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rejectedno_edge· equity· anomaly· factor· low-volatility

Low Volatility Anomaly (US S&P 500)

slug: low-volatility-anomaly-us-sp500

Low Volatility Anomaly (US S&P 500) backtest. Median Sharpe across 315 parameter sets is -0.93. p-value is 0.04. Max DD is -58.8%. Period: 2022-02-01 to 2026-09-01. Best Sharpe -0.39 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.

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)
-0.93
Max DD
-58.8%
Win rate
—
Alpha (ann.)
—
p-value
0.04
backtest period: 2022-02-01 → 2026-09-01
Sharpe across 315 grid runs:median -0.93best -0.39 (not representative)worst -1.49p25–p75 -1.14–-0.65

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 315 grid combinations, median Sharpe=-0.93, best=-0.39. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is -0.39 (p=0.16).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio-0.39
cite ↗ /cite/low-volatility-anomaly-us-sp500-fact-best-sharpevia r-low-volatility-anomaly-us-sp500-0065
Median Sharpe across 315 grid runs is -0.93.
Full grid of 315 parameter combinations.
sharpe_ratio-0.93
cite ↗ /cite/low-volatility-anomaly-us-sp500-fact-median-sharpe
Median Sharpe in DOWN regime is -0.89 across 315 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.89
cite ↗ /cite/low-volatility-anomaly-us-sp500-fact-regime-down
Median Sharpe in FLAT regime is -1.14 across 315 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-1.14
cite ↗ /cite/low-volatility-anomaly-us-sp500-fact-regime-flat
Median Sharpe in UP regime is -0.89 across 315 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.89
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
-0.82-1.27-0.86-0.10
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
-0.51-0.55-0.86-0.10
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
-0.98-1.49-0.98-0.23
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
-0.64-0.95-0.98-0.23
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
-0.75-0.80-1.53+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
-0.60+0.22-0.99-0.56
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
-1.39-1.78-1.54-0.58
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
-0.92+0.51-1.70-0.92
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
-1.13-1.42-0.77-1.29
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
-0.39+0.66-0.85-0.51
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
-1.10-1.28-1.27-0.62
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
-0.53-0.99-0.81-0.27
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
-1.18-1.58-1.21-0.11
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
-0.71-0.45-1.33-0.32
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
-1.26-1.08-1.57-1.10
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
-0.50+0.53-0.73-0.91
vol_window=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True
r-low-volatility-anomaly-us-sp500-0151
cost_bps: 10
n_stocks: 10
vol_window: 40
-0.51+0.99-1.28-0.38
vol_window=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-us-sp500-0164
cost_bps: 5
n_stocks: 10
vol_window: 60
-0.95-1.06-0.86-0.95
vol_window=60, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True
r-low-volatility-anomaly-us-sp500-0177
cost_bps: 5
n_stocks: 5
vol_window: 60
-0.46-0.22-0.79-0.23
vol_window=60, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False
r-low-volatility-anomaly-us-sp500-0190
cost_bps: 10
n_stocks: 50
vol_window: 60
-1.18-1.57-1.31-0.29
vol_window=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True
r-low-volatility-anomaly-us-sp500-0203
cost_bps: 10
n_stocks: 20
vol_window: 60
-0.86+0.46-1.57-1.00
vol_window=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-us-sp500-0216
cost_bps: 5
n_stocks: 20
vol_window: 60
-1.19-1.53-0.69-1.49
vol_window=60, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=True
r-low-volatility-anomaly-us-sp500-0229
cost_bps: 5
n_stocks: 10
vol_window: 60
-0.52+1.01-1.04-0.77
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
-1.13-1.25-0.74-2.14
vol_window=120, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-low-volatility-anomaly-us-sp500-0243
cost_bps: 10
n_stocks: 5
vol_window: 120
-0.99-1.12-0.86-2.28
vol_window=120, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-us-sp500-0256
cost_bps: 5
n_stocks: 5
vol_window: 120
-1.01-1.35-0.58-1.02
vol_window=120, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=True
r-low-volatility-anomaly-us-sp500-0269
cost_bps: 5
n_stocks: 50
vol_window: 120
-0.62+0.03-1.00-0.76
vol_window=120, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-low-volatility-anomaly-us-sp500-0282
cost_bps: 10
n_stocks: 20
vol_window: 120
-1.48-1.36-1.61-1.50
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
-1.49-1.36-1.58-1.60
vol_window=120, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-low-volatility-anomaly-us-sp500-0296
cost_bps: 5
n_stocks: 20
vol_window: 120
-1.16-1.40-0.73-1.62

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: 2026-09-24T02:22:19
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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