# Betting Against Beta (JP All Stocks)

- **Slug**: `betting-against-beta-jp-all`
- **Verdict**: marginal (regime_dependent)
- **Asset class**: equity
- **Categories**: anomaly, beta, factor, leverage
- **Source**: qbuntu-analysis (computed asof 2026-07-31T01:32:13)
- **Reproducibility**: analysis-engine@18193e9, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/betting-against-beta-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/betting-against-beta-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Frazzini & Pedersen (2014): low-beta stocks outperform on a risk-adjusted basis. Testing on the full Japanese stock universe.

## Why it didn't work

Across 160 grid combinations, median Sharpe=0.13, best=0.78. Primary failure mode: regime_dependent.

## Performance summary

Headline figures are the **median across the parameter grid**, not the best run.

| Metric | Value |
|---|---|
| Sharpe (median) | 0.131 |
| Max drawdown | -18.1% |
| p-value | 0.63 |
| Backtest period | 2023-08-01 to 2026-02-02 |

Sharpe distribution across 160 grid runs: median 0.13, best 0.78 (best-case — not representative), worst -1.25, p25 -0.17, p75 0.37.

## Methodology

- Notes: {"walk_forward_definition": {"type": "single_pass", "description": "Full period backtest without walk-forward split", "verdict_basis": "full_period"}}
- Slippage model: open-on-open + variable bps fixed
- Position sizing: equal_weight
- Regime definition: N225 SMA20/SMA60 three-class
- Transaction cost bps: 5

