低ボラティリティ・アノマリー（米国S&P500）のバックテスト
Low Volatility Anomaly (US S&P 500)
slug: low-volatility-anomaly-us-sp500
米国S&P500（約503銘柄）で低ボラティリティ・アノマリーをバックテストした。315通りの中央値 Sharpe は -0.93。p-value は 0.04。Max DD は -58.8%。期間は 2022-02-01〜2026-09-01。最良 Sharpe -0.39 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。
何を検証したか
低ボラティリティ・アノマリーは、値動きの小さい銘柄の方がリスクあたりで得だ、という主張です。低いボラティリティの銘柄を持ち続ける側で検証していて、相場の局面が変わると成績が割れやすいタイプです。中央値がマイナス、または主因が regime_dependent なら、低リスクだから安全とは読めません。
成績の中央値
Sharpe（中央値）
-0.93
Max DD
-58.8%
勝率
—
Alpha（年率）
—
p-value
0.04
期間: 2022-02-01 → 2026-09-01
315通りの Sharpe:中央値 -0.93最良 -0.39 （代表値ではない）最悪 -1.49p25–p75 -1.14–-0.65
仮説
原文は英語。
Baker, Bradley, Wurgler (2011): low-volatility stocks earn higher risk-adjusted returns. Applied to S&P 500 constituents.
採用しなかった理由
Across 315 grid combinations, median Sharpe=-0.93, best=-0.39. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is -0.39 (p=0.16).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/low-volatility-anomaly-us-sp500-fact-best-sharpevia r-low-volatility-anomaly-us-sp500-0065
Median Sharpe across 315 grid runs is -0.93.
Full grid of 315 parameter combinations.
Median Sharpe in DOWN regime is -0.89 across 315 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -1.14 across 315 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.89 across 315 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (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-us-sp500-0000 | cost_bps: 5 n_stocks: 5 vol_window: 20 | -0.82 | -1.27 | -0.86 | -0.10 |
vol_window=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-low-volatility-anomaly-us-sp500-0001 | cost_bps: 5 n_stocks: 5 vol_window: 20 | -0.51 | -0.55 | -0.86 | -0.10 |
vol_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-low-volatility-anomaly-us-sp500-0002 | cost_bps: 10 n_stocks: 5 vol_window: 20 | -0.98 | -1.49 | -0.98 | -0.23 |
vol_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-low-volatility-anomaly-us-sp500-0003 | cost_bps: 10 n_stocks: 5 vol_window: 20 | -0.64 | -0.95 | -0.98 | -0.23 |
vol_window=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-low-volatility-anomaly-us-sp500-0012 | cost_bps: 5 n_stocks: 50 vol_window: 20 | -0.75 | -0.80 | -1.53 | +0.26 |
vol_window=20, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True r-low-volatility-anomaly-us-sp500-0017 | cost_bps: 5 n_stocks: 5 vol_window: 20 | -0.60 | +0.22 | -0.99 | -0.56 |
vol_window=20, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False r-low-volatility-anomaly-us-sp500-0030 | cost_bps: 10 n_stocks: 50 vol_window: 20 | -1.39 | -1.78 | -1.54 | -0.58 |
vol_window=20, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True r-low-volatility-anomaly-us-sp500-0043 | cost_bps: 10 n_stocks: 20 vol_window: 20 | -0.92 | +0.51 | -1.70 | -0.92 |
vol_window=20, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-low-volatility-anomaly-us-sp500-0056 | cost_bps: 5 n_stocks: 20 vol_window: 20 | -1.13 | -1.42 | -0.77 | -1.29 |
vol_window=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-low-volatility-anomaly-us-sp500-0065 | cost_bps: 5 n_stocks: 5 vol_window: 20 | -0.39 | +0.66 | -0.85 | -0.51 |
vol_window=20, holding_days=60, n_stocks=20, cost_bps=5, regime_gate=False r-low-volatility-anomaly-us-sp500-0072 | cost_bps: 5 n_stocks: 20 vol_window: 20 | -1.10 | -1.28 | -1.27 | -0.62 |
vol_window=40, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-low-volatility-anomaly-us-sp500-0085 | cost_bps: 5 n_stocks: 10 vol_window: 40 | -0.53 | -0.99 | -0.81 | -0.27 |
