# Vol-of-Vol Stability (US S&P 500)

- **Slug**: `vol-of-vol-stability-us-sp500`
- **Verdict**: rejected (regime_dependent)
- **Asset class**: equity
- **Categories**: factor, low-risk, volatility
- **Source**: qbuntu-analysis (computed asof 2026-08-02T16:25:54)
- **Reproducibility**: analysis-engine@2f23bb7, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/vol-of-vol-stability-us-sp500
- **JSON**: https://qbuntu.ai/v1/strategies/vol-of-vol-stability-us-sp500
- **License**: CC-BY-4.0

## Hypothesis

Stocks with unstable volatility (high volatility-of-volatility) carry uncertainty about their own risk and tend to underperform; ranking on vol-of-vol and holding the stable side tests this risk-uncertainty premium (Baltussen et al. 2018 line of research).

## Why it didn't work

Across 432 grid combinations, median Sharpe=-0.26, best=0.59. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.2571 |
| Max drawdown | -9.3% |
| p-value | 0.49 |
| Backtest period | 2022-03-01 to 2026-06-01 |

Sharpe distribution across 432 grid runs: median -0.26, best 0.59 (best-case — not representative), worst -1.63, p25 -0.55, p75 0.04.

## 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
- Transaction cost bps: 5

## Target universe

S&P 500 constituents, ~503 stocks

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-vol-of-vol-stability-us-sp500-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.44 | 0.55 | -0.39 | 1.92 |
| `r-vol-of-vol-stability-us-sp500-0001` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 0.07 | 1.02 | -1.7 | 0.42 |
| `r-vol-of-vol-stability-us-sp500-0002` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.11 | 0.01 | -0.99 | 1.04 |
| `r-vol-of-vol-stability-us-sp500-0003` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.45 | 0.59 | -0.39 | 1.92 |
| `r-vol-of-vol-stability-us-sp500-0006` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 0.06 | 0.17 | -0.76 | 1.49 |
| `r-vol-of-vol-stability-us-sp500-0024` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=1 | 0.2 | -0.27 | 0.26 | 1.69 |
| `r-vol-of-vol-stability-us-sp500-0036` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -0.09 | -0.78 | -0.18 | 1.72 |
| `r-vol-of-vol-stability-us-sp500-0045` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=1 | -0.39 | -0.52 | -0.8 | 0.92 |
| `r-vol-of-vol-stability-us-sp500-0065` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | 0.1 | 1.13 | -0.99 | -0.5 |
| `r-vol-of-vol-stability-us-sp500-0085` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=5 | -0.23 | 0.52 | -1.1 | -0.8 |
| `r-vol-of-vol-stability-us-sp500-0096` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.06 | -0.27 | 0.24 | 0.61 |
| `r-vol-of-vol-stability-us-sp500-0106` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | -0.15 | 0.75 | -0.44 | -1.19 |
| `r-vol-of-vol-stability-us-sp500-0126` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=1 | -1.13 | -1.26 | -1.87 | 1.34 |
| `r-vol-of-vol-stability-us-sp500-0146` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.23 | 0.33 | 0.21 | -2.98 |
| `r-vol-of-vol-stability-us-sp500-0166` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | -0.02 | 0.79 | -0.55 | -1.51 |
| `r-vol-of-vol-stability-us-sp500-0186` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | -1.2 | -1.5 | -1.79 | 1.45 |
| `r-vol-of-vol-stability-us-sp500-0206` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | 0.03 | 0.67 | -0.37 | -1.1 |
| `r-vol-of-vol-stability-us-sp500-0226` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=5 | -0.17 | 1.09 | -1.42 | -0.79 |
| `r-vol-of-vol-stability-us-sp500-0233` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=20 | 0.59 | 1.84 | -1.57 | -0.66 |
| `r-vol-of-vol-stability-us-sp500-0247` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -0.55 | -0.57 | -1.01 | 0.36 |
| `r-vol-of-vol-stability-us-sp500-0267` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=1 | -0.14 | -0.22 | -0.89 | 3.04 |
| `r-vol-of-vol-stability-us-sp500-0287` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=20 | 0.25 | 1.3 | -1.68 | 0.61 |
| `r-vol-of-vol-stability-us-sp500-0288` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.07 | -0.45 | -0.42 | 0.89 |
| `r-vol-of-vol-stability-us-sp500-0308` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=20 | -0.47 | -0.8 | 0.08 | -0.6 |
| `r-vol-of-vol-stability-us-sp500-0328` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=5 | 0.16 | 1.03 | -1.08 | -0.36 |
| `r-vol-of-vol-stability-us-sp500-0330` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | -1.63 | -1.39 | -2.89 | 0.54 |
| `r-vol-of-vol-stability-us-sp500-0349` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=5 | -0.64 | -0.27 | -1.05 | -1.36 |
| `r-vol-of-vol-stability-us-sp500-0369` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=1 | -0.95 | -0.38 | -1.76 | -0.4 |
| `r-vol-of-vol-stability-us-sp500-0389` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | -0.12 | 0.45 | -0.98 | 0.03 |
| `r-vol-of-vol-stability-us-sp500-0409` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=5 | -0.35 | -0.06 | -0.59 | -0.7 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.59 (p=0.22).**
  - Value: 0.59 sharpe_ratio
  - Context: period 2022-03-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vol-of-vol-stability-us-sp500-fact-best-sharpe

- **Median Sharpe across 432 grid runs is -0.26.**
  - Value: -0.26 sharpe_ratio
  - Context: Full grid of 432 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vol-of-vol-stability-us-sp500-fact-median-sharpe

- **Median Sharpe in DOWN regime is -0.19 across 432 runs.**
  - Value: -0.19 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vol-of-vol-stability-us-sp500-fact-regime-down

- **Median Sharpe in FLAT regime is -1.09 across 432 runs.**
  - Value: -1.09 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vol-of-vol-stability-us-sp500-fact-regime-flat

- **Median Sharpe in UP regime is 0.15 across 432 runs.**
  - Value: 0.15 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vol-of-vol-stability-us-sp500-fact-regime-up

## Related strategies

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

---

Cite as: qbuntu (2026). Vol-of-Vol Stability (US S&P 500). https://qbuntu.ai/strategies/vol-of-vol-stability-us-sp500

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