# Betting Against Beta (US S&P 500)

- **Slug**: `betting-against-beta-us-sp500`
- **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-us-sp500
- **JSON**: https://qbuntu.ai/v1/strategies/betting-against-beta-us-sp500
- **License**: CC-BY-4.0

## Hypothesis

Frazzini & Pedersen (2014): low-beta stocks outperform on a risk-adjusted basis. Applied to S&P 500 constituents.

## Why it didn't work

Across 318 grid combinations, median Sharpe=-1.20, best=-0.39. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -1.2008 |
| Max drawdown | -59% |
| p-value | 0.015 |
| Backtest period | 2022-04-01 to 2026-06-01 |

Sharpe distribution across 318 grid runs: median -1.2, best -0.39 (best-case — not representative), worst -2.34, p25 -1.45, p75 -0.95.

## 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: GSPC SMA20/SMA60 three-class: UP (close>SMA20 AND SMA20>SMA60), DOWN (close<SMA20 AND SMA20<SMA60), FLAT (else)
- Transaction cost bps: 5

## Target universe

S&P 500 constituents, ~503 stocks

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-betting-against-beta-us-sp500-0000` | cost_bps=5, n_stocks=5, beta_window=40, regime_gate=false | -1.01 | -0.67 | -1.24 | -1.3 |
| `r-betting-against-beta-us-sp500-0001` | cost_bps=5, n_stocks=5, beta_window=40, regime_gate=true | -0.89 | -0.22 | -1.24 | -1.3 |
| `r-betting-against-beta-us-sp500-0002` | cost_bps=10, n_stocks=5, beta_window=40, regime_gate=false | -1.13 | -0.83 | -1.35 | -1.42 |
| `r-betting-against-beta-us-sp500-0003` | cost_bps=10, n_stocks=5, beta_window=40, regime_gate=true | -1 | -0.46 | -1.35 | -1.42 |
| `r-betting-against-beta-us-sp500-0012` | cost_bps=5, n_stocks=50, beta_window=40, regime_gate=false | -1.03 | -0.79 | -1.31 | -1.01 |
| `r-betting-against-beta-us-sp500-0018` | cost_bps=10, n_stocks=5, beta_window=40, regime_gate=false | -0.98 | -0.75 | -1.41 | -0.76 |
| `r-betting-against-beta-us-sp500-0032` | cost_bps=5, n_stocks=5, beta_window=40, regime_gate=false | -0.88 | -0.25 | -1.65 | -1 |
| `r-betting-against-beta-us-sp500-0046` | cost_bps=10, n_stocks=50, beta_window=40, regime_gate=false | -1.49 | -1.35 | -1.93 | -1.32 |
| `r-betting-against-beta-us-sp500-0060` | cost_bps=5, n_stocks=50, beta_window=40, regime_gate=false | -1.22 | -1.47 | -0.84 | -1.51 |
| `r-betting-against-beta-us-sp500-0064` | cost_bps=5, n_stocks=5, beta_window=40, regime_gate=false | -0.95 | -1.13 | -0.76 | -0.78 |
| `r-betting-against-beta-us-sp500-0065` | cost_bps=5, n_stocks=5, beta_window=40, regime_gate=true | -0.39 | 0.69 | -0.76 | -0.78 |
| `r-betting-against-beta-us-sp500-0076` | cost_bps=5, n_stocks=50, beta_window=40, regime_gate=false | -1.27 | -1.29 | -1.18 | -1.35 |
| `r-betting-against-beta-us-sp500-0090` | cost_bps=10, n_stocks=20, beta_window=60, regime_gate=false | -1.4 | -1.16 | -1.57 | -1.58 |
| `r-betting-against-beta-us-sp500-0104` | cost_bps=5, n_stocks=20, beta_window=60, regime_gate=false | -1.28 | -1.82 | -1.07 | -0.86 |
| `r-betting-against-beta-us-sp500-0118` | cost_bps=10, n_stocks=10, beta_window=60, regime_gate=false | -1.39 | -1.19 | -1.89 | -1.12 |
| `r-betting-against-beta-us-sp500-0132` | cost_bps=5, n_stocks=10, beta_window=60, regime_gate=false | -1.06 | -1.38 | -0.68 | -1.21 |
