Price & Market BehaviorCore researchlive in production

Betting Against Beta

Updated dailyData needs: medium

In plain terms

Low-beta stocks (calmer than the market) tend to deliver better risk-adjusted returns than high-beta ones; this family overweights when beta drops.

How it works

Betting Against Beta (Frazzini-Pedersen 2014): for a single stock, scale exposure inversely to its rolling beta vs SPY. Lower-beta moments get a bigger position, high-beta moments get reduced — the stock-level analog of the BAB factor. Long-only with a positive-trend gate (only when close > close 252d ago) to avoid leveraging into downtrends.

Live results

31 times picked on its own · 142 times inside a blend (67 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 142 such blended picks (67 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily bars
Daily OHLCV bars used by all price-based generators.
Factor returns
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported Sharpe: 0.7 (Frazzini-Pedersen 2014); 0.4 OOS
Tested over: 1926-2012

~0.7 Sharpe in Frazzini-Pedersen 2014; ~0.4 in recent OOS

Example tickers where this is likely to fire

JNJ PG KO

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Quality Minus JunkPrice & Market Behavior

High-quality stocks (good margins, high ROE) that are ALSO trending up tend to beat low-quality losers. Goes long only when both check out.

Speculative-Beta FadeEconomy & Policy

High-beta stocks usually underperform — but only when there's high disagreement (analyst dispersion). Without disagreement, high beta is fine.

Explore Betting Against Beta on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

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