Skewness Anomaly (JP Growth Stocks)
slug: skewness-anomaly-jp-growth
performance summary
Sharpe (median)
-0.42
Max DD
-21.6%
Win rate
—
Alpha (ann.)
—
p-value
0.35
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 320 grid runs:median -0.42best 0.57 (not representative)worst -1.58p25–p75 -0.68–-0.14
Hypothesis
Boyer, Mitton, Vorkink (2010): stocks with high expected skewness earn lower returns as investors overpay for lottery-like payoffs. LONG lowest skew, SHORT highest skew.
Why it didn't work
Across 320 grid combinations, median Sharpe=-0.42, best=0.57. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 0.57 (p=0.24).
period 2022-02-01–2026-06-01; cost=5bps
cite ↗ /cite/skewness-anomaly-jp-growth-fact-best-sharpevia r-skewness-anomaly-jp-growth-0264
Median Sharpe across 320 grid runs is -0.42.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is 0.93 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.50 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.43 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-skewness-anomaly-jp-growth-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.25 | +0.79 | -0.68 | +3.48 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-skewness-anomaly-jp-growth-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.44 | -0.10 | -0.68 | +3.48 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-skewness-anomaly-jp-growth-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.44 | +0.55 | -0.85 | +3.09 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-skewness-anomaly-jp-growth-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.62 | -0.25 | -0.85 | +3.09 |
formation_days=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-skewness-anomaly-jp-growth-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.51 | -1.13 | -0.20 | -1.03 |
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-skewness-anomaly-jp-growth-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.18 | +1.22 | -0.79 | +1.12 |
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-skewness-anomaly-jp-growth-0032 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.24 | +1.21 | -0.74 | -1.05 |
formation_days=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-skewness-anomaly-jp-growth-0046 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.98 | -2.50 | -0.62 | -3.19 |
formation_days=20, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False r-skewness-anomaly-jp-growth-0060 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.67 | -1.10 | -0.46 | -2.40 |
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-skewness-anomaly-jp-growth-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.72 | -0.73 | -0.65 | -2.29 |
formation_days=20, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True r-skewness-anomaly-jp-growth-0075 | cost_bps: 10 n_stocks: 20 regime_gate: true | -0.79 | -2.10 | -0.66 | -0.67 |
formation_days=40, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True r-skewness-anomaly-jp-growth-0089 | cost_bps: 5 n_stocks: 20 regime_gate: true | -0.10 | -1.12 | +0.09 | +1.83 |
formation_days=40, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-skewness-anomaly-jp-growth-0103 | cost_bps: 10 n_stocks: 10 regime_gate: true | -0.13 | -0.84 | -0.13 | +3.92 |
formation_days=40, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True r-skewness-anomaly-jp-growth-0117 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.48 | -0.71 | -0.56 | +1.10 |
formation_days=40, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True r-skewness-anomaly-jp-growth-0131 | cost_bps: 10 n_stocks: 5 regime_gate: true | -1.19 | -0.16 | -1.39 | -2.28 |
formation_days=40, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=False r-skewness-anomaly-jp-growth-0134 | cost_bps: 10 n_stocks: 10 regime_gate: false | -1.58 | -1.35 | -1.59 | -2.71 |
formation_days=40, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-skewness-anomaly-jp-growth-0146 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.70 | -0.20 | -0.79 | -1.03 |
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-skewness-anomaly-jp-growth-0160 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.37 | +0.98 | +0.13 | +1.20 |
formation_days=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-skewness-anomaly-jp-growth-0174 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.68 | -0.48 | -1.10 | +1.81 |
formation_days=60, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-skewness-anomaly-jp-growth-0188 | cost_bps: 5 n_stocks: 50 regime_gate: false | +0.06 | +0.59 | -0.49 | +5.73 |
formation_days=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-skewness-anomaly-jp-growth-0202 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.43 | -0.77 | -0.44 | +1.42 |
formation_days=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-skewness-anomaly-jp-growth-0216 | cost_bps: 5 n_stocks: 20 regime_gate: false | -0.74 | +0.13 | -1.07 | -0.70 |
formation_days=60, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False r-skewness-anomaly-jp-growth-0230 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.81 | -0.63 | -0.94 | +0.43 |
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-skewness-anomaly-jp-growth-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.22 | +0.08 | -0.42 | +0.71 |
formation_days=120, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-skewness-anomaly-jp-growth-0245 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.13 | -0.27 | +0.19 | +1.62 |
formation_days=120, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True r-skewness-anomaly-jp-growth-0259 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.09 | -0.51 | -0.09 | +2.39 |
formation_days=120, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-skewness-anomaly-jp-growth-0264 | cost_bps: 5 n_stocks: 20 regime_gate: false | +0.57 | +0.33 | +0.49 | +10.32 |
formation_days=120, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-skewness-anomaly-jp-growth-0274 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.29 | -0.82 | -0.16 | +1.58 |
formation_days=120, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-skewness-anomaly-jp-growth-0288 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.35 | -0.61 | -0.48 | +5.68 |
formation_days=120, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-skewness-anomaly-jp-growth-0302 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.68 | -0.79 | -0.92 | +9.56 |
Target universe
Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-01T07:31:30