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rejectedno_edge· equity· anomaly· factor· low-volatility

Low Volatility Anomaly (US S&P 500)

slug: low-volatility-anomaly-us-sp500
performance summary
Sharpe (median)
-1.00
Max DD
-58.9%
Win rate
—
Alpha (ann.)
—
p-value
0.04
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 316 grid runs:median -1.00best -0.31 (not representative)worst -1.80p25–p75 -1.20–-0.69

Hypothesis

Baker, Bradley, Wurgler (2011): low-volatility stocks earn higher risk-adjusted returns. Applied to S&P 500 constituents.

Why it didn't work

Across 316 grid combinations, median Sharpe=-1.00, best=-0.31. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is -0.31 (p=0.28).
period 2022-02-01–2026-06-01; cost=5bps
sharpe_ratio-0.31
cite ↗ /cite/low-volatility-anomaly-us-sp500-fact-best-sharpevia r-low-volatility-anomaly-us-sp500-0065
Median Sharpe across 316 grid runs is -1.00.
Full grid of 316 parameter combinations.
sharpe_ratio-1
cite ↗ /cite/low-volatility-anomaly-us-sp500-fact-median-sharpe
Median Sharpe in DOWN regime is -0.85 across 316 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.85
cite ↗ /cite/low-volatility-anomaly-us-sp500-fact-regime-down
Median Sharpe in FLAT regime is -1.26 across 316 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-1.26
cite ↗ /cite/low-volatility-anomaly-us-sp500-fact-regime-flat
Median Sharpe in UP regime is -0.95 across 316 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.95
cite ↗ /cite/low-volatility-anomaly-us-sp500-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-us-sp500-0000
cost_bps: 5
n_stocks: 5
vol_window: 20
-0.95-1.27-1.18-0.10
vol_window=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-low-volatility-anomaly-us-sp500-0001
cost_bps: 5
n_stocks: 5
vol_window: 20
-0.63-0.55-1.18-0.10
vol_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-low-volatility-anomaly-us-sp500-0002
cost_bps: 10
n_stocks: 5
vol_window: 20
-1.10-1.49-1.30-0.23
vol_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-low-volatility-anomaly-us-sp500-0003
cost_bps: 10
n_stocks: 5
vol_window: 20
-0.76-0.95-1.30-0.23
vol_window=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-us-sp500-0012
cost_bps: 5
n_stocks: 50
vol_window: 20
-0.75-0.80-1.65+0.26
vol_window=20, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True
r-low-volatility-anomaly-us-sp500-0017
cost_bps: 5
n_stocks: 5
vol_window: 20
-0.69+0.22-1.25-0.56
vol_window=20, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False
r-low-volatility-anomaly-us-sp500-0030
cost_bps: 10
n_stocks: 50
vol_window: 20
-1.43-1.78-1.67-0.58
vol_window=20, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True
r-low-volatility-anomaly-us-sp500-0043
cost_bps: 10
n_stocks: 20
vol_window: 20
-1.12+0.37-2.36-0.92
vol_window=20, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-us-sp500-0056
cost_bps: 5
n_stocks: 20
vol_window: 20
-1.34-1.62-1.09-1.29
vol_window=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True
r-low-volatility-anomaly-us-sp500-0065
cost_bps: 5
n_stocks: 5
vol_window: 20
-0.31+0.68-0.85-0.16
vol_window=20, holding_days=60, n_stocks=20, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-us-sp500-0072
cost_bps: 5
n_stocks: 20
vol_window: 20
-1.14-1.48-1.27-0.23
vol_window=40, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-low-volatility-anomaly-us-sp500-0085
cost_bps: 5
n_stocks: 10
vol_window: 40
-0.64-0.99-1.11-0.27
vol_window=40, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-low-volatility-anomaly-us-sp500-0098
cost_bps: 10
n_stocks: 5
vol_window: 40
-1.19-1.58-1.25-0.11
vol_window=40, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=True
r-low-volatility-anomaly-us-sp500-0111
cost_bps: 10
n_stocks: 50
vol_window: 40
-0.67-0.45-1.26-0.32
vol_window=40, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-us-sp500-0124
cost_bps: 5
n_stocks: 50
vol_window: 40
-1.54-1.58-1.93-1.10
vol_window=40, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True
r-low-volatility-anomaly-us-sp500-0137
cost_bps: 5
n_stocks: 20
vol_window: 40
-0.64+0.35-1.01-0.91
vol_window=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-low-volatility-anomaly-us-sp500-0150
cost_bps: 10
n_stocks: 10
vol_window: 40
-1.09-1.42-1.28+0.01
vol_window=60, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-low-volatility-anomaly-us-sp500-0163
cost_bps: 10
n_stocks: 5
vol_window: 60
-0.75-1.04-1.10-0.63
vol_window=60, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-us-sp500-0176
cost_bps: 5
n_stocks: 5
vol_window: 60
-0.93-1.29-0.85-0.23
vol_window=60, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=True
r-low-volatility-anomaly-us-sp500-0189
cost_bps: 5
n_stocks: 50
vol_window: 60
-0.51-0.08-1.15-0.18
vol_window=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-low-volatility-anomaly-us-sp500-0202
cost_bps: 10
n_stocks: 20
vol_window: 60
-1.65-1.90-1.96-1.00
vol_window=60, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True
r-low-volatility-anomaly-us-sp500-0215
cost_bps: 10
n_stocks: 10
vol_window: 60
-0.68+0.42-0.83-1.46
vol_window=60, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-us-sp500-0228
cost_bps: 5
n_stocks: 10
vol_window: 60
-1.07-1.28-1.04-0.41
vol_window=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-us-sp500-0240
cost_bps: 5
n_stocks: 5
vol_window: 120
-1.20-1.25-0.85-2.14
vol_window=120, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-low-volatility-anomaly-us-sp500-0242
cost_bps: 10
n_stocks: 5
vol_window: 120
-1.35-1.46-0.96-2.28
vol_window=120, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=True
r-low-volatility-anomaly-us-sp500-0255
cost_bps: 10
n_stocks: 50
vol_window: 120
-1.26-0.86-1.58-1.84
vol_window=120, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-us-sp500-0268
cost_bps: 5
n_stocks: 50
vol_window: 120
-1.17-1.41-1.04-0.76
vol_window=120, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=True
r-low-volatility-anomaly-us-sp500-0281
cost_bps: 5
n_stocks: 20
vol_window: 120
-1.09+0.32-1.96-1.44
vol_window=120, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False
r-low-volatility-anomaly-us-sp500-0286
cost_bps: 10
n_stocks: 50
vol_window: 120
-1.80-1.80-1.98-1.60
vol_window=120, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True
r-low-volatility-anomaly-us-sp500-0295
cost_bps: 10
n_stocks: 10
vol_window: 120
-0.73+0.36-0.97-1.47

Target universe

S&P 500 constituents, ~503 stocks

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same_strategy:low-volatility-anomaly-jp-allsame_strategy:low-volatility-anomaly-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-31T01:31:48
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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