Combined StrategiesExtended setexperimental liveNew

Combo Bab X Low Volatility

Updated dailyData needs: lowlong short

2026

interaction-miner discovery (2026-05-20): bab x low_volatility_anomaly, lift_ratio=1.215

In plain terms

Two independent ways to measure the leverage-constraint anomaly (low beta and low vol) - combining them is 21% sharper than either alone.

How it works

Frazzini-Pedersen 2014 BAB (long low-beta, short high-beta) and Baker-Bradley-Wurgler 2011 low-vol-anomaly attack the same underlying mispricing - leverage-constrained investors over-bidding high-beta/high-vol names - from DIFFERENT signals (beta vs realized vol). The miner finds the correlation between them is only 4% on the live panel (n=14,427 cells, widest coverage of any top pair), so the z_sum combines two independent measurements of the same edge, boosting per-trade IC by ~21%.

Live results

30 times picked on its own · 50 times inside a blend (45 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 50 such blended picks (45 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

Reported return: lift=1.215x over either signal alone
Tested over: 10-day forward

Combined IC=-0.152 vs -0.12/-0.10 for either alone - lift 1.21x. Highest-coverage pair in the top 30.

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.

Low Volatility AnomalyEconomy & Policy

Boring low-vol stocks quietly beat high-vol ones risk-adjusted.

Explore Combo Bab X Low Volatility on alphactor.ai

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

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