| `r-downside-beta-jp-growth-0046` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=10 | -1.42 | -1.23 | -1.37 | -3.5 |
| `r-downside-beta-jp-growth-0060` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=20 | -0.63 | -0.38 | -0.57 | -2.86 |
| `r-downside-beta-jp-growth-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | -0.06 | -0.16 | -0.3 | 5.03 |
| `r-downside-beta-jp-growth-0075` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=60 | -0.61 | -1.44 | -0.46 | 0.64 |
| `r-downside-beta-jp-growth-0089` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=1 | -0.2 | -0.4 | 0.79 | -4.62 |
| `r-downside-beta-jp-growth-0103` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | -0.58 | -0.37 | 0.14 | -4.3 |
| `r-downside-beta-jp-growth-0117` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=10 | -0.21 | 0.17 | 0.3 | -6.85 |
| `r-downside-beta-jp-growth-0131` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=20 | -0.28 | -1.1 | 0.02 | 0.28 |
| `r-downside-beta-jp-growth-0145` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=60 | -0.25 | -1.3 | -0.03 | 2.77 |
| `r-downside-beta-jp-growth-0159` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=60 | -0.82 | -1.32 | -0.44 | -1.11 |
| `r-downside-beta-jp-growth-0173` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=1 | -0.05 | -0.75 | 1.17 | -3.29 |
| `r-downside-beta-jp-growth-0187` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=5 | 0 | -1.34 | 1.63 | -3.43 |
| `r-downside-beta-jp-growth-0190` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=5 | -1.5 | -3.31 | -0.25 | -2.21 |
| `r-downside-beta-jp-growth-0193` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=10 | 1.18 | -0.11 | 3.22 | -4 |
| `r-downside-beta-jp-growth-0203` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=10 | 0.1 | -0.61 | 1.11 | -1.7 |
| `r-downside-beta-jp-growth-0217` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=20 | -0.53 | -1.19 | 0.08 | -1.35 |
| `r-downside-beta-jp-growth-0231` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=60 | -0.04 | -2.45 | 0.27 | 1.83 |
| `r-downside-beta-jp-growth-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.04 | -2.16 | 0.74 | 0.22 |
| `r-downside-beta-jp-growth-0246` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | -0.73 | -3.26 | 0.58 | -1.09 |
| `r-downside-beta-jp-growth-0260` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=5 | -0.27 | -2.5 | 1.11 | -0.69 |
| `r-downside-beta-jp-growth-0274` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=10 | 0.32 | -0.96 | 1.15 | -1 |
| `r-downside-beta-jp-growth-0288` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.32 | -1.5 | 0.38 | 0.57 |
| `r-downside-beta-jp-growth-0302` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=20 | -1.25 | -1.75 | -0.91 | -0.7 |

## Facts (7)

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

- **Average monthly return correlation with other strategies in DOWN regime: 0.17**
  - Value: 0.1657 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/downside-beta-jp-growth-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.02**
  - Value: 0.0193 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/downside-beta-jp-growth-fact-avg-corr-full

- **Best grid Sharpe ratio is 1.18 (p=0.05).**
  - Value: 1.18 sharpe_ratio
  - Context: period 2023-07-03–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/downside-beta-jp-growth-fact-best-sharpe

- **Median Sharpe across 320 grid runs is -0.27.**
  - Value: -0.27 sharpe_ratio
  - Context: Full grid of 320 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/downside-beta-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is -1.94 across 320 runs.**
  - Value: -1.94 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/downside-beta-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is 0.30 across 320 runs.**
  - Value: 0.3 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/downside-beta-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.79 across 320 runs.**
  - Value: -0.79 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/downside-beta-jp-growth-fact-regime-up

---

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

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