rejectedregime_dependent· equity· anomaly · factor · liquidity · turnover

回転率ファクター（米国S&P500）のバックテスト

Turnover Factor (US S&P 500)

slug: turnover-us-sp500

米国S&P500（約503銘柄）で回転率ファクターをバックテストした。320通りの中央値 Sharpe は -0.11。p-value は 0.56。Max DD は -15.5%。期間は 2022-05-02〜2026-09-01。最良 Sharpe +0.62 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。上昇・横ばい・下落で結果が割れ、中央値としては安定しない。

成績の中央値

Sharpe（中央値）

-0.11

Max DD

-15.5%

勝率

—

Alpha（年率）

—

p-value

0.56

期間: 2022-05-02 → 2026-09-01

320通りの Sharpe:中央値 -0.11最良 0.62 （代表値ではない）最悪 -2.45p25–p75 -0.42–0.11

仮説

原文は英語。

Datar, Naik, Radcliffe (1998): low turnover stocks outperform. Applied to S&P 500 constituents.

採用しなかった理由

Across 320 grid combinations, median Sharpe=-0.11, best=0.62. Primary failure mode: regime_dependent.

検証ファクト (5)

Best grid Sharpe ratio is 0.62 (p=0.034).

period 2022-05-02–2026-09-01; cost=5bps

sharpe_ratio0.62

cite ↗ /cite/turnover-us-sp500-fact-best-sharpevia r-turnover-us-sp500-0237

Median Sharpe across 320 grid runs is -0.11.

Full grid of 320 parameter combinations.

sharpe_ratio-0.11

cite ↗ /cite/turnover-us-sp500-fact-median-sharpe

Median Sharpe in DOWN regime is -1.03 across 320 runs.

Regime=DOWN, N225 SMA20/SMA60 classification.

sharpe_ratio-1.03

cite ↗ /cite/turnover-us-sp500-fact-regime-down

Median Sharpe in FLAT regime is -1.06 across 320 runs.

Regime=FLAT, N225 SMA20/SMA60 classification.

sharpe_ratio-1.06

cite ↗ /cite/turnover-us-sp500-fact-regime-flat

Median Sharpe in UP regime is 0.90 across 320 runs.

Regime=UP, N225 SMA20/SMA60 classification.

sharpe_ratio0.90

cite ↗ /cite/turnover-us-sp500-fact-regime-up

検証ラン (30)

run	params	sharpe	UP	FLAT	DOWN
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-turnover-us-sp500-0000	cost_bps: 5 n_stocks: 5 regime_gate: false	+0.28	+0.83	-0.21	-0.39
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-turnover-us-sp500-0001	cost_bps: 5 n_stocks: 5 regime_gate: true	-0.17	-0.09	-0.21	-0.39
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-turnover-us-sp500-0002	cost_bps: 10 n_stocks: 5 regime_gate: false	-0.02	+0.53	-0.51	-0.71
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-turnover-us-sp500-0003	cost_bps: 10 n_stocks: 5 regime_gate: true	-0.38	-0.21	-0.51	-0.71
formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-turnover-us-sp500-0012	cost_bps: 5 n_stocks: 50 regime_gate: false	-1.50	-1.36	-2.00	-0.54
formation_days=10, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-turnover-us-sp500-0018	cost_bps: 10 n_stocks: 5 regime_gate: false	-0.05	+0.95	-0.70	-1.85
formation_days=10, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-turnover-us-sp500-0032	cost_bps: 5 n_stocks: 5 regime_gate: false	+0.16	+1.43	-0.73	-2.35
formation_days=10, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-turnover-us-sp500-0046	cost_bps: 10 n_stocks: 50 regime_gate: false	-0.33	+0.55	-1.38	-0.45
formation_days=10, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False r-turnover-us-sp500-0060	cost_bps: 5 n_stocks: 50 regime_gate: false	-0.21	+0.63	-1.06	-0.69
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-turnover-us-sp500-0064	cost_bps: 5 n_stocks: 5 regime_gate: false	+0.27	+0.71	-0.54	+0.31
formation_days=10, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True r-turnover-us-sp500-0075	cost_bps: 10 n_stocks: 20 regime_gate: true	+0.36	+1.00	-0.78	-0.54
formation_days=20, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True r-turnover-us-sp500-0089	cost_bps: 5 n_stocks: 20 regime_gate: true	-0.59	-0.16	-0.99	-0.95
formation_days=20, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-turnover-us-sp500-0103	cost_bps: 10 n_stocks: 10 regime_gate: true	-0.23	+1.02	-1.14	-1.53
formation_days=20, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True r-turnover-us-sp500-0117	cost_bps: 5 n_stocks: 10 regime_gate: true	-0.18	+1.27	-1.31	-1.80
formation_days=20, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True r-turnover-us-sp500-0131	cost_bps: 10 n_stocks: 5 regime_gate: true	+0.06	+1.64	-1.53	-1.20
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-turnover-us-sp500-0145	cost_bps: 5 n_stocks: 5 regime_gate: true	+0.29	+0.94	-0.57	-0.67
formation_days=20, holding_days=60, n_stocks=50, cost_bps=10, regime_gate=True r-turnover-us-sp500-0159	cost_bps: 10 n_stocks: 50 regime_gate: true	+0.57	+1.07	-0.49	+0.28
formation_days=40, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=True r-turnover-us-sp500-0173	cost_bps: 5 n_stocks: 50 regime_gate: true	-0.85	-0.46	-1.00	-3.22
formation_days=40, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True r-turnover-us-sp500-0187	cost_bps: 10 n_stocks: 20 regime_gate: true	+0.01	+1.53	-0.93	-1.53
formation_days=40, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=True r-turnover-us-sp500-0201	cost_bps: 5 n_stocks: 20 regime_gate: true	+0.02	+1.42	-1.72	-2.06
formation_days=40, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True r-turnover-us-sp500-0215	cost_bps: 10 n_stocks: 10 regime_gate: true	+0.10	+1.72	-1.25	-2.57
formation_days=40, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=True r-turnover-us-sp500-0229	cost_bps: 5 n_stocks: 10 regime_gate: true	+0.43	+0.99	-0.64	-0.01
formation_days=40, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=True r-turnover-us-sp500-0237	cost_bps: 5 n_stocks: 50 regime_gate: true	+0.62	+1.15	-0.52	+0.52
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-turnover-us-sp500-0240	cost_bps: 5 n_stocks: 5 regime_gate: false	-0.41	-0.04	-0.50	-1.10
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-turnover-us-sp500-0245	cost_bps: 5 n_stocks: 10 regime_gate: true	-0.55	-0.04	-0.69	-1.42
formation_days=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-turnover-us-sp500-0254	cost_bps: 10 n_stocks: 50 regime_gate: false	-2.45	-2.49	-1.99	-4.52
formation_days=60, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False r-turnover-us-sp500-0260	cost_bps: 5 n_stocks: 10 regime_gate: false	-0.23	+0.29	-0.68	-0.96
formation_days=60, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-turnover-us-sp500-0274	cost_bps: 10 n_stocks: 5 regime_gate: false	-0.20	+0.65	-1.35	-2.34
formation_days=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-turnover-us-sp500-0288	cost_bps: 5 n_stocks: 5 regime_gate: false	-0.55	+0.38	-1.57	-1.83
formation_days=60, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-turnover-us-sp500-0302	cost_bps: 10 n_stocks: 50 regime_gate: false	-1.05	-0.45	-1.91	-0.85

対象ユニバース

S&P 500 constituents, ~503 stocks