IdioVolAHT
Idiosyncratic Vol (Annual) — Ali Hwang and Trombley 2003
Risk
Quick facts
| Factor ID | IdioVolAHT |
| Display name | Idiosyncratic Vol (Annual) |
| Family | Predictor |
| Category | Risk |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Ali Hwang and Trombley 2003 |
| Source tables | — |
| Required fields | — |
| PIT required | no |
| Coverage | 2011-01-27 – 2026-05-15 · 617,458 rows · 90.1% of panel |
Formula
std(ret - mkt_ret) over 252 days
China adaptation
No adaptation note.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 184 |
| Monthly mean | 0.4697% |
| Monthly std | 5.6164% |
| Annualized Sharpe | 0.29 |
| t-stat (simple) | 1.13 |
| Hit rate (months > 0) | 55.4% |
| Last 12M compounded | -18.66% |
| Cumulative wealth (start = 1) | 1.774 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -5.35% | 2.065 | 5046 |
| 2025-06 | +1.84% | 2.103 | 5055 |
| 2025-07 | -7.01% | 1.955 | 5057 |
| 2025-08 | +1.06% | 1.976 | 5061 |
| 2025-09 | +3.33% | 2.042 | 5069 |
| 2025-10 | -0.17% | 2.038 | 5075 |
| 2025-11 | -1.25% | 2.013 | 5081 |
| 2025-12 | -0.17% | 2.009 | 5088 |
| 2026-01 | -1.92% | 1.971 | 5095 |
| 2026-02 | +5.03% | 2.070 | 5099 |
| 2026-03 | -8.02% | 1.904 | 5104 |
| 2026-04 | -6.80% | 1.774 | 5100 |
Known data issues
None recorded.
Notes
None recorded.
See also: Risk family, Factor library, Factor returns.