Cross-Sectional Dispersion Trading (US S&P 500)
slug: dispersion-us-sp500
performance summary
Sharpe (median)
+0.14
Max DD
-30.1%
Win rate
—
Alpha (ann.)
—
p-value
0.34
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 384 grid runs:median 0.14best 0.64 (not representative)worst -1.07p25–p75 -0.36–0.43
Hypothesis
Stivers (2010), Jiang (2010): cross-sectional return dispersion as a market timing signal. Applied to S&P 500 constituents.
Why it didn't work
Across 384 grid combinations, median Sharpe=0.14, best=0.64. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 0.64 (p=0.18).
period 2022-02-01–2026-06-01; cost=5bps
cite ↗ /cite/dispersion-us-sp500-fact-best-sharpevia r-dispersion-us-sp500-0050
Median Sharpe across 384 grid runs is 0.14.
Full grid of 384 parameter combinations.
Median Sharpe in DOWN regime is -0.06 across 384 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.34 across 384 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.43 across 384 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=5, cost_bps=5 r-dispersion-us-sp500-0000 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_20" | +0.47 | +0.39 | +0.57 | +0.56 |
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=5, cost_bps=10 r-dispersion-us-sp500-0001 | cost_bps: 10 n_stocks: 5 base_signal: "momentum_20" | +0.40 | +0.32 | +0.48 | +0.47 |
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=10, cost_bps=5 r-dispersion-us-sp500-0002 | cost_bps: 5 n_stocks: 10 base_signal: "momentum_20" | +0.55 | +0.42 | +0.47 | +1.18 |
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=50, cost_bps=5 r-dispersion-us-sp500-0006 | cost_bps: 5 n_stocks: 50 base_signal: "momentum_20" | +0.19 | +0.41 | -0.39 | +0.70 |
dispersion_window=10, holding_days=5, base_signal=momentum_60, n_stocks=5, cost_bps=5 r-dispersion-us-sp500-0008 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_60" | +0.59 | +0.64 | +0.22 | +1.46 |
dispersion_window=10, holding_days=5, base_signal=mean_reversion, n_stocks=5, cost_bps=5 r-dispersion-us-sp500-0016 | cost_bps: 5 n_stocks: 5 base_signal: "mean_reversion" | -0.79 | -0.55 | -1.88 | -0.26 |
dispersion_window=10, holding_days=5, base_signal=mean_reversion, n_stocks=50, cost_bps=5 r-dispersion-us-sp500-0022 | cost_bps: 5 n_stocks: 50 base_signal: "mean_reversion" | -0.65 | -0.28 | -1.21 | -1.17 |
dispersion_window=10, holding_days=10, base_signal=momentum_60, n_stocks=50, cost_bps=10 r-dispersion-us-sp500-0039 | cost_bps: 10 n_stocks: 50 base_signal: "momentum_60" | -0.32 | +0.40 | -0.85 | -0.67 |
dispersion_window=10, holding_days=20, base_signal=momentum_20, n_stocks=10, cost_bps=5 r-dispersion-us-sp500-0050 | cost_bps: 5 n_stocks: 10 base_signal: "momentum_20" | +0.64 | +1.10 | -0.08 | +0.98 |
dispersion_window=10, holding_days=20, base_signal=momentum_60, n_stocks=5, cost_bps=10 r-dispersion-us-sp500-0057 | cost_bps: 10 n_stocks: 5 base_signal: "momentum_60" | +0.40 | +1.34 | -0.49 | +0.02 |
dispersion_window=10, holding_days=60, base_signal=momentum_20, n_stocks=5, cost_bps=5 r-dispersion-us-sp500-0072 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_20" | +0.38 | +0.64 | -0.03 | -0.06 |
dispersion_window=10, holding_days=60, base_signal=momentum_20, n_stocks=10, cost_bps=10 r-dispersion-us-sp500-0075 | cost_bps: 10 n_stocks: 10 base_signal: "momentum_20" | +0.47 | +0.70 | +0.32 | -0.08 |
dispersion_window=10, holding_days=60, base_signal=mean_reversion, n_stocks=20, cost_bps=5 r-dispersion-us-sp500-0092 | cost_bps: 5 n_stocks: 20 base_signal: "mean_reversion" | -0.25 | -0.18 | -0.44 | -0.17 |
