Price & Market BehaviorExtended setexperimental liveNew

Betting Against Correlation

Updated dailyData needs: lowlong onlyshort onlylong short

2020

Asness, C., Frazzini, A., Gormsen, N. J., Pedersen, L. H. (2020). Betting Against Correlation. Journal of Financial Economics 135(3), 629-652.

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In plain terms

How it works

Asness, Frazzini, Gormsen & Pedersen (2020): the low-risk effect is driven by the correlation leg of beta; a BAC portfolio (long low market-correlation, short high-correlation, volatility-matched) earns a premium distinct from idio-vol/lottery and supports leverage-constraint theory. Compute each ticker's rolling 252d return-correlation with SPY (orthogonal to its volatility), tilt long when in th

Live results

122 times picked on its own · 193 times inside a blend (162 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 193 such blended picks (162 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)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Spy prices
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Tested over: Modern daily equity data

friction premium; decay risk 3/5.

Example tickers where this is likely to fire

SPY AAPL NVDA TSLA

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

Related families

Betting Against BetaPrice & Market Behavior

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

Explore Betting Against Correlation on alphactor.ai

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

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