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rejectedno_edge· equity· anomaly· beta· downside-risk· factor

Downside Beta (JP All Stocks)

slug: downside-beta-jp-all

Downside Beta (JP All Stocks) backtest. Median Sharpe across 320 parameter sets is -0.65. p-value is 0.18. Max DD is -34.0%. Period: 2022-04-01 to 2026-09-01. Best Sharpe +0.18 is not the representative figure.

Verdict: rejected. The median reaches neither promising (Sharpe > 0.5 and p-value < 0.05) nor marginal (Sharpe > 0.05 and best p-value < 0.10). Primary reason: no_edge. It is not regime, frequency, or cost, and the median does not clear the bar.

Performance summary

Sharpe (median)
-0.65
Max DD
-34.0%
Win rate
—
Alpha (ann.)
—
p-value
0.18
backtest period: 2022-04-01 → 2026-09-01
Sharpe across 320 grid runs:median -0.65best 0.18 (not representative)worst -1.48p25–p75 -0.84–-0.38

Hypothesis

Ang, Chen, Xing (2006): downside beta commands a higher risk premium. Testing on the full Japanese stock universe.

Why it didn't work

Across 320 grid combinations, median Sharpe=-0.65, best=0.18. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.18 (p=0.7).
period 2022-04-01–2026-09-01; cost=5bps
sharpe_ratio0.18
cite ↗ /cite/downside-beta-jp-all-fact-best-sharpevia r-downside-beta-jp-all-0048
Median Sharpe across 320 grid runs is -0.65.
Full grid of 320 parameter combinations.
sharpe_ratio-0.65
cite ↗ /cite/downside-beta-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is -1.56 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1.56
cite ↗ /cite/downside-beta-jp-all-fact-regime-down
Median Sharpe in FLAT regime is -0.71 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.71
cite ↗ /cite/downside-beta-jp-all-fact-regime-flat
Median Sharpe in UP regime is -0.24 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.24
cite ↗ /cite/downside-beta-jp-all-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-downside-beta-jp-all-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.98-1.04-0.69-1.92
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-downside-beta-jp-all-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.90-0.83-0.69-1.92
formation_days=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-downside-beta-jp-all-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.11-1.22-0.80-2.06
formation_days=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-downside-beta-jp-all-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.01-0.93-0.80-2.06
formation_days=40, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-downside-beta-jp-all-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.54-0.31-0.15-2.16
formation_days=40, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-downside-beta-jp-all-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.52+0.33-0.84-2.19
formation_days=40, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-downside-beta-jp-all-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.04+0.55+0.01-1.09
formation_days=40, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False
r-downside-beta-jp-all-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.31+0.32-0.59-1.30
formation_days=40, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-downside-beta-jp-all-0048
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.18+0.94-0.08-1.58
formation_days=40, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=True
r-downside-beta-jp-all-0061
cost_bps: 5
n_stocks: 50
regime_gate: true
-0.53-0.02-0.81-1.10
formation_days=40, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-downside-beta-jp-all-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.01+0.25-0.01-0.85
formation_days=40, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False
r-downside-beta-jp-all-0076
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.85-0.44-1.13-1.02
formation_days=60, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False
r-downside-beta-jp-all-0090
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.73-0.36-0.35-2.20
formation_days=60, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False
r-downside-beta-jp-all-0104
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.30+0.78-0.49-2.67
formation_days=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False
r-downside-beta-jp-all-0118
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.04-0.22+0.78-2.43
formation_days=60, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False
r-downside-beta-jp-all-0132
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.27-0.20-0.08-1.24
formation_days=60, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False
r-downside-beta-jp-all-0146
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.55-0.10-0.62-1.57
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-downside-beta-jp-all-0160
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.01-0.35+0.48-0.88
formation_days=120, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-downside-beta-jp-all-0174
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.03-1.67+0.14-2.07
formation_days=120, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False
r-downside-beta-jp-all-0188
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.76-0.30-0.75-1.92
formation_days=120, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-downside-beta-jp-all-0202
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.86+0.08-1.08-3.91
formation_days=120, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-downside-beta-jp-all-0216
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.91+0.02-1.81-0.97
formation_days=120, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=True
r-downside-beta-jp-all-0223
cost_bps: 10
n_stocks: 50
regime_gate: true
-1.48-0.85-1.92-1.62
formation_days=120, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True
r-downside-beta-jp-all-0231
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.96-0.89-1.09-0.94
formation_days=250, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-downside-beta-jp-all-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.52-0.77+0.06-1.18
formation_days=250, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False
r-downside-beta-jp-all-0246
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.76-0.41-0.76-1.73
formation_days=250, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False
r-downside-beta-jp-all-0260
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.09+0.98-0.72-1.10
formation_days=250, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False
r-downside-beta-jp-all-0274
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.25+0.33-0.50-0.64
formation_days=250, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-downside-beta-jp-all-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.46+0.18-0.91-0.56
formation_days=250, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-downside-beta-jp-all-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.01-0.80-1.69+5.82

Target universe

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks

Related strategies

same_strategy:downside-beta-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-26T05:46:57
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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