# Betting Against Beta (JP Growth Stocks)

- **Slug**: `betting-against-beta-jp-growth`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: anomaly, beta, factor, leverage
- **Source**: qbuntu-analysis (computed asof 2026-07-31T01:31:48)
- **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-growth
- **JSON**: https://qbuntu.ai/v1/strategies/betting-against-beta-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Frazzini & Pedersen (2014): low-beta stocks outperform on a risk-adjusted basis. LONG lowest beta, SHORT highest beta. Beta estimated via rolling OLS against N225.

## Why it didn't work

Across 320 grid combinations, median Sharpe=-0.65, best=0.24. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.6519 |
| Max drawdown | -26.1% |
| p-value | 0.25 |
| Backtest period | 2023-08-01 to 2026-06-01 |

Sharpe distribution across 320 grid runs: median -0.65, best 0.24 (best-case — not representative), worst -2.11, p25 -0.96, p75 -0.39.

## 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 Growth Market, ~495 stocks, tv >= 30M JPY

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-betting-against-beta-jp-growth-0000` | cost_bps=5, n_stocks=5, beta_window=40, regime_gate=false | -0.22 | -0.42 | 0.29 | -4.48 |
| `r-betting-against-beta-jp-growth-0001` | cost_bps=5, n_stocks=5, beta_window=40, regime_gate=true | -0.3 | -0.64 | 0.29 | -4.48 |
| `r-betting-against-beta-jp-growth-0002` | cost_bps=10, n_stocks=5, beta_window=40, regime_gate=false | -0.34 | -0.55 | 0.19 | -4.66 |
| `r-betting-against-beta-jp-growth-0003` | cost_bps=10, n_stocks=5, beta_window=40, regime_gate=true | -0.39 | -0.7 | 0.19 | -4.66 |
| `r-betting-against-beta-jp-growth-0012` | cost_bps=5, n_stocks=50, beta_window=40, regime_gate=false | -1.23 | -1.96 | -0.63 | -0.92 |
| `r-betting-against-beta-jp-growth-0018` | cost_bps=10, n_stocks=5, beta_window=40, regime_gate=false | -0.68 | -2.35 | 0.29 | -15.64 |
| `r-betting-against-beta-jp-growth-0032` | cost_bps=5, n_stocks=5, beta_window=40, regime_gate=false | -1.1 | -1.4 | -0.57 | -5.4 |
| `r-betting-against-beta-jp-growth-0046` | cost_bps=10, n_stocks=50, beta_window=40, regime_gate=false | -1.16 | -2.04 | -0.33 | -7.46 |
| `r-betting-against-beta-jp-growth-0060` | cost_bps=5, n_stocks=50, beta_window=40, regime_gate=false | -0.82 | -1.31 | -0.46 | -0.86 |
| `r-betting-against-beta-jp-growth-0064` | cost_bps=5, n_stocks=5, beta_window=40, regime_gate=false | -0.37 | -1.12 | -0.08 | 0.55 |
| `r-betting-against-beta-jp-growth-0075` | cost_bps=10, n_stocks=20, beta_window=40, regime_gate=true | -0.47 | -1.62 | -0.09 | 0.06 |
| `r-betting-against-beta-jp-growth-0089` | cost_bps=5, n_stocks=20, beta_window=60, regime_gate=true | -0.99 | -0.95 | -0.87 | -1.99 |
| `r-betting-against-beta-jp-growth-0103` | cost_bps=10, n_stocks=10, beta_window=60, regime_gate=true | -0.8 | -1.47 | -0.3 | -3.23 |
| `r-betting-against-beta-jp-growth-0117` | cost_bps=5, n_stocks=10, beta_window=60, regime_gate=true | -0.38 | -0.27 | -0.23 | -1.6 |
| `r-betting-against-beta-jp-growth-0131` | cost_bps=10, n_stocks=5, beta_window=60, regime_gate=true | -0.84 | -0.57 | -1.21 | 0.16 |
| `r-betting-against-beta-jp-growth-0145` | cost_bps=5, n_stocks=5, beta_window=60, regime_gate=true | -0.28 | -0.98 | -0.14 | 1.16 |
