# Turnover Factor (US S&P 500)

- **Slug**: `turnover-us-sp500`
- **Verdict**: rejected (regime_dependent)
- **Asset class**: equity
- **Categories**: anomaly, factor, liquidity, turnover
- **Source**: qbuntu-analysis (computed asof 2026-07-29T01:08:52)
- **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/turnover-us-sp500
- **JSON**: https://qbuntu.ai/v1/strategies/turnover-us-sp500
- **License**: CC-BY-4.0

## Hypothesis

Datar, Naik, Radcliffe (1998): low turnover stocks outperform. Applied to S&P 500 constituents.

## Why it didn't work

Across 320 grid combinations, median Sharpe=-0.21, best=0.51. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.2129 |
| Max drawdown | -15.5% |
| p-value | 0.45 |
| Backtest period | 2022-05-02 to 2026-06-01 |

Sharpe distribution across 320 grid runs: median -0.21, best 0.51 (best-case — not representative), worst -2.58, p25 -0.58, p75 0.05.

## 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-turnover-us-sp500-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.23 | 0.83 | -0.42 | -0.39 |
| `r-turnover-us-sp500-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.24 | -0.09 | -0.42 | -0.39 |
| `r-turnover-us-sp500-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.06 | 0.53 | -0.7 | -0.71 |
| `r-turnover-us-sp500-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -0.44 | -0.21 | -0.7 | -0.71 |
| `r-turnover-us-sp500-0012` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -1.47 | -1.36 | -1.99 | -0.54 |
| `r-turnover-us-sp500-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -0.09 | 0.95 | -0.86 | -1.85 |
| `r-turnover-us-sp500-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | 0.01 | 1.24 | -0.81 | -2.35 |
| `r-turnover-us-sp500-0046` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=10 | -0.57 | 0.11 | -1.3 | -0.45 |
| `r-turnover-us-sp500-0060` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=20 | -0.43 | 0.27 | -1.07 | -0.69 |
| `r-turnover-us-sp500-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | 0.14 | 0.5 | -0.54 | 0.47 |
| `r-turnover-us-sp500-0075` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=60 | 0.29 | 0.85 | -0.78 | -0.19 |
| `r-turnover-us-sp500-0077` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=60 | 0.51 | 0.92 | -0.19 | -0.11 |
| `r-turnover-us-sp500-0090` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=1 | -1.29 | -1.02 | -1.51 | -1.83 |
| `r-turnover-us-sp500-0104` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=5 | 0.13 | 1.22 | -0.97 | -0.61 |
| `r-turnover-us-sp500-0118` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -0.32 | 1.26 | -1.37 | -1.98 |
| `r-turnover-us-sp500-0132` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | -0.4 | 1.52 | -1.36 | -1.44 |
| `r-turnover-us-sp500-0146` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=60 | 0.03 | 0.37 | -0.59 | -0.23 |
| `r-turnover-us-sp500-0160` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.08 | 0.41 | -0.37 | -0.6 |
| `r-turnover-us-sp500-0174` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | -2.23 | -2.22 | -1.69 | -4.85 |
| `r-turnover-us-sp500-0188` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=5 | -0.09 | 0.25 | -0.57 | -0.22 |
| `r-turnover-us-sp500-0202` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=10 | -0.42 | 0.7 | -1.61 | -2.27 |
| `r-turnover-us-sp500-0216` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=20 | -0.8 | 0.08 | -1.67 | -1.5 |
| `r-turnover-us-sp500-0230` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=60 | -0.1 | 0.18 | -0.68 | -0.19 |
| `r-turnover-us-sp500-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.56 | -0.04 | -0.82 | -1.1 |
| `r-turnover-us-sp500-0245` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | -0.63 | -0.04 | -0.88 | -1.42 |
| `r-turnover-us-sp500-0254` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | -2.58 | -2.49 | -2.3 | -4.52 |
| `r-turnover-us-sp500-0260` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=5 | -0.24 | 0.29 | -0.75 | -0.96 |
| `r-turnover-us-sp500-0274` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=10 | -0.88 | 0.12 | -1.6 | -2.34 |
| `r-turnover-us-sp500-0288` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -1.06 | -0.17 | -1.85 | -1.83 |
| `r-turnover-us-sp500-0302` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=20 | -1.25 | -0.97 | -1.81 | -0.85 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.51 (p=0.09).**
  - Value: 0.51 sharpe_ratio
  - Context: period 2022-05-02–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/turnover-us-sp500-fact-best-sharpe

- **Median Sharpe across 320 grid runs is -0.21.**
  - Value: -0.21 sharpe_ratio
  - Context: Full grid of 320 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/turnover-us-sp500-fact-median-sharpe

- **Median Sharpe in DOWN regime is -1.12 across 320 runs.**
  - Value: -1.12 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/turnover-us-sp500-fact-regime-down

- **Median Sharpe in FLAT regime is -1.10 across 320 runs.**
  - Value: -1.1 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/turnover-us-sp500-fact-regime-flat

- **Median Sharpe in UP regime is 0.76 across 320 runs.**
  - Value: 0.76 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/turnover-us-sp500-fact-regime-up

## Related strategies

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

---

Cite as: qbuntu (2026). Turnover Factor (US S&P 500). https://qbuntu.ai/strategies/turnover-us-sp500

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