| `r-betting-against-beta-us-sp500-0146` | cost_bps=10, n_stocks=5, beta_window=60, regime_gate=false | -1.04 | -1.21 | -0.82 | -0.86 |
| `r-betting-against-beta-us-sp500-0160` | cost_bps=5, n_stocks=5, beta_window=120, regime_gate=false | -1.26 | -0.97 | -1.38 | -1.86 |
| `r-betting-against-beta-us-sp500-0174` | cost_bps=10, n_stocks=50, beta_window=120, regime_gate=false | -1.4 | -1.42 | -1.54 | -1.15 |
| `r-betting-against-beta-us-sp500-0188` | cost_bps=5, n_stocks=50, beta_window=120, regime_gate=false | -1.81 | -1.85 | -1.51 | -2.23 |
| `r-betting-against-beta-us-sp500-0202` | cost_bps=10, n_stocks=20, beta_window=120, regime_gate=false | -2.26 | -1.68 | -3.36 | -2.38 |
| `r-betting-against-beta-us-sp500-0216` | cost_bps=5, n_stocks=20, beta_window=120, regime_gate=false | -1.77 | -1.76 | -1.52 | -2.3 |
| `r-betting-against-beta-us-sp500-0232` | cost_bps=5, n_stocks=20, beta_window=120, regime_gate=false | -1.4 | -1.32 | -1.6 | -1.05 |
| `r-betting-against-beta-us-sp500-0240` | cost_bps=5, n_stocks=5, beta_window=250, regime_gate=false | -1.51 | -1.55 | -1.62 | -1.2 |
| `r-betting-against-beta-us-sp500-0247` | cost_bps=10, n_stocks=10, beta_window=250, regime_gate=true | -1.09 | -1.37 | -1.44 | -1.1 |
| `r-betting-against-beta-us-sp500-0261` | cost_bps=5, n_stocks=10, beta_window=250, regime_gate=true | -1.6 | -0.76 | -2.14 | -3.8 |
| `r-betting-against-beta-us-sp500-0266` | cost_bps=10, n_stocks=20, beta_window=250, regime_gate=false | -2.34 | -2.19 | -1.98 | -3.59 |
| `r-betting-against-beta-us-sp500-0276` | cost_bps=5, n_stocks=10, beta_window=250, regime_gate=false | -2.14 | -1.74 | -3.08 | -2.05 |
| `r-betting-against-beta-us-sp500-0290` | cost_bps=10, n_stocks=5, beta_window=250, regime_gate=false | -1.79 | -1.88 | -1.48 | -2.24 |
| `r-betting-against-beta-us-sp500-0304` | cost_bps=5, n_stocks=5, beta_window=250, regime_gate=false | -1.62 | -1.2 | -2.73 | -2.09 |

## Facts (5)

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

- **Best grid Sharpe ratio is -0.39 (p=0.19).**
  - Value: -0.39 sharpe_ratio
  - Context: period 2022-04-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/betting-against-beta-us-sp500-fact-best-sharpe

- **Median Sharpe across 318 grid runs is -1.20.**
  - Value: -1.2 sharpe_ratio
  - Context: Full grid of 318 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/betting-against-beta-us-sp500-fact-median-sharpe

- **Median Sharpe in DOWN regime is -1.42 across 318 runs.**
  - Value: -1.42 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/betting-against-beta-us-sp500-fact-regime-down

- **Median Sharpe in FLAT regime is -1.54 across 318 runs.**
  - Value: -1.54 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/betting-against-beta-us-sp500-fact-regime-flat

- **Median Sharpe in UP regime is -0.85 across 318 runs.**
  - Value: -0.85 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/betting-against-beta-us-sp500-fact-regime-up

## Related strategies

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- 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 (US S&P 500). https://qbuntu.ai/strategies/betting-against-beta-us-sp500

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