# Low Volatility Anomaly (JP Growth Stocks)

- **Slug**: `low-volatility-anomaly-jp-growth`
- **Verdict**: marginal (no_edge)
- **Asset class**: equity
- **Categories**: anomaly, factor, low-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/low-volatility-anomaly-jp-growth
- **JSON**: https://qbuntu.ai/v1/strategies/low-volatility-anomaly-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Baker, Bradley, Wurgler (2011): low-volatility stocks earn higher risk-adjusted returns. LONG lowest realized vol quintile, SHORT highest. Tests whether the low-vol anomaly holds in TSE Growth Market.

## Why it didn't work

Across 320 grid combinations, median Sharpe=0.15, best=2.22. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.149 |
| Max drawdown | -23.6% |
| p-value | 0.44 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 320 grid runs: median 0.15, best 2.22 (best-case — not representative), worst -0.95, p25 -0.15, p75 0.56.

## 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-low-volatility-anomaly-jp-growth-0000` | cost_bps=5, n_stocks=5, vol_window=20, regime_gate=false | 2.22 | 1.26 | 2.54 | 7.18 |
| `r-low-volatility-anomaly-jp-growth-0001` | cost_bps=5, n_stocks=5, vol_window=20, regime_gate=true | 2.02 | -1.73 | 2.54 | 7.18 |
| `r-low-volatility-anomaly-jp-growth-0002` | cost_bps=10, n_stocks=5, vol_window=20, regime_gate=false | 2.06 | 1.15 | 2.36 | 6.96 |
| `r-low-volatility-anomaly-jp-growth-0003` | cost_bps=10, n_stocks=5, vol_window=20, regime_gate=true | 1.87 | -2.05 | 2.36 | 6.96 |
| `r-low-volatility-anomaly-jp-growth-0012` | cost_bps=5, n_stocks=50, vol_window=20, regime_gate=false | 0.92 | 0.33 | 1.03 | 2.41 |
| `r-low-volatility-anomaly-jp-growth-0017` | cost_bps=5, n_stocks=5, vol_window=20, regime_gate=true | 0.79 | -0.31 | 0.71 | 8.82 |
| `r-low-volatility-anomaly-jp-growth-0030` | cost_bps=10, n_stocks=50, vol_window=20, regime_gate=false | 0.25 | -0.39 | 0.61 | -0.43 |
| `r-low-volatility-anomaly-jp-growth-0043` | cost_bps=10, n_stocks=20, vol_window=20, regime_gate=true | 0.04 | -0.49 | 0.07 | 1.17 |
| `r-low-volatility-anomaly-jp-growth-0056` | cost_bps=5, n_stocks=20, vol_window=20, regime_gate=false | 0.23 | -1.13 | 0.67 | 0.6 |
| `r-low-volatility-anomaly-jp-growth-0064` | cost_bps=5, n_stocks=5, vol_window=20, regime_gate=false | 0.55 | 2.26 | 0.34 | -2.7 |
| `r-low-volatility-anomaly-jp-growth-0070` | cost_bps=10, n_stocks=10, vol_window=20, regime_gate=false | 0.18 | 0.8 | 0.08 | -0.08 |
| `r-low-volatility-anomaly-jp-growth-0083` | cost_bps=10, n_stocks=5, vol_window=40, regime_gate=true | 1.12 | -2.35 | 1.44 | 3.1 |
| `r-low-volatility-anomaly-jp-growth-0096` | cost_bps=5, n_stocks=5, vol_window=40, regime_gate=false | 0.59 | -0.2 | 0.99 | 36.94 |
| `r-low-volatility-anomaly-jp-growth-0109` | cost_bps=5, n_stocks=50, vol_window=40, regime_gate=true | 0.5 | -0.4 | 0.7 | 0.81 |
| `r-low-volatility-anomaly-jp-growth-0122` | cost_bps=10, n_stocks=20, vol_window=40, regime_gate=false | -0.2 | -1.05 | 0.02 | 0.01 |
