# Earnings Yield (JP Growth Stocks)

- **Slug**: `earnings-yield-jp-growth`
- **Verdict**: rejected (regime_dependent)
- **Asset class**: equity
- **Categories**: factor, fundamental, value
- **Source**: qbuntu-analysis (computed asof 2026-08-03T01:02:47)
- **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-growth
- **JSON**: https://qbuntu.ai/v1/strategies/earnings-yield-jp-growth
- **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 48 grid combinations, median Sharpe=-0.03, best=1.37. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.0305 |
| Max drawdown | -8.4% |
| p-value | 0.64 |
| Backtest period | 2024-01-04 to 2026-06-01 |

Sharpe distribution across 48 grid runs: median -0.03, best 1.37 (best-case — not representative), worst -1.25, p25 -0.34, p75 0.19.

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

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-earnings-yield-jp-growth-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.99 | -1.48 | -1.28 | 12.21 |
| `r-earnings-yield-jp-growth-0001` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 0.23 | 0.21 | -0.2 | 3.36 |
| `r-earnings-yield-jp-growth-0002` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.13 | 0.68 | -1.04 | 2.76 |
| `r-earnings-yield-jp-growth-0003` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.72 | -0.61 | -1.28 | 12.21 |
| `r-earnings-yield-jp-growth-0004` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | 0.14 | -0.05 | -0.2 | 3.36 |
| `r-earnings-yield-jp-growth-0005` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | 0.11 | 1.31 | -1.04 | 2.76 |
| `r-earnings-yield-jp-growth-0006` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -1.25 | -1.81 | -1.5 | 10.8 |
| `r-earnings-yield-jp-growth-0007` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | 0.04 | 0.01 | -0.38 | 3.11 |
| `r-earnings-yield-jp-growth-0008` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | -0.2 | 0.62 | -1.11 | 2.58 |
| `r-earnings-yield-jp-growth-0009` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -0.91 | -0.74 | -1.5 | 10.8 |
| `r-earnings-yield-jp-growth-0010` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | -0.02 | -0.16 | -0.38 | 3.11 |
| `r-earnings-yield-jp-growth-0011` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=20 | 0.05 | 1.27 | -1.11 | 2.58 |
| `r-earnings-yield-jp-growth-0012` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.05 | -1.91 | 0.08 | 11.35 |
| `r-earnings-yield-jp-growth-0013` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=5 | -0.43 | -0.9 | -0.54 | 7.25 |
| `r-earnings-yield-jp-growth-0014` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | 0.02 | 1.14 | -0.88 | 1.25 |
| `r-earnings-yield-jp-growth-0015` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | 0.18 | -0.66 | 0.08 | 11.35 |
| `r-earnings-yield-jp-growth-0016` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=5 | -0.14 | 0.21 | -0.54 | 7.25 |
| `r-earnings-yield-jp-growth-0017` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | 0.01 | 1.41 | -0.88 | 1.25 |
| `r-earnings-yield-jp-growth-0018` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | -0.33 | -2.38 | -0.15 | 10.36 |
| `r-earnings-yield-jp-growth-0019` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -0.57 | -1.07 | -0.65 | 6.66 |
| `r-earnings-yield-jp-growth-0020` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=20 | -0.06 | 1.06 | -0.96 | 1.12 |
| `r-earnings-yield-jp-growth-0021` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=1 | -0.04 | -0.84 | -0.15 | 10.36 |
| `r-earnings-yield-jp-growth-0022` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | -0.26 | 0.08 | -0.65 | 6.66 |
| `r-earnings-yield-jp-growth-0023` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=20 | -0.07 | 1.36 | -0.96 | 1.12 |
| `r-earnings-yield-jp-growth-0024` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=1 | 0.02 | -1.31 | 0.31 | 2.62 |
| `r-earnings-yield-jp-growth-0025` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=5 | -0.36 | -1.62 | -0.05 | 3.35 |
| `r-earnings-yield-jp-growth-0026` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=20 | 0.69 | 1.7 | 0.09 | 1.3 |
| `r-earnings-yield-jp-growth-0027` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=1 | 0.09 | -0.93 | 0.31 | 2.62 |
| `r-earnings-yield-jp-growth-0036` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -0.54 | -1.68 | 0.06 | 0.02 |
| `r-earnings-yield-jp-growth-0038` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=20 | 1.37 | 2.61 | 0.78 | 1.51 |

## Facts (5)

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

- **Best grid Sharpe ratio is 1.37 (p=0.051).**
  - Value: 1.37 sharpe_ratio
  - Context: period 2024-01-04–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-yield-jp-growth-fact-best-sharpe

- **Median Sharpe across 48 grid runs is -0.03.**
  - Value: -0.03 sharpe_ratio
  - Context: Full grid of 48 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-yield-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is 2.69 across 48 runs.**
  - Value: 2.69 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-yield-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -0.17 across 48 runs.**
  - Value: -0.17 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-yield-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.20 across 48 runs.**
  - Value: -0.2 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-yield-jp-growth-fact-regime-up

## Related strategies

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

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

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