## Target universe

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-betting-against-beta-jp-all-0000` | cost_bps=5, n_stocks=5, beta_window=40, regime_gate=false | 0.03 | -0.04 | 0.49 | -2.14 |
| `r-betting-against-beta-jp-all-0001` | cost_bps=5, n_stocks=5, beta_window=40, regime_gate=true | 0.21 | 0.75 | 0.49 | -2.14 |
| `r-betting-against-beta-jp-all-0002` | cost_bps=10, n_stocks=5, beta_window=40, regime_gate=false | -0.15 | -0.19 | 0.28 | -2.32 |
| `r-betting-against-beta-jp-all-0003` | cost_bps=10, n_stocks=5, beta_window=40, regime_gate=true | 0.02 | 0.56 | 0.28 | -2.32 |
| `r-betting-against-beta-jp-all-0004` | cost_bps=5, n_stocks=10, beta_window=40, regime_gate=false | 0.02 | -0.42 | 0.77 | -4.73 |
| `r-betting-against-beta-jp-all-0018` | cost_bps=10, n_stocks=5, beta_window=40, regime_gate=false | -0.77 | -0.83 | -0.99 | 0.33 |
| `r-betting-against-beta-jp-all-0032` | cost_bps=5, n_stocks=5, beta_window=40, regime_gate=false | -0.12 | 0.35 | -0.77 | 1.28 |
| `r-betting-against-beta-jp-all-0038` | cost_bps=10, n_stocks=10, beta_window=40, regime_gate=false | -0.24 | -0.08 | -0.59 | 1.5 |
| `r-betting-against-beta-jp-all-0052` | cost_bps=5, n_stocks=10, beta_window=40, regime_gate=false | -0.48 | 0.14 | -1.69 | 0.09 |
| `r-betting-against-beta-jp-all-0064` | cost_bps=5, n_stocks=5, beta_window=40, regime_gate=false | -0.13 | 0.21 | -0.38 | -0.09 |
| `r-betting-against-beta-jp-all-0067` | cost_bps=10, n_stocks=5, beta_window=40, regime_gate=true | -0.04 | 1.04 | -0.4 | -0.12 |
| `r-betting-against-beta-jp-all-0081` | cost_bps=5, n_stocks=5, beta_window=60, regime_gate=true | 0.44 | 0.72 | 0.91 | -2.03 |
| `r-betting-against-beta-jp-all-0087` | cost_bps=10, n_stocks=10, beta_window=60, regime_gate=true | 0.33 | 0.8 | 0.8 | -8.53 |
| `r-betting-against-beta-jp-all-0101` | cost_bps=5, n_stocks=10, beta_window=60, regime_gate=true | 0.33 | 1.03 | -0.31 | 2.29 |
| `r-betting-against-beta-jp-all-0115` | cost_bps=10, n_stocks=5, beta_window=60, regime_gate=true | 0.53 | 1.19 | -0.45 | 5.12 |
| `r-betting-against-beta-jp-all-0129` | cost_bps=5, n_stocks=5, beta_window=60, regime_gate=true | 0.18 | 0.81 | -1.24 | 5.77 |
| `r-betting-against-beta-jp-all-0135` | cost_bps=10, n_stocks=10, beta_window=60, regime_gate=true | 0.19 | 0.62 | -0.5 | 1.28 |
| `r-betting-against-beta-jp-all-0149` | cost_bps=5, n_stocks=10, beta_window=60, regime_gate=true | 0.56 | 1.01 | 0.37 | 0.77 |
| `r-betting-against-beta-jp-all-0163` | cost_bps=10, n_stocks=5, beta_window=120, regime_gate=true | 0.3 | 1.26 | 0.29 | -2.07 |
| `r-betting-against-beta-jp-all-0177` | cost_bps=5, n_stocks=5, beta_window=120, regime_gate=true | 0.47 | 0.89 | -0.14 | 1.85 |
| `r-betting-against-beta-jp-all-0183` | cost_bps=10, n_stocks=10, beta_window=120, regime_gate=true | 0.41 | 1.48 | -0.24 | 0.98 |
| `r-betting-against-beta-jp-all-0197` | cost_bps=5, n_stocks=10, beta_window=120, regime_gate=true | 0.65 | 1.37 | -0.59 | 4.4 |
| `r-betting-against-beta-jp-all-0211` | cost_bps=10, n_stocks=5, beta_window=120, regime_gate=true | -0.09 | 0.77 | -1.38 | 2.66 |
| `r-betting-against-beta-jp-all-0225` | cost_bps=5, n_stocks=5, beta_window=120, regime_gate=true | 0.74 | 1.35 | 0.33 | 0.9 |
| `r-betting-against-beta-jp-all-0231` | cost_bps=10, n_stocks=10, beta_window=120, regime_gate=true | 0.67 | 0.28 | 0.58 | 1.47 |
| `r-betting-against-beta-jp-all-0240` | cost_bps=5, n_stocks=5, beta_window=250, regime_gate=false | -0.03 | -1.49 | 0.54 | -0.71 |
| `r-betting-against-beta-jp-all-0246` | cost_bps=10, n_stocks=10, beta_window=250, regime_gate=false | -0.73 | -1.28 | -0.19 | -1.66 |
| `r-betting-against-beta-jp-all-0260` | cost_bps=5, n_stocks=10, beta_window=250, regime_gate=false | -0.09 | -0.01 | -0.4 | 0.9 |
| `r-betting-against-beta-jp-all-0291` | cost_bps=10, n_stocks=5, beta_window=250, regime_gate=true | -1.25 | 0.2 | -3.01 | 2.84 |
| `r-betting-against-beta-jp-all-0309` | cost_bps=5, n_stocks=10, beta_window=250, regime_gate=true | 0.78 | -0.04 | 1.09 | 1.77 |

## Facts (5)

Each fact has a permanent citation URL. AI agents quoting qbuntu should use these.

- **Best grid Sharpe ratio is 0.78 (p=0.13).**
  - Value: 0.78 sharpe_ratio
  - Context: period 2023-08-01–2026-02-02; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/betting-against-beta-jp-all-fact-best-sharpe

- **Median Sharpe across 160 grid runs is 0.13.**
  - Value: 0.13 sharpe_ratio
  - Context: Full grid of 160 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/betting-against-beta-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is 1.11 across 160 runs.**
  - Value: 1.11 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/betting-against-beta-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is -0.40 across 160 runs.**
  - Value: -0.4 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/betting-against-beta-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is 0.54 across 160 runs.**
  - Value: 0.54 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/betting-against-beta-jp-all-fact-regime-up

## Related strategies

- same_strategy: [betting-against-beta-jp-growth](https://qbuntu.ai/strategies/betting-against-beta-jp-growth)

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Cite as: qbuntu (2026). Betting Against Beta (JP All Stocks). https://qbuntu.ai/strategies/betting-against-beta-jp-all

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