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marginalregime_dependent· equity· anomaly· factor· illiquidity· liquidity

Liquidity Premium / Amihud Illiquidity (US S&P 500)

slug: liquidity-premium-us-sp500

Liquidity Premium / Amihud Illiquidity (US S&P 500) backtest. Median Sharpe across 320 parameter sets is +0.27. p-value is 0.27. Max DD is -13.3%. Period: 2022-02-01 to 2026-09-01. Best Sharpe +1.34 is not the representative figure.

Verdict: marginal. Some parameter set has a p-value under 0.10, but the median itself misses promising (Sharpe > 0.5 and p-value < 0.05). Results split across up, flat, and down markets, so the median is not stable.

Performance summary

Sharpe (median)
+0.27
Max DD
-13.3%
Win rate
—
Alpha (ann.)
—
p-value
0.27
backtest period: 2022-02-01 → 2026-09-01
Sharpe across 320 grid runs:median 0.27best 1.34 (not representative)worst -1.04p25–p75 -0.22–0.77

Hypothesis

Amihud (2002): illiquid stocks earn a premium. Applied to S&P 500 constituents.

Why it didn't work

Across 320 grid combinations, median Sharpe=0.27, best=1.34. Primary failure mode: regime_dependent.

Facts (5)

Best grid Sharpe ratio is 1.34 (p=0.0053).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio1.34
cite ↗ /cite/liquidity-premium-us-sp500-fact-best-sharpevia r-liquidity-premium-us-sp500-0053
Median Sharpe across 320 grid runs is 0.27.
Full grid of 320 parameter combinations.
sharpe_ratio0.27
cite ↗ /cite/liquidity-premium-us-sp500-fact-median-sharpe
Median Sharpe in DOWN regime is -0.82 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.82
cite ↗ /cite/liquidity-premium-us-sp500-fact-regime-down
Median Sharpe in FLAT regime is -0.35 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.35
cite ↗ /cite/liquidity-premium-us-sp500-fact-regime-flat
Median Sharpe in UP regime is 1.04 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio1.04
cite ↗ /cite/liquidity-premium-us-sp500-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-us-sp500-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.43-0.53-0.12-0.99
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-liquidity-premium-us-sp500-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.26-0.14-0.12-0.99
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-liquidity-premium-us-sp500-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.75-0.84-0.40-1.36
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-liquidity-premium-us-sp500-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.52-0.33-0.40-1.36
formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-liquidity-premium-us-sp500-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.34-0.16-0.57-0.58
formation_days=10, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-liquidity-premium-us-sp500-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.24-0.03+0.14-2.11
formation_days=10, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-us-sp500-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.19+0.82-0.38-1.25
formation_days=10, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False
r-liquidity-premium-us-sp500-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.22+0.23-0.62-0.91
formation_days=10, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True
r-liquidity-premium-us-sp500-0053
cost_bps: 5
n_stocks: 10
regime_gate: true
+1.34+2.37+1.11-0.25
formation_days=10, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=True
r-liquidity-premium-us-sp500-0061
cost_bps: 5
n_stocks: 50
regime_gate: true
+1.13+1.66+0.70+0.04
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-us-sp500-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.78+0.88+0.68+0.99
formation_days=10, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False
r-liquidity-premium-us-sp500-0076
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.60+0.95-0.18+2.35
formation_days=20, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False
r-liquidity-premium-us-sp500-0090
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.69-0.22-1.30-1.07
formation_days=20, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False
r-liquidity-premium-us-sp500-0104
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.03+0.74-0.48-1.21
formation_days=20, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False
r-liquidity-premium-us-sp500-0118
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.08+0.63-0.66-1.02
formation_days=20, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False
r-liquidity-premium-us-sp500-0132
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.80+1.24+0.98-0.16
formation_days=20, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False
r-liquidity-premium-us-sp500-0146
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.77+0.94+0.60+0.71
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-us-sp500-0160
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.47-0.44-0.59-0.26
formation_days=40, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-liquidity-premium-us-sp500-0174
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.90-0.65-1.46-0.81
formation_days=40, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False
r-liquidity-premium-us-sp500-0188
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.05+0.50-0.41-1.01
formation_days=40, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-liquidity-premium-us-sp500-0202
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.18+0.71-1.18-1.18
formation_days=40, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-liquidity-premium-us-sp500-0216
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.60+1.31+0.55-0.65
formation_days=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-liquidity-premium-us-sp500-0230
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.71+1.07+0.24+0.70
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-us-sp500-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.55-0.56-0.31-1.15
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-liquidity-premium-us-sp500-0245
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.49+0.63-0.98-2.00
formation_days=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-liquidity-premium-us-sp500-0254
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.04-0.67-1.65-1.08
formation_days=60, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False
r-liquidity-premium-us-sp500-0260
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.30+0.55-0.55-2.76
formation_days=60, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False
r-liquidity-premium-us-sp500-0274
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.11+0.93-0.87-0.76
formation_days=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-us-sp500-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.84+2.03+0.39-0.75
formation_days=60, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-liquidity-premium-us-sp500-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.25+0.67+0.38-0.96

Target universe

S&P 500 constituents, ~503 stocks

Related strategies

same_strategy:liquidity-premium-jp-allsame_strategy:liquidity-premium-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:20
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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