# Low Volatility Anomaly (JP All Stocks)

- **Slug**: `low-volatility-anomaly-jp-all`
- **Verdict**: rejected (regime_dependent)
- **Asset class**: equity
- **Categories**: anomaly, factor, low-volatility
- **Source**: qbuntu-analysis (computed asof 2026-07-30T01:21:32)
- **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/low-volatility-anomaly-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/low-volatility-anomaly-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Baker, Bradley, Wurgler (2011): low-volatility stocks earn higher risk-adjusted returns. Testing on the full Japanese stock universe.

## Why it didn't work

Across 160 grid combinations, median Sharpe=-0.17, best=0.91. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.1741 |
| Max drawdown | -22.9% |
| p-value | 0.48 |
| Backtest period | 2022-02-01 to 2026-02-02 |

Sharpe distribution across 160 grid runs: median -0.17, best 0.91 (best-case — not representative), worst -0.98, p25 -0.4, p75 0.14.

## 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

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-low-volatility-anomaly-jp-all-0000` | cost_bps=5, n_stocks=5, vol_window=20, regime_gate=false | -0.29 | -2.05 | 0.32 | 0.38 |
| `r-low-volatility-anomaly-jp-all-0001` | cost_bps=5, n_stocks=5, vol_window=20, regime_gate=true | 0.11 | -1.34 | 0.32 | 0.38 |
| `r-low-volatility-anomaly-jp-all-0002` | cost_bps=10, n_stocks=5, vol_window=20, regime_gate=false | -0.51 | -2.23 | 0.07 | 0.13 |
| `r-low-volatility-anomaly-jp-all-0003` | cost_bps=10, n_stocks=5, vol_window=20, regime_gate=true | -0.13 | -1.56 | 0.07 | 0.13 |
| `r-low-volatility-anomaly-jp-all-0004` | cost_bps=5, n_stocks=10, vol_window=20, regime_gate=false | -0.48 | -2.08 | -0.03 | -0.73 |
| `r-low-volatility-anomaly-jp-all-0018` | cost_bps=10, n_stocks=5, vol_window=20, regime_gate=false | -0.29 | -1.51 | 0.28 | 0.44 |
| `r-low-volatility-anomaly-jp-all-0032` | cost_bps=5, n_stocks=5, vol_window=20, regime_gate=false | 0.21 | -0.42 | 0.72 | -4.23 |
| `r-low-volatility-anomaly-jp-all-0038` | cost_bps=10, n_stocks=10, vol_window=20, regime_gate=false | 0.1 | -0.87 | 0.74 | -3.79 |
| `r-low-volatility-anomaly-jp-all-0052` | cost_bps=5, n_stocks=10, vol_window=20, regime_gate=false | -0.06 | -1.15 | 0.31 | -1.55 |
| `r-low-volatility-anomaly-jp-all-0064` | cost_bps=5, n_stocks=5, vol_window=20, regime_gate=false | 0.1 | 0.54 | 0.16 | -2.46 |
| `r-low-volatility-anomaly-jp-all-0067` | cost_bps=10, n_stocks=5, vol_window=20, regime_gate=true | 0.07 | 0.72 | 0.13 | -2.49 |
| `r-low-volatility-anomaly-jp-all-0081` | cost_bps=5, n_stocks=5, vol_window=40, regime_gate=true | 0.75 | -0.68 | 0.96 | 0.76 |
| `r-low-volatility-anomaly-jp-all-0087` | cost_bps=10, n_stocks=10, vol_window=40, regime_gate=true | -0.17 | -1.32 | 0.14 | -0.16 |
| `r-low-volatility-anomaly-jp-all-0097` | cost_bps=5, n_stocks=5, vol_window=40, regime_gate=true | 0.91 | 1.69 | 0.82 | 0.68 |
| `r-low-volatility-anomaly-jp-all-0102` | cost_bps=10, n_stocks=10, vol_window=40, regime_gate=false | -0.52 | -2.19 | 0 | 1.11 |
| `r-low-volatility-anomaly-jp-all-0116` | cost_bps=5, n_stocks=10, vol_window=40, regime_gate=false | 0.05 | -0.81 | 0.35 | -0.52 |
