# Idiosyncratic Volatility (JP Growth Stocks)

- **Slug**: `idiosyncratic-vol-jp-growth`
- **Verdict**: marginal (no_edge)
- **Asset class**: equity
- **Categories**: anomaly, factor, idiosyncratic-volatility
- **Source**: qbuntu-analysis (computed asof 2026-07-30T01:20:51)
- **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/idiosyncratic-vol-jp-growth
- **JSON**: https://qbuntu.ai/v1/strategies/idiosyncratic-vol-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Ang, Hodrick, Xing, Zhang (2006): stocks with high idiosyncratic volatility earn lower returns. Idio vol = std(residuals) from market model (rolling OLS against N225). LONG lowest idio-vol, SHORT highest.

## Why it didn't work

Across 320 grid combinations, median Sharpe=0.06, best=1.61. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.0582 |
| Max drawdown | -20.5% |
| p-value | 0.52 |
| Backtest period | 2023-07-03 to 2026-06-01 |

Sharpe distribution across 320 grid runs: median 0.06, best 1.61 (best-case — not representative), worst -1.15, p25 -0.3, p75 0.42.

## 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-idiosyncratic-vol-jp-growth-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 1.61 | 1.21 | 1.5 | 6.93 |
| `r-idiosyncratic-vol-jp-growth-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 1.25 | -1.56 | 1.5 | 6.93 |
| `r-idiosyncratic-vol-jp-growth-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 1.48 | 1.1 | 1.36 | 6.7 |
| `r-idiosyncratic-vol-jp-growth-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | 1.12 | -1.88 | 1.36 | 6.7 |
| `r-idiosyncratic-vol-jp-growth-0012` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | 0.86 | 0.3 | 0.91 | 4.04 |
| `r-idiosyncratic-vol-jp-growth-0017` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | 0.19 | 0.24 | -0.24 | 27.62 |
| `r-idiosyncratic-vol-jp-growth-0030` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=5 | 0.09 | -0.44 | 0.57 | -0.24 |
| `r-idiosyncratic-vol-jp-growth-0043` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=10 | -0.08 | -0.14 | -0.16 | 1.39 |
| `r-idiosyncratic-vol-jp-growth-0056` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=20 | 0.26 | -0.82 | 0.82 | 0.86 |
| `r-idiosyncratic-vol-jp-growth-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | 0.1 | 1.86 | -0.19 | -0.28 |
| `r-idiosyncratic-vol-jp-growth-0070` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=60 | 0.21 | 0.7 | 0.1 | 0.32 |
| `r-idiosyncratic-vol-jp-growth-0083` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | 0.95 | -1.33 | 1.29 | 3.04 |
| `r-idiosyncratic-vol-jp-growth-0096` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 0.5 | -0.5 | 1.95 | 17.11 |
| `r-idiosyncratic-vol-jp-growth-0109` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=5 | 0.3 | -0.46 | 0.57 | 0.53 |
| `r-idiosyncratic-vol-jp-growth-0122` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=10 | -0.54 | -1.27 | -0.2 | -0.34 |
| `r-idiosyncratic-vol-jp-growth-0135` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=20 | 0.04 | -0.9 | 0.19 | -0 |
| `r-idiosyncratic-vol-jp-growth-0148` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=60 | 0.24 | 1.02 | 0.1 | -1.11 |
| `r-idiosyncratic-vol-jp-growth-0161` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.55 | -1.46 | 1.1 | 0.26 |
| `r-idiosyncratic-vol-jp-growth-0174` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | 0.26 | -0.65 | 0.69 | 3.05 |
| `r-idiosyncratic-vol-jp-growth-0187` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=5 | 0.08 | -0.88 | 0.1 | 1.3 |
| `r-idiosyncratic-vol-jp-growth-0195` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=10 | -1.15 | -1.13 | -1.32 | -1.44 |
| `r-idiosyncratic-vol-jp-growth-0201` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=10 | -0.46 | -0.49 | -0.6 | 0.37 |
| `r-idiosyncratic-vol-jp-growth-0214` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=20 | -0.54 | -0.34 | -0.74 | 0.09 |
| `r-idiosyncratic-vol-jp-growth-0227` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=60 | -0.47 | -2.32 | -0.46 | -0.8 |
| `r-idiosyncratic-vol-jp-growth-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 1.21 | 0.95 | 1.85 | -0.7 |
| `r-idiosyncratic-vol-jp-growth-0241` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.92 | -0.77 | 1.85 | -0.7 |
| `r-idiosyncratic-vol-jp-growth-0254` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | 0.41 | -0.52 | 0.72 | 7.14 |
| `r-idiosyncratic-vol-jp-growth-0267` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=5 | -0.6 | -0.62 | -0.68 | -0.24 |
| `r-idiosyncratic-vol-jp-growth-0280` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=10 | -0.89 | -0.48 | -1.01 | -1.27 |
| `r-idiosyncratic-vol-jp-growth-0293` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | -0.12 | 0.9 | -0.18 | -1.09 |

## 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: 0.11**
  - Value: 0.1118 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/idiosyncratic-vol-jp-growth-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.03**
  - Value: 0.0349 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/idiosyncratic-vol-jp-growth-fact-avg-corr-full

- **Best grid Sharpe ratio is 1.61 (p=0.0077).**
  - Value: 1.61 sharpe_ratio
  - Context: period 2023-07-03–2026-06-01; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/idiosyncratic-vol-jp-growth-fact-best-sharpe

- **Median Sharpe across 320 grid runs is 0.06.**
  - Value: 0.06 sharpe_ratio
  - Context: Full grid of 320 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/idiosyncratic-vol-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is 0.33 across 320 runs.**
  - Value: 0.33 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/idiosyncratic-vol-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is 0.11 across 320 runs.**
  - Value: 0.11 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/idiosyncratic-vol-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.47 across 320 runs.**
  - Value: -0.47 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/idiosyncratic-vol-jp-growth-fact-regime-up

---

Cite as: qbuntu (2026). Idiosyncratic Volatility (JP Growth Stocks). https://qbuntu.ai/strategies/idiosyncratic-vol-jp-growth

Visit qbuntu.ai — the honest scorecard for quant strategies (live, promising, marginal, rejected).