Downside Beta (US S&P 500)
slug: downside-beta-us-sp500
performance summary
Sharpe (median)
-1.25
Max DD
-52.3%
Win rate
—
Alpha (ann.)
—
p-value
0.01
backtest period: 2022-04-01 → 2026-06-01
Sharpe across 318 grid runs:median -1.25best -0.32 (not representative)worst -2.62p25–p75 -1.57–-1.01
Hypothesis
Ang, Chen, Xing (2006): downside beta commands a higher risk premium. Applied to S&P 500 constituents.
Why it didn't work
Across 318 grid combinations, median Sharpe=-1.25, best=-0.32. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is -0.32 (p=0.27).
period 2022-04-01–2026-06-01; cost=5bps
cite ↗ /cite/downside-beta-us-sp500-fact-best-sharpevia r-downside-beta-us-sp500-0065
Median Sharpe across 318 grid runs is -1.25.
Full grid of 318 parameter combinations.
Median Sharpe in DOWN regime is -2.01 across 318 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -1.52 across 318 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.80 across 318 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-downside-beta-us-sp500-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -1.24 | -1.18 | -1.25 | -1.30 |
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-downside-beta-us-sp500-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.99 | -0.61 | -1.25 | -1.30 |
formation_days=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-downside-beta-us-sp500-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -1.42 | -1.40 | -1.42 | -1.44 |
formation_days=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-downside-beta-us-sp500-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -1.14 | -0.83 | -1.42 | -1.44 |
formation_days=40, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-downside-beta-us-sp500-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | -1.16 | -0.78 | -1.88 | -0.87 |
formation_days=40, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-downside-beta-us-sp500-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.99 | -0.83 | -0.56 | -2.40 |
formation_days=40, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-downside-beta-us-sp500-0032 | cost_bps: 5 n_stocks: 5 regime_gate: false | -1.07 | -0.35 | -1.16 | -2.91 |
formation_days=40, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-downside-beta-us-sp500-0046 | cost_bps: 10 n_stocks: 50 regime_gate: false | -2.01 | -1.57 | -2.38 | -2.42 |
formation_days=40, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False r-downside-beta-us-sp500-0060 | cost_bps: 5 n_stocks: 50 regime_gate: false | -1.58 | -1.32 | -1.23 | -2.86 |
formation_days=40, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-downside-beta-us-sp500-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.80 | -0.74 | -0.85 | -0.84 |
formation_days=40, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-downside-beta-us-sp500-0065 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.32 | +0.60 | -0.85 | -0.84 |
formation_days=40, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False r-downside-beta-us-sp500-0076 | cost_bps: 5 n_stocks: 50 regime_gate: false | -1.25 | -1.17 | -1.23 | -1.41 |
formation_days=60, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False r-downside-beta-us-sp500-0090 | cost_bps: 10 n_stocks: 20 regime_gate: false | -1.62 | -1.41 | -1.92 | -1.44 |
formation_days=60, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-downside-beta-us-sp500-0104 | cost_bps: 5 n_stocks: 20 regime_gate: false | -1.61 | -2.38 | -1.01 | -1.66 |
formation_days=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-downside-beta-us-sp500-0118 | cost_bps: 10 n_stocks: 10 regime_gate: false | -1.82 | -1.70 | -1.88 | -2.00 |
formation_days=60, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-downside-beta-us-sp500-0132 | cost_bps: 5 n_stocks: 10 regime_gate: false | -1.61 | -2.24 | -0.67 | -2.06 |
formation_days=60, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-downside-beta-us-sp500-0146 | cost_bps: 10 n_stocks: 5 regime_gate: false | -1.08 | -1.23 | -0.96 | -0.79 |
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-downside-beta-us-sp500-0160 | cost_bps: 5 n_stocks: 5 regime_gate: false | -1.39 | -1.57 | -1.32 | -1.35 |
formation_days=120, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-downside-beta-us-sp500-0174 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.25 | -1.22 | -1.50 | -0.90 |
formation_days=120, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-downside-beta-us-sp500-0188 | cost_bps: 5 n_stocks: 50 regime_gate: false | -1.71 | -1.59 | -1.45 | -2.45 |
formation_days=120, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-downside-beta-us-sp500-0202 | cost_bps: 10 n_stocks: 20 regime_gate: false | -2.06 | -1.80 | -2.53 | -2.01 |
formation_days=120, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-downside-beta-us-sp500-0216 | cost_bps: 5 n_stocks: 20 regime_gate: false | -1.67 | -1.76 | -1.27 | -2.27 |
formation_days=120, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False r-downside-beta-us-sp500-0230 | cost_bps: 10 n_stocks: 10 regime_gate: false | -1.34 | -1.39 | -1.45 | -0.86 |
formation_days=250, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-downside-beta-us-sp500-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | -1.15 | -1.05 | -1.58 | -0.70 |
formation_days=250, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-downside-beta-us-sp500-0245 | cost_bps: 5 n_stocks: 10 regime_gate: true | -1.07 | -0.70 | -1.80 | -0.97 |
formation_days=250, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True r-downside-beta-us-sp500-0259 | cost_bps: 10 n_stocks: 5 regime_gate: true | -1.22 | -0.07 | -1.53 | -5.09 |
formation_days=250, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True r-downside-beta-us-sp500-0273 | cost_bps: 5 n_stocks: 5 regime_gate: true | -1.32 | +0.34 | -2.41 | -2.59 |
formation_days=250, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-downside-beta-us-sp500-0278 | cost_bps: 10 n_stocks: 10 regime_gate: false | -2.62 | -2.31 | -3.10 | -2.69 |
formation_days=250, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-downside-beta-us-sp500-0288 | cost_bps: 5 n_stocks: 5 regime_gate: false | -1.93 | -2.16 | -1.42 | -2.85 |
formation_days=250, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-downside-beta-us-sp500-0302 | cost_bps: 10 n_stocks: 50 regime_gate: false | -2.06 | -2.11 | -1.74 | -2.51 |
Target universe
S&P 500 constituents, ~503 stocks
Related strategies
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-31T01:31:49