| `r-low-volatility-anomaly-jp-growth-0135` | cost_bps=10, n_stocks=10, vol_window=40, regime_gate=true | -0.19 | -0.71 | -0.19 | 0.13 |
| `r-low-volatility-anomaly-jp-growth-0148` | cost_bps=5, n_stocks=10, vol_window=40, regime_gate=false | -0.06 | 0.59 | -0.2 | 1.05 |
| `r-low-volatility-anomaly-jp-growth-0161` | cost_bps=5, n_stocks=5, vol_window=60, regime_gate=true | 0.86 | -1.42 | 1.25 | 0.11 |
| `r-low-volatility-anomaly-jp-growth-0174` | cost_bps=10, n_stocks=50, vol_window=60, regime_gate=false | 0.2 | -0.74 | 0.51 | 2.61 |
| `r-low-volatility-anomaly-jp-growth-0187` | cost_bps=10, n_stocks=20, vol_window=60, regime_gate=true | 0.31 | -0.99 | 0.43 | 0.72 |
| `r-low-volatility-anomaly-jp-growth-0195` | cost_bps=10, n_stocks=5, vol_window=60, regime_gate=true | -0.95 | -0.81 | -0.98 | -1.71 |
| `r-low-volatility-anomaly-jp-growth-0201` | cost_bps=5, n_stocks=20, vol_window=60, regime_gate=true | -0.18 | -0.5 | -0.18 | 0.11 |
| `r-low-volatility-anomaly-jp-growth-0214` | cost_bps=10, n_stocks=10, vol_window=60, regime_gate=false | -0.48 | -0.42 | -0.57 | 0.36 |
| `r-low-volatility-anomaly-jp-growth-0227` | cost_bps=10, n_stocks=5, vol_window=60, regime_gate=true | -0.35 | -1.94 | -0.3 | -1.05 |
| `r-low-volatility-anomaly-jp-growth-0240` | cost_bps=5, n_stocks=5, vol_window=120, regime_gate=false | 1.17 | 1.13 | 1.43 | -0.95 |
| `r-low-volatility-anomaly-jp-growth-0241` | cost_bps=5, n_stocks=5, vol_window=120, regime_gate=true | 0.91 | -0.77 | 1.43 | -0.95 |
| `r-low-volatility-anomaly-jp-growth-0254` | cost_bps=10, n_stocks=50, vol_window=120, regime_gate=false | 0.02 | -0.52 | 0.03 | 5.15 |
| `r-low-volatility-anomaly-jp-growth-0267` | cost_bps=10, n_stocks=20, vol_window=120, regime_gate=true | -0.35 | -0.92 | -0.31 | 0.21 |
| `r-low-volatility-anomaly-jp-growth-0280` | cost_bps=5, n_stocks=20, vol_window=120, regime_gate=false | -0.65 | -0.7 | -0.58 | -1.14 |
| `r-low-volatility-anomaly-jp-growth-0293` | cost_bps=5, n_stocks=10, vol_window=120, regime_gate=true | 0.27 | -0.28 | 0.39 | -0.62 |

## Facts (5)

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

- **Best grid Sharpe ratio is 2.22 (p=1.8e-05).**
  - Value: 2.22 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/low-volatility-anomaly-jp-growth-fact-best-sharpe

- **Median Sharpe across 320 grid runs is 0.15.**
  - Value: 0.15 sharpe_ratio
  - Context: Full grid of 320 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/low-volatility-anomaly-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is 0.36 across 320 runs.**
  - Value: 0.36 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/low-volatility-anomaly-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is 0.28 across 320 runs.**
  - Value: 0.28 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/low-volatility-anomaly-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.48 across 320 runs.**
  - Value: -0.48 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/low-volatility-anomaly-jp-growth-fact-regime-up

---

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

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