Risk-Premium#34tier 1live in production
idio vol puzzle
cadence: Annualdata: mediumlong onlyshort onlylong short
Mechanism
Stocks with high idiosyncratic volatility relative to FF3 earn LOWER returns going forward — the "IVOL puzzle". Counterintuitive (more idio risk should imply higher required return) but robust across 23+
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
fama_french_dailyWorker data table — see services/worker schema.
Expected edge
Two complementary readings: • SHORT HIGH-IVOL — top-quintile IVOL gives ~−7% annualized excess return after FF3 controls.
Illustrative pattern only
NOT a backtestIllustrative pattern only — see /app for live backtests and the actual current equity curve.
Explore idio vol puzzle on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.