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Speculative-Beta Fade

Updated dailyData needs: lowlong onlyshort onlylong short

2016

#41 speculative_beta — Hong-Sraer 2016 speculative betas.

In plain terms

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

How it works

Distinct from BAB (#16): Hong-Sraer 2016 JF show that the underperformance of high-beta stocks is concentrated in periods of high disagreement (proxied by analyst forecast dispersion or by realized-vol dispersion across estimation windows). Low-disagreement high-beta is fine; high-disagreement high-beta dies. Without analyst-dispersion data, we proxy with the standard deviation of own-ticker beta estimated over 20/60/252d windows.

Live results

4 times picked on its own · 42 times inside a blend (36 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 42 such blended picks (36 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.

Expected edge

Tested over: 1980-2002 (Hong-Sraer)

See the source research for the original effect size; a modern replication on new data may be weaker.

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