qbuntuqbuntu
rejectedno_edge· equity· anomaly· factor· idiosyncratic-volatility

Idiosyncratic Volatility (US S&P 500)

slug: idiosyncratic-vol-us-sp500

Idiosyncratic Volatility (US S&P 500) backtest. Median Sharpe across 315 parameter sets is -0.89. p-value is 0.05. Max DD is -48.2%. Period: 2022-02-01 to 2026-06-01. 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)
-0.89
Max DD
-48.2%
Win rate
—
Alpha (ann.)
—
p-value
0.05
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 315 grid runs:median -0.89best -0.18 (not representative)worst -1.72p25–p75 -1.15–-0.61

Hypothesis

Ang, Hodrick, Xing, Zhang (2006): stocks with high idiosyncratic volatility earn lower returns. Applied to S&P 500 constituents.

Why it didn't work

Across 315 grid combinations, median Sharpe=-0.89, best=-0.18. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is -0.18 (p=0.52).
period 2022-02-01–2026-06-01; cost=5bps
sharpe_ratio-0.18
cite ↗ /cite/idiosyncratic-vol-us-sp500-fact-best-sharpevia r-idiosyncratic-vol-us-sp500-0065
Median Sharpe across 315 grid runs is -0.89.
Full grid of 315 parameter combinations.
sharpe_ratio-0.89
cite ↗ /cite/idiosyncratic-vol-us-sp500-fact-median-sharpe
Median Sharpe in DOWN regime is -0.83 across 315 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.83
cite ↗ /cite/idiosyncratic-vol-us-sp500-fact-regime-down
Median Sharpe in FLAT regime is -1.17 across 315 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-1.17
cite ↗ /cite/idiosyncratic-vol-us-sp500-fact-regime-flat
Median Sharpe in UP regime is -0.70 across 315 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.70
cite ↗ /cite/idiosyncratic-vol-us-sp500-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
estimation_window=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-idiosyncratic-vol-us-sp500-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.07-1.56-0.92-0.33
estimation_window=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-idiosyncratic-vol-us-sp500-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.58-0.51-0.92-0.33
estimation_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-idiosyncratic-vol-us-sp500-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.25-1.77-1.06-0.49
estimation_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-idiosyncratic-vol-us-sp500-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.74-0.84-1.06-0.49
estimation_window=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-idiosyncratic-vol-us-sp500-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.85-0.48-2.04+0.08
estimation_window=20, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True
r-idiosyncratic-vol-us-sp500-0017
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.48-0.22-0.94-0.06
estimation_window=20, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False
r-idiosyncratic-vol-us-sp500-0030
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.34-1.33-2.11-0.26
estimation_window=20, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-idiosyncratic-vol-us-sp500-0042
cost_bps: 10
n_stocks: 20
regime_gate: false
-1.72-1.16-2.63-1.60
estimation_window=20, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=False
r-idiosyncratic-vol-us-sp500-0044
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.51-0.79-2.90-1.40
estimation_window=20, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True
r-idiosyncratic-vol-us-sp500-0057
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.56+1.06-0.99-1.78
estimation_window=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True
r-idiosyncratic-vol-us-sp500-0065
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.18+1.11-0.57-0.27
estimation_window=20, holding_days=60, n_stocks=20, cost_bps=5, regime_gate=True
r-idiosyncratic-vol-us-sp500-0073
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.39+1.13-1.36-0.69
estimation_window=40, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False
r-idiosyncratic-vol-us-sp500-0086
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.98-1.03-1.11-0.77
estimation_window=40, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-idiosyncratic-vol-us-sp500-0099
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.50+0.01-1.15+0.01
estimation_window=40, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-idiosyncratic-vol-us-sp500-0112
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.17-1.20-1.36-0.67
estimation_window=40, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=True
r-idiosyncratic-vol-us-sp500-0125
cost_bps: 5
n_stocks: 50
regime_gate: true
-0.70+0.56-1.58-1.10
estimation_window=40, holding_days=20, n_stocks=20, cost_bps=10, regime_gate=False
r-idiosyncratic-vol-us-sp500-0138
cost_bps: 10
n_stocks: 20
regime_gate: false
-1.28-1.51-0.91-1.74
estimation_window=40, holding_days=60, n_stocks=20, cost_bps=5, regime_gate=False
r-idiosyncratic-vol-us-sp500-0152
cost_bps: 5
n_stocks: 20
regime_gate: false
-1.17-1.28-1.37-0.71
estimation_window=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-idiosyncratic-vol-us-sp500-0165
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.66+0.24-0.99-0.92
estimation_window=60, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-idiosyncratic-vol-us-sp500-0178
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.86-1.22-0.74-0.14
estimation_window=60, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=True
r-idiosyncratic-vol-us-sp500-0191
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.53+0.34-1.47-0.18
estimation_window=60, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=False
r-idiosyncratic-vol-us-sp500-0204
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.15-0.89-1.40-1.21
estimation_window=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True
r-idiosyncratic-vol-us-sp500-0217
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.52+0.99-0.71-1.57
estimation_window=60, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-idiosyncratic-vol-us-sp500-0230
cost_bps: 10
n_stocks: 10
regime_gate: false
-1.15-1.18-1.25-0.88
estimation_window=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-idiosyncratic-vol-us-sp500-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.33-1.45-0.95-2.43
estimation_window=120, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False
r-idiosyncratic-vol-us-sp500-0244
cost_bps: 5
n_stocks: 10
regime_gate: false
-1.28-1.09-1.17-2.13
estimation_window=120, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True
r-idiosyncratic-vol-us-sp500-0257
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.48-0.39-0.47-0.95
estimation_window=120, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False
r-idiosyncratic-vol-us-sp500-0270
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.23-1.34-1.31-0.63
estimation_window=120, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True
r-idiosyncratic-vol-us-sp500-0283
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.89+0.30-1.35-1.52
estimation_window=120, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-idiosyncratic-vol-us-sp500-0296
cost_bps: 5
n_stocks: 20
regime_gate: false
-1.15-1.49-0.66-1.45

Target universe

S&P 500 constituents, ~503 stocks

Related strategies

same_strategy:idiosyncratic-vol-jp-allsame_strategy:idiosyncratic-vol-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:19
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

Related strategies