Low Volatility Anomaly (JP All Stocks)
slug: low-volatility-anomaly-jp-all
performance summary
Sharpe (median)
-0.17
Max DD
-22.9%
Win rate
—
Alpha (ann.)
—
p-value
0.48
backtest period: 2022-02-01 → 2026-02-02
Sharpe across 160 grid runs:median -0.17best 0.91 (not representative)worst -0.98p25–p75 -0.40–0.14
Hypothesis
Baker, Bradley, Wurgler (2011): low-volatility stocks earn higher risk-adjusted returns. Testing on the full Japanese stock universe.
Why it didn't work
Across 160 grid combinations, median Sharpe=-0.17, best=0.91. Primary failure mode: regime_dependent.
Facts (5)
Best grid Sharpe ratio is 0.91 (p=0.071).
period 2022-02-01–2026-02-02; cost=5bps
cite ↗ /cite/low-volatility-anomaly-jp-all-fact-best-sharpevia r-low-volatility-anomaly-jp-all-0097
Median Sharpe across 160 grid runs is -0.17.
Full grid of 160 parameter combinations.
Median Sharpe in DOWN regime is -1.38 across 160 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is 0.08 across 160 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.20 across 160 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
vol_window=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0000 | cost_bps: 5 n_stocks: 5 vol_window: 20 | -0.29 | -2.05 | +0.32 | +0.38 |
vol_window=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-low-volatility-anomaly-jp-all-0001 | cost_bps: 5 n_stocks: 5 vol_window: 20 | +0.11 | -1.34 | +0.32 | +0.38 |
vol_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-all-0002 | cost_bps: 10 n_stocks: 5 vol_window: 20 | -0.51 | -2.23 | +0.07 | +0.13 |
vol_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-low-volatility-anomaly-jp-all-0003 | cost_bps: 10 n_stocks: 5 vol_window: 20 | -0.13 | -1.56 | +0.07 | +0.13 |
vol_window=20, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0004 | cost_bps: 5 n_stocks: 10 vol_window: 20 | -0.48 | -2.08 | -0.03 | -0.73 |
vol_window=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-all-0018 | cost_bps: 10 n_stocks: 5 vol_window: 20 | -0.29 | -1.51 | +0.28 | +0.44 |
vol_window=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0032 | cost_bps: 5 n_stocks: 5 vol_window: 20 | +0.21 | -0.42 | +0.72 | -4.23 |
vol_window=20, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-all-0038 | cost_bps: 10 n_stocks: 10 vol_window: 20 | +0.10 | -0.87 | +0.74 | -3.79 |
vol_window=20, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0052 | cost_bps: 5 n_stocks: 10 vol_window: 20 | -0.06 | -1.15 | +0.31 | -1.55 |
vol_window=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0064 | cost_bps: 5 n_stocks: 5 vol_window: 20 | +0.10 | +0.54 | +0.16 | -2.46 |
vol_window=20, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True r-low-volatility-anomaly-jp-all-0067 | cost_bps: 10 n_stocks: 5 vol_window: 20 | +0.07 | +0.72 | +0.13 | -2.49 |
vol_window=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-low-volatility-anomaly-jp-all-0081 | cost_bps: 5 n_stocks: 5 vol_window: 40 | +0.75 | -0.68 | +0.96 | +0.76 |
vol_window=40, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True r-low-volatility-anomaly-jp-all-0087 | cost_bps: 10 n_stocks: 10 vol_window: 40 | -0.17 | -1.32 | +0.14 | -0.16 |
vol_window=40, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True r-low-volatility-anomaly-jp-all-0097 | cost_bps: 5 n_stocks: 5 vol_window: 40 | +0.91 | +1.69 | +0.82 | +0.68 |
vol_window=40, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-all-0102 | cost_bps: 10 n_stocks: 10 vol_window: 40 | -0.52 | -2.19 | +0.00 | +1.11 |
vol_window=40, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0116 | cost_bps: 5 n_stocks: 10 vol_window: 40 | +0.05 | -0.81 | +0.35 | -0.52 |
vol_window=40, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-all-0130 | cost_bps: 10 n_stocks: 5 vol_window: 40 | +0.13 | -0.76 | +0.52 | -1.89 |
vol_window=40, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0144 | cost_bps: 5 n_stocks: 5 vol_window: 40 | -0.08 | +1.08 | -0.24 | -5.30 |
vol_window=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-all-0150 | cost_bps: 10 n_stocks: 10 vol_window: 40 | -0.42 | +0.15 | -0.49 | -1.25 |
vol_window=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0164 | cost_bps: 5 n_stocks: 10 vol_window: 60 | -0.08 | -2.22 | +0.77 | -0.03 |
vol_window=60, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-all-0178 | cost_bps: 10 n_stocks: 5 vol_window: 60 | -0.22 | -1.08 | +0.24 | +0.50 |
vol_window=60, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0192 | cost_bps: 5 n_stocks: 5 vol_window: 60 | -0.28 | -0.52 | -0.04 | -2.47 |
vol_window=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-all-0198 | cost_bps: 10 n_stocks: 10 vol_window: 60 | -0.48 | -0.63 | -0.31 | -2.32 |
vol_window=60, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0212 | cost_bps: 5 n_stocks: 10 vol_window: 60 | -0.29 | -0.60 | -0.11 | -2.52 |
vol_window=60, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-all-0226 | cost_bps: 10 n_stocks: 5 vol_window: 60 | -0.03 | +1.54 | -0.24 | -8.33 |
vol_window=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0240 | cost_bps: 5 n_stocks: 5 vol_window: 120 | -0.12 | -1.44 | +0.42 | +1.53 |
vol_window=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-low-volatility-anomaly-jp-all-0241 | cost_bps: 5 n_stocks: 5 vol_window: 120 | +0.43 | +0.17 | +0.42 | +1.53 |
vol_window=120, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True r-low-volatility-anomaly-jp-all-0247 | cost_bps: 10 n_stocks: 10 vol_window: 120 | +0.10 | -1.18 | +0.30 | +2.18 |
vol_window=120, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True r-low-volatility-anomaly-jp-all-0261 | cost_bps: 5 n_stocks: 10 vol_window: 120 | 0.00 | +0.51 | -0.11 | -0.06 |
vol_window=120, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-all-0290 | cost_bps: 10 n_stocks: 5 vol_window: 120 | -0.98 | -0.63 | -1.00 | -2.19 |
Target universe
Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks
Related strategies
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-30T01:21:32