qbuntuqbuntu
marginalno_edge· equity· anomaly· factor· low-volatility

Low Volatility Anomaly (JP All Stocks)

slug: low-volatility-anomaly-jp-all

Low Volatility Anomaly (JP All Stocks) backtest. Median Sharpe across 320 parameter sets is +0.38. p-value is 0.32. Max DD is -23.0%. Period: 2022-02-01 to 2026-09-01. Best Sharpe +1.68 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). Primary reason: no_edge. It is not regime, frequency, or cost, and the median does not clear the bar.

What was tested

The low-volatility anomaly claims that quieter stocks have better risk-adjusted returns. These runs hold the low-volatility names. The result often splits by market regime. A negative median, or a regime_dependent reason, is not evidence that low risk is safe.

Performance summary

Sharpe (median)
+0.38
Max DD
-23.0%
Win rate
—
Alpha (ann.)
—
p-value
0.32
backtest period: 2022-02-01 → 2026-09-01
Sharpe across 320 grid runs:median 0.38best 1.68 (not representative)worst -0.60p25–p75 0.13–0.64

Hypothesis

Baker, Bradley, Wurgler (2011): low-volatility stocks earn higher risk-adjusted returns. Testing on the full Japanese stock universe.

Why it didn't work

Across 320 grid combinations, median Sharpe=0.38, best=1.68. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 1.68 (p=0.00053).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio1.68
cite ↗ /cite/low-volatility-anomaly-jp-all-fact-best-sharpevia r-low-volatility-anomaly-jp-all-0004
Median Sharpe across 320 grid runs is 0.38.
Full grid of 320 parameter combinations.
sharpe_ratio0.38
cite ↗ /cite/low-volatility-anomaly-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is -0.45 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.45
cite ↗ /cite/low-volatility-anomaly-jp-all-fact-regime-down
Median Sharpe in FLAT regime is 0.35 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.35
cite ↗ /cite/low-volatility-anomaly-jp-all-fact-regime-flat
Median Sharpe in UP regime is 0.94 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.94
cite ↗ /cite/low-volatility-anomaly-jp-all-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
vol_window=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-jp-all-0000
cost_bps: 5
n_stocks: 5
vol_window: 20
+1.61+0.96+2.14+2.15
vol_window=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-low-volatility-anomaly-jp-all-0001
cost_bps: 5
n_stocks: 5
vol_window: 20
+1.43-1.57+2.14+2.15
vol_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-low-volatility-anomaly-jp-all-0002
cost_bps: 10
n_stocks: 5
vol_window: 20
+1.48+0.83+2.02+1.92
vol_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-low-volatility-anomaly-jp-all-0003
cost_bps: 10
n_stocks: 5
vol_window: 20
+1.30-2.30+2.02+1.92
vol_window=20, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-jp-all-0004
cost_bps: 5
n_stocks: 10
vol_window: 20
+1.68+1.00+2.70+0.82
vol_window=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-jp-all-0012
cost_bps: 5
n_stocks: 50
vol_window: 20
+0.68+0.21+1.33-0.02
vol_window=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-low-volatility-anomaly-jp-all-0019
cost_bps: 10
n_stocks: 5
vol_window: 20
+0.36-0.19+0.38+0.77
vol_window=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-low-volatility-anomaly-jp-all-0033
cost_bps: 5
n_stocks: 5
vol_window: 20
+0.28-0.36+0.21+0.85
vol_window=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True
r-low-volatility-anomaly-jp-all-0047
cost_bps: 10
n_stocks: 50
vol_window: 20
-0.15+1.48-0.44-0.01
vol_window=20, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=True
r-low-volatility-anomaly-jp-all-0061
cost_bps: 5
n_stocks: 50
vol_window: 20
+0.41+2.55+0.32-0.31
vol_window=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-jp-all-0064
cost_bps: 5
n_stocks: 5
vol_window: 20
+0.32+1.51+0.06-0.43
vol_window=20, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-jp-all-0076
cost_bps: 5
n_stocks: 50
vol_window: 20
+0.38+1.21-0.03+0.15
vol_window=40, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False
r-low-volatility-anomaly-jp-all-0090
cost_bps: 10
n_stocks: 20
vol_window: 40
+0.79+0.23+1.41+0.28
vol_window=40, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-jp-all-0104
cost_bps: 5
n_stocks: 20
vol_window: 40
+0.71+1.19+0.41+0.33
vol_window=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False
r-low-volatility-anomaly-jp-all-0118
cost_bps: 10
n_stocks: 10
vol_window: 40
+0.21+1.10-0.18-1.36
vol_window=40, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-jp-all-0132
cost_bps: 5
n_stocks: 10
vol_window: 40
+0.69+1.74+0.20-0.39
vol_window=40, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False
r-low-volatility-anomaly-jp-all-0146
cost_bps: 10
n_stocks: 5
vol_window: 40
+0.27+0.62+0.50-1.09
vol_window=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-jp-all-0160
cost_bps: 5
n_stocks: 5
vol_window: 60
+0.72+0.15+1.58-0.25
vol_window=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-low-volatility-anomaly-jp-all-0174
cost_bps: 10
n_stocks: 50
vol_window: 60
+0.30-0.57+1.12+0.00
vol_window=60, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-jp-all-0188
cost_bps: 5
n_stocks: 50
vol_window: 60
+0.37+0.17+0.56+0.34
vol_window=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-low-volatility-anomaly-jp-all-0202
cost_bps: 10
n_stocks: 20
vol_window: 60
0.00+0.88-0.45-0.69
vol_window=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-jp-all-0216
cost_bps: 5
n_stocks: 20
vol_window: 60
+0.53+1.23+0.29-0.94
vol_window=60, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-low-volatility-anomaly-jp-all-0230
cost_bps: 10
n_stocks: 10
vol_window: 60
+0.28+1.31+0.08-0.87
vol_window=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-jp-all-0240
cost_bps: 5
n_stocks: 5
vol_window: 120
+0.56-0.02+1.04+0.22
vol_window=120, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-low-volatility-anomaly-jp-all-0245
cost_bps: 5
n_stocks: 10
vol_window: 120
+0.73-1.07+1.63-0.65
vol_window=120, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-low-volatility-anomaly-jp-all-0259
cost_bps: 10
n_stocks: 5
vol_window: 120
+0.15-0.11+0.46-0.84
vol_window=120, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-low-volatility-anomaly-jp-all-0273
cost_bps: 5
n_stocks: 5
vol_window: 120
-0.57+0.54-0.57-2.06
vol_window=120, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=True
r-low-volatility-anomaly-jp-all-0275
cost_bps: 10
n_stocks: 5
vol_window: 120
-0.60+0.16-0.60-2.13
vol_window=120, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-jp-all-0288
cost_bps: 5
n_stocks: 5
vol_window: 120
+0.27+2.31-0.30-1.75
vol_window=120, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-low-volatility-anomaly-jp-all-0302
cost_bps: 10
n_stocks: 50
vol_window: 120
+0.55+1.55-0.00-1.43

Target universe

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

Related strategies

same_strategy:low-volatility-anomaly-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

Related strategies