Idiosyncratic Volatility (US S&P 500)
slug: idiosyncratic-vol-us-sp500
performance summary
Sharpe (median)
-0.99
Max DD
-48.2%
Win rate
—
Alpha (ann.)
—
p-value
0.04
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 316 grid runs:median -0.99best -0.10 (not representative)worst -2.05p25–p75 -1.23–-0.67
Hypothesis
Ang, Hodrick, Xing, Zhang (2006): stocks with high idiosyncratic volatility earn lower returns. Applied to S&P 500 constituents.
Why it didn't work
Across 316 grid combinations, median Sharpe=-0.99, best=-0.10. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is -0.10 (p=0.72).
period 2022-02-01–2026-06-01; cost=5bps
cite ↗ /cite/idiosyncratic-vol-us-sp500-fact-best-sharpevia r-idiosyncratic-vol-us-sp500-0065
Median Sharpe across 316 grid runs is -0.99.
Full grid of 316 parameter combinations.
Median Sharpe in DOWN regime is -0.76 across 316 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -1.32 across 316 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.71 across 316 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (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=True r-idiosyncratic-vol-us-sp500-0043 | cost_bps: 10 n_stocks: 20 regime_gate: true | -1.27 | +0.46 | -2.63 | -1.60 |
estimation_window=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-idiosyncratic-vol-us-sp500-0046 | cost_bps: 10 n_stocks: 50 regime_gate: false | -2.05 | -1.55 | -3.12 | -1.59 |
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 | -0.60 | +0.95 | -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 | -0.10 | +1.02 | -0.57 | +0.28 |
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 | -0.35 | +1.01 | -1.36 | -0.31 |
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 | -1.08 | -1.03 | -1.42 | -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 | -0.55 | +0.01 | -1.33 | +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 | -1.30 | -1.38 | -1.51 | -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 | -0.99 | +0.34 | -2.39 | -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 | -1.49 | -1.71 | -1.20 | -1.74 |
estimation_window=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True r-idiosyncratic-vol-us-sp500-0151 | cost_bps: 10 n_stocks: 10 regime_gate: true | -0.44 | +0.82 | -1.32 | +0.25 |
estimation_window=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-idiosyncratic-vol-us-sp500-0164 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.91 | -0.61 | -1.23 | -0.92 |
estimation_window=60, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True r-idiosyncratic-vol-us-sp500-0177 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.37 | +0.17 | -0.80 | -0.06 |
estimation_window=60, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False r-idiosyncratic-vol-us-sp500-0190 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.07 | -1.11 | -1.60 | -0.18 |
estimation_window=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True r-idiosyncratic-vol-us-sp500-0203 | cost_bps: 10 n_stocks: 20 regime_gate: true | -1.01 | +0.47 | -2.04 | -1.30 |
estimation_window=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-idiosyncratic-vol-us-sp500-0216 | cost_bps: 5 n_stocks: 20 regime_gate: false | -1.38 | -1.64 | -0.94 | -1.57 |
estimation_window=60, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=True r-idiosyncratic-vol-us-sp500-0229 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.56 | +0.77 | -1.24 | -0.51 |
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 | -1.44 | -1.45 | -1.15 | -2.43 |
estimation_window=120, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-idiosyncratic-vol-us-sp500-0243 | cost_bps: 10 n_stocks: 5 regime_gate: true | -1.22 | -1.04 | -1.28 | -2.62 |
estimation_window=120, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-idiosyncratic-vol-us-sp500-0256 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.98 | -1.36 | -0.48 | -0.95 |
estimation_window=120, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=True r-idiosyncratic-vol-us-sp500-0269 | cost_bps: 5 n_stocks: 50 regime_gate: true | -0.51 | +0.35 | -1.17 | -0.47 |
estimation_window=120, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-idiosyncratic-vol-us-sp500-0282 | cost_bps: 10 n_stocks: 20 regime_gate: false | -1.71 | -1.77 | -1.81 | -1.52 |
estimation_window=120, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True r-idiosyncratic-vol-us-sp500-0295 | cost_bps: 10 n_stocks: 10 regime_gate: true | -0.76 | +0.24 | -0.85 | -1.84 |
Target universe
S&P 500 constituents, ~503 stocks
Related strategies
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-30T01:20:51