Amihud Illiquidity Premium (US S&P 500)
slug: amihud-illiquidity-premium-us-sp500
performance summary
Sharpe (median)
+0.12
Max DD
-10.8%
Win rate
—
Alpha (ann.)
—
p-value
0.31
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 144 grid runs:median 0.12best 1.36 (not representative)worst -1.00p25–p75 -0.38–0.61
Hypothesis
Amihud (2002): illiquid stocks (high |return| per unit of trading volume) must compensate holders with higher expected returns. Ranking on the Amihud illiquidity measure tests whether the premium survives transaction costs in this universe.
Why it didn't work
Across 144 grid combinations, median Sharpe=0.12, best=1.36. Primary failure mode: regime_dependent.
Facts (5)
Best grid Sharpe ratio is 1.36 (p=0.006).
period 2022-02-01–2026-06-01; cost=5bps
cite ↗ /cite/amihud-illiquidity-premium-us-sp500-fact-best-sharpevia r-amihud-illiquidity-premium-us-sp500-0101
Median Sharpe across 144 grid runs is 0.12.
Full grid of 144 parameter combinations.
Median Sharpe in DOWN regime is -0.86 across 144 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.10 across 144 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.63 across 144 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
lookback_days=10, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-amihud-illiquidity-premium-us-sp500-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.46 | -0.53 | -0.15 | -0.99 |
lookback_days=10, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5 r-amihud-illiquidity-premium-us-sp500-0001 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.02 | +0.09 | +0.61 | -1.92 |
lookback_days=10, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20 r-amihud-illiquidity-premium-us-sp500-0002 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.83 | +1.43 | +1.02 | -1.05 |
lookback_days=10, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1 r-amihud-illiquidity-premium-us-sp500-0003 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.28 | -0.14 | -0.15 | -0.99 |
lookback_days=10, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1 r-amihud-illiquidity-premium-us-sp500-0006 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.76 | -0.84 | -0.41 | -1.36 |
lookback_days=10, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5 r-amihud-illiquidity-premium-us-sp500-0010 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.31 | +0.89 | +0.47 | -2.11 |
lookback_days=10, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5 r-amihud-illiquidity-premium-us-sp500-0016 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.40 | +1.42 | +0.15 | -1.51 |
lookback_days=10, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5 r-amihud-illiquidity-premium-us-sp500-0022 | cost_bps: 10 n_stocks: 10 regime_gate: true | +0.26 | +1.32 | -0.03 | -1.70 |
lookback_days=10, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=5 r-amihud-illiquidity-premium-us-sp500-0028 | cost_bps: 5 n_stocks: 20 regime_gate: true | +0.50 | +1.96 | -0.21 | -1.63 |
lookback_days=10, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5 r-amihud-illiquidity-premium-us-sp500-0034 | cost_bps: 10 n_stocks: 20 regime_gate: true | +0.32 | +1.83 | -0.45 | -1.87 |
lookback_days=10, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1 r-amihud-illiquidity-premium-us-sp500-0036 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.34 | -0.16 | -0.61 | -0.58 |
lookback_days=10, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=20 r-amihud-illiquidity-premium-us-sp500-0041 | cost_bps: 5 n_stocks: 50 regime_gate: true | +0.98 | +1.53 | +0.34 | +0.04 |
lookback_days=10, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1 r-amihud-illiquidity-premium-us-sp500-0042 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.00 | -0.72 | -1.58 | -1.18 |
lookback_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-amihud-illiquidity-premium-us-sp500-0048 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.52 | -0.47 | -0.84 | -0.14 |
lookback_days=20, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1 r-amihud-illiquidity-premium-us-sp500-0054 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.81 | -0.75 | -1.14 | -0.40 |
lookback_days=20, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1 r-amihud-illiquidity-premium-us-sp500-0060 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.62 | -0.30 | -1.12 | -0.62 |
lookback_days=20, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=1 r-amihud-illiquidity-premium-us-sp500-0066 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.95 | -0.64 | -1.48 | -0.87 |
lookback_days=20, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1 r-amihud-illiquidity-premium-us-sp500-0072 | cost_bps: 5 n_stocks: 20 regime_gate: false | -0.23 | +0.21 | -0.71 | -0.72 |
lookback_days=20, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=1 r-amihud-illiquidity-premium-us-sp500-0078 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.69 | -0.22 | -1.36 | -1.07 |
lookback_days=20, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1 r-amihud-illiquidity-premium-us-sp500-0084 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.34 | -0.11 | -0.54 | -0.69 |
lookback_days=20, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1 r-amihud-illiquidity-premium-us-sp500-0090 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.97 | -0.68 | -1.40 | -1.21 |
lookback_days=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-amihud-illiquidity-premium-us-sp500-0096 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.64 | -0.44 | -1.10 | -0.26 |
lookback_days=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5 r-amihud-illiquidity-premium-us-sp500-0097 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.10 | +0.39 | +0.39 | -1.20 |
lookback_days=40, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20 r-amihud-illiquidity-premium-us-sp500-0101 | cost_bps: 5 n_stocks: 5 regime_gate: true | +1.36 | +2.46 | +1.05 | -0.69 |
lookback_days=40, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20 r-amihud-illiquidity-premium-us-sp500-0104 | cost_bps: 10 n_stocks: 5 regime_gate: false | +1.04 | +1.98 | +0.98 | -0.76 |
lookback_days=40, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20 r-amihud-illiquidity-premium-us-sp500-0110 | cost_bps: 5 n_stocks: 10 regime_gate: false | +0.51 | +1.09 | +0.62 | -0.43 |
lookback_days=40, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20 r-amihud-illiquidity-premium-us-sp500-0116 | cost_bps: 10 n_stocks: 10 regime_gate: false | +0.42 | +0.99 | +0.51 | -0.49 |
lookback_days=40, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=20 r-amihud-illiquidity-premium-us-sp500-0122 | cost_bps: 5 n_stocks: 20 regime_gate: false | +0.39 | +1.14 | +0.15 | -0.65 |
lookback_days=40, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=20 r-amihud-illiquidity-premium-us-sp500-0128 | cost_bps: 10 n_stocks: 20 regime_gate: false | +0.27 | +1.01 | +0.00 | -0.75 |
lookback_days=40, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=20 r-amihud-illiquidity-premium-us-sp500-0134 | cost_bps: 5 n_stocks: 50 regime_gate: false | +0.42 | +0.69 | +0.25 | -0.01 |
Target universe
S&P 500 constituents, ~503 stocks
Related strategies
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-02T16:26:49