Idiosyncratic risk (3 factor)
↓ fadedIdioVol3FRisk· Price data
Standard deviation of residuals from Fama-French three factor regressions using the past month of daily data. Value weighted
A recomputed, out-of-sample-scored replication of this factor is available — verdict dormant, OOS Sharpe 0.01.
IS Sharpe (1926–2005)
0.301
+6.9% p.a.
OOS Sharpe (2006–2024)
0.163
+3.2% p.a.
Sharpe decay
+45.8%
(IS − OOS) / |IS|
IS vol
22.8%
annualized
Cumulative return (last 40 years, monthly)
+1782%1984-012024-12
Publication details
AuthorsAng et al.
PaperAng et al. (2006)
JournalJournal of Finance
Publication year2006
Original sample1963–2000
IS T-statistic3.10
More Risk anomalies
Return skewness+0.47Market+0.44Idiosyncratic skewness (3F model)+0.39EPS Forecast Dispersion+0.32Coskewness using daily returns+0.30Coskewness+0.28
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