# Idiosyncratic Volatility (US S&P 500)

- **Slug**: `idiosyncratic-vol-us-sp500`
- **Verdict**: rejected (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-us-sp500
- **JSON**: https://qbuntu.ai/v1/strategies/idiosyncratic-vol-us-sp500
- **License**: CC-BY-4.0

## Hypothesis

Ang, Hodrick, Xing, Zhang (2006): stocks with high idiosyncratic volatility earn lower returns. Applied to S&P 500 constituents.

## Why it didn't work

Across 316 grid combinations, median Sharpe=-0.99, best=-0.10. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.9888 |
| Max drawdown | -48.2% |
| p-value | 0.04 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 316 grid runs: median -0.99, best -0.1 (best-case — not representative), worst -2.05, p25 -1.23, p75 -0.67.

## 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: GSPC SMA20/SMA60 three-class: UP (close>SMA20 AND SMA20>SMA60), DOWN (close<SMA20 AND SMA20<SMA60), FLAT (else)
- Transaction cost bps: 5

## Target universe

S&P 500 constituents, ~503 stocks

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-idiosyncratic-vol-us-sp500-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -1.07 | -1.56 | -0.92 | -0.33 |
| `r-idiosyncratic-vol-us-sp500-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.58 | -0.51 | -0.92 | -0.33 |
| `r-idiosyncratic-vol-us-sp500-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -1.25 | -1.77 | -1.06 | -0.49 |
| `r-idiosyncratic-vol-us-sp500-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -0.74 | -0.84 | -1.06 | -0.49 |
| `r-idiosyncratic-vol-us-sp500-0012` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -0.85 | -0.48 | -2.04 | 0.08 |
| `r-idiosyncratic-vol-us-sp500-0017` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | -0.48 | -0.22 | -0.94 | -0.06 |
| `r-idiosyncratic-vol-us-sp500-0030` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=5 | -1.34 | -1.33 | -2.11 | -0.26 |
| `r-idiosyncratic-vol-us-sp500-0043` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=10 | -1.27 | 0.46 | -2.63 | -1.6 |
| `r-idiosyncratic-vol-us-sp500-0046` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=10 | -2.05 | -1.55 | -3.12 | -1.59 |
| `r-idiosyncratic-vol-us-sp500-0057` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=20 | -0.6 | 0.95 | -0.99 | -1.78 |
| `r-idiosyncratic-vol-us-sp500-0065` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=60 | -0.1 | 1.02 | -0.57 | 0.28 |
| `r-idiosyncratic-vol-us-sp500-0073` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=60 | -0.35 | 1.01 | -1.36 | -0.31 |
| `r-idiosyncratic-vol-us-sp500-0086` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | -1.08 | -1.03 | -1.42 | -0.77 |
| `r-idiosyncratic-vol-us-sp500-0099` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | -0.55 | 0.01 | -1.33 | 0.01 |
| `r-idiosyncratic-vol-us-sp500-0112` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | -1.3 | -1.38 | -1.51 | -0.67 |
| `r-idiosyncratic-vol-us-sp500-0125` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=10 | -0.99 | 0.34 | -2.39 | -1.1 |
| `r-idiosyncratic-vol-us-sp500-0138` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=20 | -1.49 | -1.71 | -1.2 | -1.74 |
| `r-idiosyncratic-vol-us-sp500-0151` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=60 | -0.44 | 0.82 | -1.32 | 0.25 |
| `r-idiosyncratic-vol-us-sp500-0164` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.91 | -0.61 | -1.23 | -0.92 |
| `r-idiosyncratic-vol-us-sp500-0177` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | -0.37 | 0.17 | -0.8 | -0.06 |
| `r-idiosyncratic-vol-us-sp500-0190` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=5 | -1.07 | -1.11 | -1.6 | -0.18 |
| `r-idiosyncratic-vol-us-sp500-0203` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=10 | -1.01 | 0.47 | -2.04 | -1.3 |
| `r-idiosyncratic-vol-us-sp500-0216` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=20 | -1.38 | -1.64 | -0.94 | -1.57 |
| `r-idiosyncratic-vol-us-sp500-0229` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=60 | -0.56 | 0.77 | -1.24 | -0.51 |
| `r-idiosyncratic-vol-us-sp500-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -1.44 | -1.45 | -1.15 | -2.43 |
| `r-idiosyncratic-vol-us-sp500-0243` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -1.22 | -1.04 | -1.28 | -2.62 |
| `r-idiosyncratic-vol-us-sp500-0256` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -0.98 | -1.36 | -0.48 | -0.95 |
| `r-idiosyncratic-vol-us-sp500-0269` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=5 | -0.51 | 0.35 | -1.17 | -0.47 |
| `r-idiosyncratic-vol-us-sp500-0282` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=10 | -1.71 | -1.77 | -1.81 | -1.52 |
| `r-idiosyncratic-vol-us-sp500-0295` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=20 | -0.76 | 0.24 | -0.85 | -1.84 |

## Facts (5)

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

- **Best grid Sharpe ratio is -0.10 (p=0.72).**
  - Value: -0.1 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/idiosyncratic-vol-us-sp500-fact-best-sharpe

- **Median Sharpe across 316 grid runs is -0.99.**
  - Value: -0.99 sharpe_ratio
  - Context: Full grid of 316 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/idiosyncratic-vol-us-sp500-fact-median-sharpe

- **Median Sharpe in DOWN regime is -0.76 across 316 runs.**
  - Value: -0.76 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/idiosyncratic-vol-us-sp500-fact-regime-down

- **Median Sharpe in FLAT regime is -1.32 across 316 runs.**
  - Value: -1.32 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/idiosyncratic-vol-us-sp500-fact-regime-flat

- **Median Sharpe in UP regime is -0.71 across 316 runs.**
  - Value: -0.71 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/idiosyncratic-vol-us-sp500-fact-regime-up

## Related strategies

- same_strategy: [idiosyncratic-vol-jp-all](https://qbuntu.ai/strategies/idiosyncratic-vol-jp-all)
- same_strategy: [idiosyncratic-vol-jp-growth](https://qbuntu.ai/strategies/idiosyncratic-vol-jp-growth)

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Cite as: qbuntu (2026). Idiosyncratic Volatility (US S&P 500). https://qbuntu.ai/strategies/idiosyncratic-vol-us-sp500

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