| `r-low-volatility-anomaly-jp-all-0130` | cost_bps=10, n_stocks=5, vol_window=40, regime_gate=false | 0.13 | -0.76 | 0.52 | -1.89 |
| `r-low-volatility-anomaly-jp-all-0144` | cost_bps=5, n_stocks=5, vol_window=40, regime_gate=false | -0.08 | 1.08 | -0.24 | -5.3 |
| `r-low-volatility-anomaly-jp-all-0150` | cost_bps=10, n_stocks=10, vol_window=40, regime_gate=false | -0.42 | 0.15 | -0.49 | -1.25 |
| `r-low-volatility-anomaly-jp-all-0164` | cost_bps=5, n_stocks=10, vol_window=60, regime_gate=false | -0.08 | -2.22 | 0.77 | -0.03 |
| `r-low-volatility-anomaly-jp-all-0178` | cost_bps=10, n_stocks=5, vol_window=60, regime_gate=false | -0.22 | -1.08 | 0.24 | 0.5 |
| `r-low-volatility-anomaly-jp-all-0192` | cost_bps=5, n_stocks=5, vol_window=60, regime_gate=false | -0.28 | -0.52 | -0.04 | -2.47 |
| `r-low-volatility-anomaly-jp-all-0198` | cost_bps=10, n_stocks=10, vol_window=60, regime_gate=false | -0.48 | -0.63 | -0.31 | -2.32 |
| `r-low-volatility-anomaly-jp-all-0212` | cost_bps=5, n_stocks=10, vol_window=60, regime_gate=false | -0.29 | -0.6 | -0.11 | -2.52 |
| `r-low-volatility-anomaly-jp-all-0226` | cost_bps=10, n_stocks=5, vol_window=60, regime_gate=false | -0.03 | 1.54 | -0.24 | -8.33 |
| `r-low-volatility-anomaly-jp-all-0240` | cost_bps=5, n_stocks=5, vol_window=120, regime_gate=false | -0.12 | -1.44 | 0.42 | 1.53 |
| `r-low-volatility-anomaly-jp-all-0241` | cost_bps=5, n_stocks=5, vol_window=120, regime_gate=true | 0.43 | 0.17 | 0.42 | 1.53 |
| `r-low-volatility-anomaly-jp-all-0247` | cost_bps=10, n_stocks=10, vol_window=120, regime_gate=true | 0.1 | -1.18 | 0.3 | 2.18 |
| `r-low-volatility-anomaly-jp-all-0261` | cost_bps=5, n_stocks=10, vol_window=120, regime_gate=true | 0 | 0.51 | -0.11 | -0.06 |
| `r-low-volatility-anomaly-jp-all-0290` | cost_bps=10, n_stocks=5, vol_window=120, regime_gate=false | -0.98 | -0.63 | -1 | -2.19 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.91 (p=0.071).**
  - Value: 0.91 sharpe_ratio
  - Context: period 2022-02-01–2026-02-02; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/low-volatility-anomaly-jp-all-fact-best-sharpe

- **Median Sharpe across 160 grid runs is -0.17.**
  - Value: -0.17 sharpe_ratio
  - Context: Full grid of 160 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/low-volatility-anomaly-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is -1.38 across 160 runs.**
  - Value: -1.38 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/low-volatility-anomaly-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is 0.08 across 160 runs.**
  - Value: 0.08 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/low-volatility-anomaly-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is -0.20 across 160 runs.**
  - Value: -0.2 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/low-volatility-anomaly-jp-all-fact-regime-up

## Related strategies

- same_strategy: [low-volatility-anomaly-jp-growth](https://qbuntu.ai/strategies/low-volatility-anomaly-jp-growth)

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Cite as: qbuntu (2026). Low Volatility Anomaly (JP All Stocks). https://qbuntu.ai/strategies/low-volatility-anomaly-jp-all

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