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marginalno_edge· equity· anomaly· factor· idiosyncratic-volatility

Idiosyncratic Volatility (JP Growth Stocks)

slug: idiosyncratic-vol-jp-growth
performance summary
Sharpe (median)
+0.06
Max DD
-20.5%
Win rate
—
Alpha (ann.)
—
p-value
0.52
backtest period: 2023-07-03 → 2026-06-01
Sharpe across 320 grid runs:median 0.06best 1.61 (not representative)worst -1.15p25–p75 -0.30–0.42

Hypothesis

Ang, Hodrick, Xing, Zhang (2006): stocks with high idiosyncratic volatility earn lower returns. Idio vol = std(residuals) from market model (rolling OLS against N225). LONG lowest idio-vol, SHORT highest.

Why it didn't work

Across 320 grid combinations, median Sharpe=0.06, best=1.61. Primary failure mode: no_edge.

Facts (7)

Average monthly return correlation with other strategies in DOWN regime: 0.11
Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
correlation0.11
cite ↗ /cite/idiosyncratic-vol-jp-growth-fact-avg-corr-down
Average monthly return correlation with other strategies (full period): 0.03
Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
correlation0.03
cite ↗ /cite/idiosyncratic-vol-jp-growth-fact-avg-corr-full
Best grid Sharpe ratio is 1.61 (p=0.0077).
period 2023-07-03–2026-06-01; cost=5bps
sharpe_ratio1.61
cite ↗ /cite/idiosyncratic-vol-jp-growth-fact-best-sharpevia r-idiosyncratic-vol-jp-growth-0000
Median Sharpe across 320 grid runs is 0.06.
Full grid of 320 parameter combinations.
sharpe_ratio0.06
cite ↗ /cite/idiosyncratic-vol-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is 0.33 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio0.33
cite ↗ /cite/idiosyncratic-vol-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is 0.11 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.11
cite ↗ /cite/idiosyncratic-vol-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.47 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.47
cite ↗ /cite/idiosyncratic-vol-jp-growth-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
estimation_window=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-idiosyncratic-vol-jp-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.61+1.21+1.50+6.93
estimation_window=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-idiosyncratic-vol-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
+1.25-1.56+1.50+6.93
estimation_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-idiosyncratic-vol-jp-growth-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
+1.48+1.10+1.36+6.70
estimation_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-idiosyncratic-vol-jp-growth-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
+1.12-1.88+1.36+6.70
estimation_window=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-idiosyncratic-vol-jp-growth-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.86+0.30+0.91+4.04
estimation_window=20, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True
r-idiosyncratic-vol-jp-growth-0017
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.19+0.24-0.24+27.62
estimation_window=20, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False
r-idiosyncratic-vol-jp-growth-0030
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.09-0.44+0.57-0.24
estimation_window=20, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True
r-idiosyncratic-vol-jp-growth-0043
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.08-0.14-0.16+1.39
estimation_window=20, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-idiosyncratic-vol-jp-growth-0056
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.26-0.82+0.82+0.86
estimation_window=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-idiosyncratic-vol-jp-growth-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.10+1.86-0.19-0.28
estimation_window=20, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-idiosyncratic-vol-jp-growth-0070
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.21+0.70+0.10+0.32
estimation_window=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-idiosyncratic-vol-jp-growth-0083
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.95-1.33+1.29+3.04
estimation_window=40, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False
r-idiosyncratic-vol-jp-growth-0096
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.50-0.50+1.95+17.11
estimation_window=40, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=True
r-idiosyncratic-vol-jp-growth-0109
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.30-0.46+0.57+0.53
estimation_window=40, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-idiosyncratic-vol-jp-growth-0122
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.54-1.27-0.20-0.34
estimation_window=40, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True
r-idiosyncratic-vol-jp-growth-0135
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.04-0.90+0.19-0.00
estimation_window=40, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=False
r-idiosyncratic-vol-jp-growth-0148
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.24+1.02+0.10-1.11
estimation_window=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-idiosyncratic-vol-jp-growth-0161
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.55-1.46+1.10+0.26
estimation_window=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-idiosyncratic-vol-jp-growth-0174
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.26-0.65+0.69+3.05
estimation_window=60, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True
r-idiosyncratic-vol-jp-growth-0187
cost_bps: 10
n_stocks: 20
regime_gate: true
+0.08-0.88+0.10+1.30
estimation_window=60, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=True
r-idiosyncratic-vol-jp-growth-0195
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.15-1.13-1.32-1.44
estimation_window=60, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=True
r-idiosyncratic-vol-jp-growth-0201
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.46-0.49-0.60+0.37
estimation_window=60, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=False
r-idiosyncratic-vol-jp-growth-0214
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.54-0.34-0.74+0.09
estimation_window=60, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True
r-idiosyncratic-vol-jp-growth-0227
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.47-2.32-0.46-0.80
estimation_window=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-idiosyncratic-vol-jp-growth-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.21+0.95+1.85-0.70
estimation_window=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-idiosyncratic-vol-jp-growth-0241
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.92-0.77+1.85-0.70
estimation_window=120, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-idiosyncratic-vol-jp-growth-0254
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.41-0.52+0.72+7.14
estimation_window=120, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True
r-idiosyncratic-vol-jp-growth-0267
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.60-0.62-0.68-0.24
estimation_window=120, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=False
r-idiosyncratic-vol-jp-growth-0280
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.89-0.48-1.01-1.27
estimation_window=120, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True
r-idiosyncratic-vol-jp-growth-0293
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.12+0.90-0.18-1.09

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
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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