# Earnings Yield (JP All Stocks)

- **Slug**: `earnings-yield-jp-all`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: factor, fundamental, value
- **Source**: qbuntu-analysis (computed asof 2026-08-05T03:19:04)
- **Reproducibility**: analysis-engine@2f23bb7, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/earnings-yield-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/earnings-yield-jp-all
- **License**: CC-BY-4.0

## Hypothesis

The oldest value signal: high earnings yield (E/P) portfolios outperform low ones (Basu 1977). Ranking on trailing E/P from J-Quants statements tests whether plain value pays in this universe after costs.

## Why it didn't work

Across 24 grid combinations, median Sharpe=0.33, best=0.79. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.3301 |
| Max drawdown | -3.7% |
| p-value | 0.71 |
| Backtest period | 2024-08-01 to 2026-02-02 |

Sharpe distribution across 24 grid runs: median 0.33, best 0.79 (best-case — not representative), worst -0.2, p25 0.18, p75 0.57.

## 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; fundamentals from J-Quants financial statements (coverage from 2023-12)

## Runs (24)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-earnings-yield-jp-all-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.78 | 2.39 | 0.24 | 0.38 |
| `r-earnings-yield-jp-all-0001` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 0.5 | 5.08 | -0.83 | 3.2 |
| `r-earnings-yield-jp-all-0002` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | 0.79 | 6.37 | -0.7 | -0.42 |
| `r-earnings-yield-jp-all-0003` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.5 | 4.5 | 0.24 | 0.38 |
| `r-earnings-yield-jp-all-0004` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | 0.52 | 4.16 | -0.83 | 3.2 |
| `r-earnings-yield-jp-all-0005` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | 0.2 | 4.55 | -0.7 | -0.42 |
| `r-earnings-yield-jp-all-0006` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 0.56 | 2.14 | -0.02 | 0.29 |
| `r-earnings-yield-jp-all-0007` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | 0.31 | 4.74 | -1.02 | 2.97 |
| `r-earnings-yield-jp-all-0008` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | 0.71 | 6.25 | -0.79 | -0.51 |
| `r-earnings-yield-jp-all-0009` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | 0.28 | 3.89 | -0.02 | 0.29 |
| `r-earnings-yield-jp-all-0010` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | 0.35 | 4.03 | -1.02 | 2.97 |
| `r-earnings-yield-jp-all-0011` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=20 | 0.12 | 4.47 | -0.79 | -0.51 |
| `r-earnings-yield-jp-all-0012` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | 0.59 | 3.8 | -0.73 | 0.22 |
| `r-earnings-yield-jp-all-0013` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=5 | -0.02 | 8.08 | -2.7 | 2.04 |
| `r-earnings-yield-jp-all-0014` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | 0.71 | 4.8 | -1.75 | -0.12 |
| `r-earnings-yield-jp-all-0015` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | 0.2 | 0.96 | -0.73 | 0.22 |
| `r-earnings-yield-jp-all-0016` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=5 | 0.36 | 6.59 | -2.7 | 2.04 |
| `r-earnings-yield-jp-all-0017` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | -0.04 | 2.51 | -1.75 | -0.12 |
| `r-earnings-yield-jp-all-0018` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | 0.25 | 3.08 | -1.19 | 0.06 |
| `r-earnings-yield-jp-all-0019` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -0.2 | 7.41 | -2.85 | 1.78 |
| `r-earnings-yield-jp-all-0020` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=20 | 0.62 | 4.67 | -1.86 | -0.21 |
| `r-earnings-yield-jp-all-0021` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=1 | -0.08 | 0.74 | -1.19 | 0.06 |
| `r-earnings-yield-jp-all-0022` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | 0.24 | 6.41 | -2.85 | 1.78 |
| `r-earnings-yield-jp-all-0023` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=20 | -0.14 | 2.43 | -1.86 | -0.21 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.79 (p=0.34).**
  - Value: 0.79 sharpe_ratio
  - Context: period 2024-08-01–2026-02-02; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-yield-jp-all-fact-best-sharpe

- **Median Sharpe across 24 grid runs is 0.33.**
  - Value: 0.33 sharpe_ratio
  - Context: Full grid of 24 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-yield-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is 0.26 across 24 runs.**
  - Value: 0.26 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-yield-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is -0.92 across 24 runs.**
  - Value: -0.92 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-yield-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is 4.49 across 24 runs.**
  - Value: 4.49 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-yield-jp-all-fact-regime-up

## Related strategies

- same_strategy: [earnings-yield-jp-growth](https://qbuntu.ai/strategies/earnings-yield-jp-growth)

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Cite as: qbuntu (2026). Earnings Yield (JP All Stocks). https://qbuntu.ai/strategies/earnings-yield-jp-all

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