rejectedno_edge· equity· anomaly · factor · idiosyncratic-volatility

固有ボラティリティ（米国S&P500）のバックテスト

Idiosyncratic Volatility (US S&P 500)

slug: idiosyncratic-vol-us-sp500

米国S&P500（約503銘柄）で固有ボラティリティをバックテストした。315通りの中央値 Sharpe は -0.89。p-value は 0.05。Max DD は -48.2%。期間は 2022-02-01〜2026-06-01。最良 Sharpe -0.18 は代表値ではない。

判定は rejected。中央値は promising（Sharpe > 0.5 かつ p-value < 0.05）にも marginal（Sharpe > 0.05 かつ最良 p-value < 0.10）にも届いていない。主因は no_edge。レジーム・取引回数・コストには分類されず、中央値が採用ラインに届いていない。

成績の中央値

Sharpe（中央値）

-0.89

Max DD

-48.2%

勝率

—

Alpha（年率）

—

p-value

0.05

期間: 2022-02-01 → 2026-06-01

315通りの Sharpe:中央値 -0.89最良 -0.18 （代表値ではない）最悪 -1.72p25–p75 -1.15–-0.61

仮説

原文は英語。

Ang, Hodrick, Xing, Zhang (2006): stocks with high idiosyncratic volatility earn lower returns. Applied to S&P 500 constituents.

採用しなかった理由

Across 315 grid combinations, median Sharpe=-0.89, best=-0.18. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is -0.18 (p=0.52).

period 2022-02-01–2026-06-01; cost=5bps

sharpe_ratio-0.18

cite ↗ /cite/idiosyncratic-vol-us-sp500-fact-best-sharpevia r-idiosyncratic-vol-us-sp500-0065

Median Sharpe across 315 grid runs is -0.89.

Full grid of 315 parameter combinations.

sharpe_ratio-0.89

cite ↗ /cite/idiosyncratic-vol-us-sp500-fact-median-sharpe

Median Sharpe in DOWN regime is -0.83 across 315 runs.

Regime=DOWN, N225 SMA20/SMA60 classification.

sharpe_ratio-0.83

cite ↗ /cite/idiosyncratic-vol-us-sp500-fact-regime-down

Median Sharpe in FLAT regime is -1.17 across 315 runs.

Regime=FLAT, N225 SMA20/SMA60 classification.

sharpe_ratio-1.17

cite ↗ /cite/idiosyncratic-vol-us-sp500-fact-regime-flat

Median Sharpe in UP regime is -0.70 across 315 runs.

Regime=UP, N225 SMA20/SMA60 classification.

sharpe_ratio-0.70

cite ↗ /cite/idiosyncratic-vol-us-sp500-fact-regime-up

検証ラン (30)