vol_window=40, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-low-volatility-anomaly-us-sp500-0098 | cost_bps: 10 n_stocks: 5 vol_window: 40 | -1.18 | -1.58 | -1.21 | -0.11 |
vol_window=40, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=True r-low-volatility-anomaly-us-sp500-0111 | cost_bps: 10 n_stocks: 50 vol_window: 40 | -0.71 | -0.45 | -1.33 | -0.32 |
vol_window=40, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=False r-low-volatility-anomaly-us-sp500-0124 | cost_bps: 5 n_stocks: 50 vol_window: 40 | -1.26 | -1.08 | -1.57 | -1.10 |
vol_window=40, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True r-low-volatility-anomaly-us-sp500-0137 | cost_bps: 5 n_stocks: 20 vol_window: 40 | -0.50 | +0.53 | -0.73 | -0.91 |
vol_window=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True r-low-volatility-anomaly-us-sp500-0151 | cost_bps: 10 n_stocks: 10 vol_window: 40 | -0.51 | +0.99 | -1.28 | -0.38 |
vol_window=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-low-volatility-anomaly-us-sp500-0164 | cost_bps: 5 n_stocks: 10 vol_window: 60 | -0.95 | -1.06 | -0.86 | -0.95 |
vol_window=60, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True r-low-volatility-anomaly-us-sp500-0177 | cost_bps: 5 n_stocks: 5 vol_window: 60 | -0.46 | -0.22 | -0.79 | -0.23 |
vol_window=60, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False r-low-volatility-anomaly-us-sp500-0190 | cost_bps: 10 n_stocks: 50 vol_window: 60 | -1.18 | -1.57 | -1.31 | -0.29 |
vol_window=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True r-low-volatility-anomaly-us-sp500-0203 | cost_bps: 10 n_stocks: 20 vol_window: 60 | -0.86 | +0.46 | -1.57 | -1.00 |
vol_window=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-low-volatility-anomaly-us-sp500-0216 | cost_bps: 5 n_stocks: 20 vol_window: 60 | -1.19 | -1.53 | -0.69 | -1.49 |
vol_window=60, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=True r-low-volatility-anomaly-us-sp500-0229 | cost_bps: 5 n_stocks: 10 vol_window: 60 | -0.52 | +1.01 | -1.04 | -0.77 |
vol_window=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-low-volatility-anomaly-us-sp500-0240 | cost_bps: 5 n_stocks: 5 vol_window: 120 | -1.13 | -1.25 | -0.74 | -2.14 |
vol_window=120, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-low-volatility-anomaly-us-sp500-0243 | cost_bps: 10 n_stocks: 5 vol_window: 120 | -0.99 | -1.12 | -0.86 | -2.28 |
vol_window=120, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-low-volatility-anomaly-us-sp500-0256 | cost_bps: 5 n_stocks: 5 vol_window: 120 | -1.01 | -1.35 | -0.58 | -1.02 |
vol_window=120, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=True r-low-volatility-anomaly-us-sp500-0269 | cost_bps: 5 n_stocks: 50 vol_window: 120 | -0.62 | +0.03 | -1.00 | -0.76 |
vol_window=120, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-low-volatility-anomaly-us-sp500-0282 | cost_bps: 10 n_stocks: 20 vol_window: 120 | -1.48 | -1.36 | -1.61 | -1.50 |
vol_window=120, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-low-volatility-anomaly-us-sp500-0286 | cost_bps: 10 n_stocks: 50 vol_window: 120 | -1.49 | -1.36 | -1.58 | -1.60 |
vol_window=120, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-low-volatility-anomaly-us-sp500-0296 | cost_bps: 5 n_stocks: 20 vol_window: 120 | -1.16 | -1.40 | -0.73 | -1.62 |
対象ユニバース
S&P 500 constituents, ~503 stocks
関連する戦略
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:19