dispersion_window=20, holding_days=5, base_signal=momentum_60, n_stocks=20, cost_bps=10 r-dispersion-us-sp500-0109 | cost_bps: 10 n_stocks: 20 base_signal: "momentum_60" | +0.26 | +0.17 | +0.03 | +1.09 |
dispersion_window=20, holding_days=10, base_signal=momentum_20, n_stocks=50, cost_bps=5 r-dispersion-us-sp500-0126 | cost_bps: 5 n_stocks: 50 base_signal: "momentum_20" | +0.01 | +1.04 | -0.77 | -0.41 |
dispersion_window=20, holding_days=10, base_signal=mean_reversion, n_stocks=50, cost_bps=10 r-dispersion-us-sp500-0143 | cost_bps: 10 n_stocks: 50 base_signal: "mean_reversion" | -0.52 | -1.03 | +0.09 | -0.27 |
dispersion_window=20, holding_days=20, base_signal=mean_reversion, n_stocks=5, cost_bps=5 r-dispersion-us-sp500-0160 | cost_bps: 5 n_stocks: 5 base_signal: "mean_reversion" | -0.24 | -0.80 | -0.66 | +1.54 |
dispersion_window=20, holding_days=60, base_signal=momentum_60, n_stocks=5, cost_bps=10 r-dispersion-us-sp500-0177 | cost_bps: 10 n_stocks: 5 base_signal: "momentum_60" | +0.55 | +0.98 | +0.40 | -1.63 |
dispersion_window=40, holding_days=5, base_signal=momentum_20, n_stocks=10, cost_bps=5 r-dispersion-us-sp500-0194 | cost_bps: 5 n_stocks: 10 base_signal: "momentum_20" | +0.55 | +0.42 | +0.47 | +1.18 |
dispersion_window=40, holding_days=5, base_signal=mean_reversion, n_stocks=10, cost_bps=10 r-dispersion-us-sp500-0211 | cost_bps: 10 n_stocks: 10 base_signal: "mean_reversion" | -1.03 | -0.64 | -2.16 | -0.96 |
dispersion_window=40, holding_days=10, base_signal=momentum_60, n_stocks=20, cost_bps=5 r-dispersion-us-sp500-0228 | cost_bps: 5 n_stocks: 20 base_signal: "momentum_60" | +0.12 | +1.10 | -0.64 | -0.02 |
dispersion_window=40, holding_days=20, base_signal=momentum_20, n_stocks=20, cost_bps=10 r-dispersion-us-sp500-0245 | cost_bps: 10 n_stocks: 20 base_signal: "momentum_20" | +0.40 | +1.20 | -0.28 | +0.25 |
dispersion_window=40, holding_days=20, base_signal=mean_reversion, n_stocks=50, cost_bps=5 r-dispersion-us-sp500-0262 | cost_bps: 5 n_stocks: 50 base_signal: "mean_reversion" | -0.50 | -0.73 | -0.44 | -0.07 |
dispersion_window=40, holding_days=60, base_signal=momentum_60, n_stocks=50, cost_bps=10 r-dispersion-us-sp500-0279 | cost_bps: 10 n_stocks: 50 base_signal: "momentum_60" | +0.12 | +0.56 | +0.24 | -1.79 |
dispersion_window=60, holding_days=5, base_signal=momentum_20, n_stocks=5, cost_bps=5 r-dispersion-us-sp500-0288 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_20" | +0.48 | +0.39 | +0.57 | +0.59 |
dispersion_window=60, holding_days=5, base_signal=momentum_60, n_stocks=5, cost_bps=10 r-dispersion-us-sp500-0297 | cost_bps: 10 n_stocks: 5 base_signal: "momentum_60" | +0.52 | +0.56 | +0.16 | +1.39 |
dispersion_window=60, holding_days=5, base_signal=mean_reversion, n_stocks=10, cost_bps=10 r-dispersion-us-sp500-0307 | cost_bps: 10 n_stocks: 10 base_signal: "mean_reversion" | -1.07 | -0.64 | -2.16 | -1.12 |
dispersion_window=60, holding_days=10, base_signal=momentum_20, n_stocks=10, cost_bps=10 r-dispersion-us-sp500-0315 | cost_bps: 10 n_stocks: 10 base_signal: "momentum_20" | +0.47 | +1.36 | +0.13 | -0.83 |
dispersion_window=60, holding_days=10, base_signal=mean_reversion, n_stocks=20, cost_bps=5 r-dispersion-us-sp500-0332 | cost_bps: 5 n_stocks: 20 base_signal: "mean_reversion" | -0.49 | -0.74 | -0.49 | -0.04 |
dispersion_window=60, holding_days=20, base_signal=momentum_60, n_stocks=20, cost_bps=10 r-dispersion-us-sp500-0349 | cost_bps: 10 n_stocks: 20 base_signal: "momentum_60" | +0.27 | +0.98 | -0.36 | -0.00 |
Target universe
S&P 500 constituents, ~503 stocks
Related strategies
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-31T01:31:48