IdioVol
Idiosyncratic Volatility Proxy — Ang Hodrick Xing and Zhang 2006
Risk
Quick facts
| Factor ID | IdioVol |
| Display name | Idiosyncratic Volatility Proxy |
| Family | Predictor |
| Category | Risk |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Ang Hodrick Xing and Zhang 2006 |
| Source tables | daily;index_daily |
| Required fields | ret;mkt_ret |
| PIT required | no |
| Coverage | 2010-04-07 – 2026-05-15 · 668,688 rows · 97.6% of panel |
Formula
std(ret - mkt_ret over t-60 through t-1)
Rolling standard deviation of market-adjusted daily returns over the prior sixty trading days.
China adaptation
Uses broad-index adjusted returns as a bootstrap proxy for China A-shares.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | 0.8163% |
| Monthly std | 5.1981% |
| Annualized Sharpe | 0.54 |
| t-stat (simple) | 2.18 |
| Hit rate (months > 0) | 59.6% |
| Last 12M compounded | -14.21% |
| Cumulative wealth (start = 1) | 3.711 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -3.12% | 4.190 | 5107 |
| 2025-06 | +1.61% | 4.258 | 5125 |
| 2025-07 | -3.58% | 4.105 | 5131 |
| 2025-08 | +0.67% | 4.133 | 5136 |
| 2025-09 | +3.68% | 4.285 | 5142 |
| 2025-10 | +1.52% | 4.350 | 5146 |
| 2025-11 | -2.17% | 4.256 | 5148 |
| 2025-12 | -1.84% | 4.177 | 5155 |
| 2026-01 | -2.54% | 4.071 | 5159 |
| 2026-02 | +5.94% | 4.313 | 5163 |
| 2026-03 | -8.30% | 3.955 | 5174 |
| 2026-04 | -6.18% | 3.711 | 5162 |
Known data issues
Current implementation is market-adjusted not FF3 residual and should be upgraded.
Notes
China IVOL literature links this effect to limits of arbitrage and retail lottery demand.
See also: Risk family, Factor library, Factor returns.