run	params	sharpe	UP	FLAT	DOWN
estimation_window=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-idiosyncratic-vol-us-sp500-0000	cost_bps: 5 n_stocks: 5 regime_gate: false	-1.07	-1.56	-0.92	-0.33
estimation_window=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-idiosyncratic-vol-us-sp500-0001	cost_bps: 5 n_stocks: 5 regime_gate: true	-0.58	-0.51	-0.92	-0.33
estimation_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-idiosyncratic-vol-us-sp500-0002	cost_bps: 10 n_stocks: 5 regime_gate: false	-1.25	-1.77	-1.06	-0.49
estimation_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-idiosyncratic-vol-us-sp500-0003	cost_bps: 10 n_stocks: 5 regime_gate: true	-0.74	-0.84	-1.06	-0.49
estimation_window=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-idiosyncratic-vol-us-sp500-0012	cost_bps: 5 n_stocks: 50 regime_gate: false	-0.85	-0.48	-2.04	+0.08
estimation_window=20, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True r-idiosyncratic-vol-us-sp500-0017	cost_bps: 5 n_stocks: 5 regime_gate: true	-0.48	-0.22	-0.94	-0.06
estimation_window=20, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False r-idiosyncratic-vol-us-sp500-0030	cost_bps: 10 n_stocks: 50 regime_gate: false	-1.34	-1.33	-2.11	-0.26
estimation_window=20, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-idiosyncratic-vol-us-sp500-0042	cost_bps: 10 n_stocks: 20 regime_gate: false	-1.72	-1.16	-2.63	-1.60
estimation_window=20, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=False r-idiosyncratic-vol-us-sp500-0044	cost_bps: 5 n_stocks: 50 regime_gate: false	-1.51	-0.79	-2.90	-1.40
estimation_window=20, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True r-idiosyncratic-vol-us-sp500-0057	cost_bps: 5 n_stocks: 20 regime_gate: true	-0.56	+1.06	-0.99	-1.78
estimation_window=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-idiosyncratic-vol-us-sp500-0065	cost_bps: 5 n_stocks: 5 regime_gate: true	-0.18	+1.11	-0.57	-0.27
estimation_window=20, holding_days=60, n_stocks=20, cost_bps=5, regime_gate=True r-idiosyncratic-vol-us-sp500-0073	cost_bps: 5 n_stocks: 20 regime_gate: true	-0.39	+1.13	-1.36	-0.69
estimation_window=40, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-idiosyncratic-vol-us-sp500-0086	cost_bps: 10 n_stocks: 10 regime_gate: false	-0.98	-1.03	-1.11	-0.77
estimation_window=40, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True r-idiosyncratic-vol-us-sp500-0099	cost_bps: 10 n_stocks: 5 regime_gate: true	-0.50	+0.01	-1.15	+0.01
estimation_window=40, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-idiosyncratic-vol-us-sp500-0112	cost_bps: 5 n_stocks: 5 regime_gate: false	-1.17	-1.20	-1.36	-0.67
estimation_window=40, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=True r-idiosyncratic-vol-us-sp500-0125	cost_bps: 5 n_stocks: 50 regime_gate: true	-0.70	+0.56	-1.58	-1.10
estimation_window=40, holding_days=20, n_stocks=20, cost_bps=10, regime_gate=False r-idiosyncratic-vol-us-sp500-0138	cost_bps: 10 n_stocks: 20 regime_gate: false	-1.28	-1.51	-0.91	-1.74
estimation_window=40, holding_days=60, n_stocks=20, cost_bps=5, regime_gate=False r-idiosyncratic-vol-us-sp500-0152	cost_bps: 5 n_stocks: 20 regime_gate: false	-1.17	-1.28	-1.37	-0.71
estimation_window=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-idiosyncratic-vol-us-sp500-0165	cost_bps: 5 n_stocks: 10 regime_gate: true	-0.66	+0.24	-0.99	-0.92
estimation_window=60, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-idiosyncratic-vol-us-sp500-0178	cost_bps: 10 n_stocks: 5 regime_gate: false	-0.86	-1.22	-0.74	-0.14
estimation_window=60, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=True r-idiosyncratic-vol-us-sp500-0191	cost_bps: 10 n_stocks: 50 regime_gate: true	-0.53	+0.34	-1.47	-0.18
estimation_window=60, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=False r-idiosyncratic-vol-us-sp500-0204	cost_bps: 5 n_stocks: 50 regime_gate: false	-1.15	-0.89	-1.40	-1.21
estimation_window=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True r-idiosyncratic-vol-us-sp500-0217	cost_bps: 5 n_stocks: 20 regime_gate: true	-0.52	+0.99	-0.71	-1.57
estimation_window=60, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False r-idiosyncratic-vol-us-sp500-0230	cost_bps: 10 n_stocks: 10 regime_gate: false	-1.15	-1.18	-1.25	-0.88
estimation_window=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-idiosyncratic-vol-us-sp500-0240	cost_bps: 5 n_stocks: 5 regime_gate: false	-1.33	-1.45	-0.95	-2.43
estimation_window=120, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-idiosyncratic-vol-us-sp500-0244	cost_bps: 5 n_stocks: 10 regime_gate: false	-1.28	-1.09	-1.17	-2.13
estimation_window=120, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True r-idiosyncratic-vol-us-sp500-0257	cost_bps: 5 n_stocks: 5 regime_gate: true	-0.48	-0.39	-0.47	-0.95
estimation_window=120, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False r-idiosyncratic-vol-us-sp500-0270	cost_bps: 10 n_stocks: 50 regime_gate: false	-1.23	-1.34	-1.31	-0.63
estimation_window=120, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True r-idiosyncratic-vol-us-sp500-0283	cost_bps: 10 n_stocks: 20 regime_gate: true	-0.89	+0.30	-1.35	-1.52
estimation_window=120, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-idiosyncratic-vol-us-sp500-0296	cost_bps: 5 n_stocks: 20 regime_gate: false	-1.15	-1.49	-0.66	-1.45

対象ユニバース

S&P 500 constituents, ~503 stocks