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rejectedregime_dependent· equity· anomaly· beta· downside-risk· factor

Downside Beta (JP Growth Stocks)

slug: downside-beta-jp-growth
performance summary
Sharpe (median)
-0.27
Max DD
-17.2%
Win rate
—
Alpha (ann.)
—
p-value
0.53
backtest period: 2023-07-03 → 2026-06-01
Sharpe across 320 grid runs:median -0.27best 1.18 (not representative)worst -1.50p25–p75 -0.49–0.01

Hypothesis

Ang, Chen, Xing (2006): downside beta (beta on market-down days only) commands a higher risk premium. Stocks with high downside beta earn lower returns. LONG lowest downside beta, SHORT highest.

Why it didn't work

Across 320 grid combinations, median Sharpe=-0.27, best=1.18. Primary failure mode: regime_dependent.

Facts (7)

Average monthly return correlation with other strategies in DOWN regime: 0.17
Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
correlation0.17
cite ↗ /cite/downside-beta-jp-growth-fact-avg-corr-down
Average monthly return correlation with other strategies (full period): 0.02
Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
correlation0.02
cite ↗ /cite/downside-beta-jp-growth-fact-avg-corr-full
Best grid Sharpe ratio is 1.18 (p=0.05).
period 2023-07-03–2026-06-01; cost=5bps
sharpe_ratio1.18
cite ↗ /cite/downside-beta-jp-growth-fact-best-sharpevia r-downside-beta-jp-growth-0193
Median Sharpe across 320 grid runs is -0.27.
Full grid of 320 parameter combinations.
sharpe_ratio-0.27
cite ↗ /cite/downside-beta-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is -1.94 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1.94
cite ↗ /cite/downside-beta-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is 0.30 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.30
cite ↗ /cite/downside-beta-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.79 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.79
cite ↗ /cite/downside-beta-jp-growth-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-downside-beta-jp-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.58-1.07-0.12-7.92
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-downside-beta-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.71-1.25-0.12-7.92
formation_days=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-downside-beta-jp-growth-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.72-1.25-0.24-8.46
formation_days=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-downside-beta-jp-growth-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.82-1.31-0.24-8.46
formation_days=40, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-downside-beta-jp-growth-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.60-0.54-0.04-5.41
formation_days=40, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-downside-beta-jp-growth-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.05+0.07+0.13-316.53
formation_days=40, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-downside-beta-jp-growth-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.47-0.12+1.22-3.05
formation_days=40, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False
r-downside-beta-jp-growth-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.42-1.23-1.37-3.50
formation_days=40, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False
r-downside-beta-jp-growth-0060
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.63-0.38-0.57-2.86
formation_days=40, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-downside-beta-jp-growth-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.06-0.16-0.30+5.03
formation_days=40, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True
r-downside-beta-jp-growth-0075
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.61-1.44-0.46+0.64
formation_days=60, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True
r-downside-beta-jp-growth-0089
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.20-0.40+0.79-4.62
formation_days=60, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True
r-downside-beta-jp-growth-0103
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.58-0.37+0.14-4.30
formation_days=60, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True
r-downside-beta-jp-growth-0117
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.21+0.17+0.30-6.85
formation_days=60, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True
r-downside-beta-jp-growth-0131
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.28-1.10+0.02+0.28
formation_days=60, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True
r-downside-beta-jp-growth-0145
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.25-1.30-0.03+2.77
formation_days=60, holding_days=60, n_stocks=50, cost_bps=10, regime_gate=True
r-downside-beta-jp-growth-0159
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.82-1.32-0.44-1.11
formation_days=120, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=True
r-downside-beta-jp-growth-0173
cost_bps: 5
n_stocks: 50
regime_gate: true
-0.05-0.75+1.17-3.29
formation_days=120, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True
r-downside-beta-jp-growth-0187
cost_bps: 10
n_stocks: 20
regime_gate: true
0.00-1.34+1.63-3.43
formation_days=120, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False
r-downside-beta-jp-growth-0190
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.50-3.31-0.25-2.21
formation_days=120, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-downside-beta-jp-growth-0193
cost_bps: 5
n_stocks: 5
regime_gate: true
+1.18-0.11+3.22-4.00
formation_days=120, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True
r-downside-beta-jp-growth-0203
cost_bps: 10
n_stocks: 20
regime_gate: true
+0.10-0.61+1.11-1.70
formation_days=120, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True
r-downside-beta-jp-growth-0217
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.53-1.19+0.08-1.35
formation_days=120, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True
r-downside-beta-jp-growth-0231
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.04-2.45+0.27+1.83
formation_days=250, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-downside-beta-jp-growth-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.04-2.16+0.74+0.22
formation_days=250, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False
r-downside-beta-jp-growth-0246
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.73-3.26+0.58-1.09
formation_days=250, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False
r-downside-beta-jp-growth-0260
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.27-2.50+1.11-0.69
formation_days=250, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False
r-downside-beta-jp-growth-0274
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.32-0.96+1.15-1.00
formation_days=250, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-downside-beta-jp-growth-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.32-1.50+0.38+0.57
formation_days=250, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-downside-beta-jp-growth-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.25-1.75-0.91-0.70

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: 2026-07-31T01:32:30
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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