Low Volatility Anomaly (JP Growth Stocks)
slug: low-volatility-anomaly-jp-growth
performance summary
Sharpe (median)
+0.15
Max DD
-23.6%
Win rate
—
Alpha (ann.)
—
p-value
0.44
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 320 grid runs:median 0.15best 2.22 (not representative)worst -0.95p25–p75 -0.15–0.56
Hypothesis
Baker, Bradley, Wurgler (2011): low-volatility stocks earn higher risk-adjusted returns. LONG lowest realized vol quintile, SHORT highest. Tests whether the low-vol anomaly holds in TSE Growth Market.
Why it didn't work
Across 320 grid combinations, median Sharpe=0.15, best=2.22. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 2.22 (p=1.8e-05).
period 2022-02-01–2026-06-01; cost=5bps
cite ↗ /cite/low-volatility-anomaly-jp-growth-fact-best-sharpevia r-low-volatility-anomaly-jp-growth-0000
Median Sharpe across 320 grid runs is 0.15.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is 0.36 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is 0.28 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.48 across 320 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-growth-0000 | cost_bps: 5 n_stocks: 5 vol_window: 20 | +2.22 | +1.26 | +2.54 | +7.18 |
vol_window=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-low-volatility-anomaly-jp-growth-0001 | cost_bps: 5 n_stocks: 5 vol_window: 20 | +2.02 | -1.73 | +2.54 | +7.18 |
vol_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-growth-0002 | cost_bps: 10 n_stocks: 5 vol_window: 20 | +2.06 | +1.15 | +2.36 | +6.96 |
vol_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-low-volatility-anomaly-jp-growth-0003 | cost_bps: 10 n_stocks: 5 vol_window: 20 | +1.87 | -2.05 | +2.36 | +6.96 |
vol_window=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-growth-0012 | cost_bps: 5 n_stocks: 50 vol_window: 20 | +0.92 | +0.33 | +1.03 | +2.41 |
vol_window=20, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True r-low-volatility-anomaly-jp-growth-0017 | cost_bps: 5 n_stocks: 5 vol_window: 20 | +0.79 | -0.31 | +0.71 | +8.82 |
vol_window=20, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-growth-0030 | cost_bps: 10 n_stocks: 50 vol_window: 20 | +0.25 | -0.39 | +0.61 | -0.43 |
vol_window=20, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True r-low-volatility-anomaly-jp-growth-0043 | cost_bps: 10 n_stocks: 20 vol_window: 20 | +0.04 | -0.49 | +0.07 | +1.17 |
vol_window=20, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-growth-0056 | cost_bps: 5 n_stocks: 20 vol_window: 20 | +0.23 | -1.13 | +0.67 | +0.60 |
vol_window=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-growth-0064 | cost_bps: 5 n_stocks: 5 vol_window: 20 | +0.55 | +2.26 | +0.34 | -2.70 |
vol_window=20, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-growth-0070 | cost_bps: 10 n_stocks: 10 vol_window: 20 | +0.18 | +0.80 | +0.08 | -0.08 |
vol_window=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-low-volatility-anomaly-jp-growth-0083 | cost_bps: 10 n_stocks: 5 vol_window: 40 | +1.12 | -2.35 | +1.44 | +3.10 |
vol_window=40, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-growth-0096 | cost_bps: 5 n_stocks: 5 vol_window: 40 | +0.59 | -0.20 | +0.99 | +36.94 |
vol_window=40, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=True r-low-volatility-anomaly-jp-growth-0109 | cost_bps: 5 n_stocks: 50 vol_window: 40 | +0.50 | -0.40 | +0.70 | +0.81 |
vol_window=40, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-growth-0122 | cost_bps: 10 n_stocks: 20 vol_window: 40 | -0.20 | -1.05 | +0.02 | +0.01 |
vol_window=40, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True r-low-volatility-anomaly-jp-growth-0135 | cost_bps: 10 n_stocks: 10 vol_window: 40 | -0.19 | -0.71 | -0.19 | +0.13 |
vol_window=40, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-growth-0148 | cost_bps: 5 n_stocks: 10 vol_window: 40 | -0.06 | +0.59 | -0.20 | +1.05 |
vol_window=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-low-volatility-anomaly-jp-growth-0161 | cost_bps: 5 n_stocks: 5 vol_window: 60 | +0.86 | -1.42 | +1.25 | +0.11 |
vol_window=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-growth-0174 | cost_bps: 10 n_stocks: 50 vol_window: 60 | +0.20 | -0.74 | +0.51 | +2.61 |
vol_window=60, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True r-low-volatility-anomaly-jp-growth-0187 | cost_bps: 10 n_stocks: 20 vol_window: 60 | +0.31 | -0.99 | +0.43 | +0.72 |
vol_window=60, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=True r-low-volatility-anomaly-jp-growth-0195 | cost_bps: 10 n_stocks: 5 vol_window: 60 | -0.95 | -0.81 | -0.98 | -1.71 |
vol_window=60, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=True r-low-volatility-anomaly-jp-growth-0201 | cost_bps: 5 n_stocks: 20 vol_window: 60 | -0.18 | -0.50 | -0.18 | +0.11 |
vol_window=60, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-growth-0214 | cost_bps: 10 n_stocks: 10 vol_window: 60 | -0.48 | -0.42 | -0.57 | +0.36 |
vol_window=60, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True r-low-volatility-anomaly-jp-growth-0227 | cost_bps: 10 n_stocks: 5 vol_window: 60 | -0.35 | -1.94 | -0.30 | -1.05 |
vol_window=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-growth-0240 | cost_bps: 5 n_stocks: 5 vol_window: 120 | +1.17 | +1.13 | +1.43 | -0.95 |
vol_window=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-low-volatility-anomaly-jp-growth-0241 | cost_bps: 5 n_stocks: 5 vol_window: 120 | +0.91 | -0.77 | +1.43 | -0.95 |
vol_window=120, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-growth-0254 | cost_bps: 10 n_stocks: 50 vol_window: 120 | +0.02 | -0.52 | +0.03 | +5.15 |
vol_window=120, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True r-low-volatility-anomaly-jp-growth-0267 | cost_bps: 10 n_stocks: 20 vol_window: 120 | -0.35 | -0.92 | -0.31 | +0.21 |
vol_window=120, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-growth-0280 | cost_bps: 5 n_stocks: 20 vol_window: 120 | -0.65 | -0.70 | -0.58 | -1.14 |
vol_window=120, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-low-volatility-anomaly-jp-growth-0293 | cost_bps: 5 n_stocks: 10 vol_window: 120 | +0.27 | -0.28 | +0.39 | -0.62 |
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: 2026-07-30T01:20:51