Economy & PolicyCore researchInactive
Speculative-Beta Fade
Updated dailyData needs: lowlong onlyshort onlylong short
JF
2016
Journal of Finance
#41 speculative_beta — Hong-Sraer 2016 speculative betas.
Citation only, paper link pending.
In plain terms
The older proxy implementation stays blocked; its replacement tests beta-window stability using observed paired returns.
How it works
Guarded internal own-beta-window proxy; it does not implement Hong-Sraer analyst disagreement or its cross-sectional portfolio.
Live results
0 times picked on its own · 156 times inside a blend (135 beat the stock) · updated 2026-07-06This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 156 such blended picks (135 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)
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
- 1980-2002 (Hong-Sraer)
See the source research for the original effect size; a modern replication on new data may be weaker.
Related families
Explore Speculative-Beta Fade on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.