| `r-betting-against-beta-jp-growth-0159` | cost_bps=10, n_stocks=50, beta_window=60, regime_gate=true | -0.4 | -1.37 | 0.09 | -0.84 |
| `r-betting-against-beta-jp-growth-0173` | cost_bps=5, n_stocks=50, beta_window=120, regime_gate=true | -0.44 | -0.84 | 0.64 | -1.96 |
| `r-betting-against-beta-jp-growth-0187` | cost_bps=10, n_stocks=20, beta_window=120, regime_gate=true | -0.96 | -1.22 | -0.56 | -4.17 |
| `r-betting-against-beta-jp-growth-0201` | cost_bps=5, n_stocks=20, beta_window=120, regime_gate=true | -0.59 | -0.79 | -0.4 | -8.46 |
| `r-betting-against-beta-jp-growth-0215` | cost_bps=10, n_stocks=10, beta_window=120, regime_gate=true | -1.29 | -1.5 | -0.96 | -2.76 |
| `r-betting-against-beta-jp-growth-0229` | cost_bps=5, n_stocks=10, beta_window=120, regime_gate=true | 0.03 | -0.75 | 0.25 | 1.38 |
| `r-betting-against-beta-jp-growth-0240` | cost_bps=5, n_stocks=5, beta_window=250, regime_gate=false | -0.1 | -1.29 | 0.3 | 16.97 |
| `r-betting-against-beta-jp-growth-0244` | cost_bps=5, n_stocks=10, beta_window=250, regime_gate=false | -0.07 | 0.05 | -0.32 | 4.12 |
| `r-betting-against-beta-jp-growth-0257` | cost_bps=5, n_stocks=5, beta_window=250, regime_gate=true | 0.24 | -1.52 | 0.23 | 5.03 |
| `r-betting-against-beta-jp-growth-0259` | cost_bps=10, n_stocks=5, beta_window=250, regime_gate=true | 0.13 | -1.66 | 0.12 | 4.87 |
| `r-betting-against-beta-jp-growth-0270` | cost_bps=10, n_stocks=50, beta_window=250, regime_gate=false | -2.11 | -3.04 | -1.8 | 0.5 |
| `r-betting-against-beta-jp-growth-0274` | cost_bps=10, n_stocks=5, beta_window=250, regime_gate=false | -1.54 | -2.02 | -1.46 | 2.49 |
| `r-betting-against-beta-jp-growth-0288` | cost_bps=5, n_stocks=5, beta_window=250, regime_gate=false | -0.9 | -0.7 | -0.95 | -1.3 |
| `r-betting-against-beta-jp-growth-0302` | cost_bps=10, n_stocks=50, beta_window=250, regime_gate=false | -1.85 | -1.32 | -2.08 | -20.1 |

## Facts (7)

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

- **Average monthly return correlation with other strategies in DOWN regime: 0.10**
  - Value: 0.105 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/betting-against-beta-jp-growth-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.08**
  - Value: 0.0756 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/betting-against-beta-jp-growth-fact-avg-corr-full

- **Best grid Sharpe ratio is 0.24 (p=0.74).**
  - Value: 0.24 sharpe_ratio
  - Context: period 2023-08-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/betting-against-beta-jp-growth-fact-best-sharpe

- **Median Sharpe across 320 grid runs is -0.65.**
  - Value: -0.65 sharpe_ratio
  - Context: Full grid of 320 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/betting-against-beta-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is -1.37 across 320 runs.**
  - Value: -1.37 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/betting-against-beta-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -0.42 across 320 runs.**
  - Value: -0.42 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/betting-against-beta-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.96 across 320 runs.**
  - Value: -0.96 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/betting-against-beta-jp-growth-fact-regime-up

---

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

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