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marginalregime_dependent· equity· anomaly· beta· factor· leverage

Betting Against Beta (JP All Stocks)

slug: betting-against-beta-jp-all
performance summary
Sharpe (median)
+0.13
Max DD
-18.1%
Win rate
—
Alpha (ann.)
—
p-value
0.63
backtest period: 2023-08-01 → 2026-02-02
Sharpe across 160 grid runs:median 0.13best 0.78 (not representative)worst -1.25p25–p75 -0.17–0.37

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.

Facts (5)

Best grid Sharpe ratio is 0.78 (p=0.13).
period 2023-08-01–2026-02-02; cost=5bps
sharpe_ratio0.78
cite ↗ /cite/betting-against-beta-jp-all-fact-best-sharpevia r-betting-against-beta-jp-all-0309
Median Sharpe across 160 grid runs is 0.13.
Full grid of 160 parameter combinations.
sharpe_ratio0.13
cite ↗ /cite/betting-against-beta-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is 1.11 across 160 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio1.11
cite ↗ /cite/betting-against-beta-jp-all-fact-regime-down
Median Sharpe in FLAT regime is -0.40 across 160 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.40
cite ↗ /cite/betting-against-beta-jp-all-fact-regime-flat
Median Sharpe in UP regime is 0.54 across 160 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.54
cite ↗ /cite/betting-against-beta-jp-all-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
beta_window=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-betting-against-beta-jp-all-0000
cost_bps: 5
n_stocks: 5
beta_window: 40
+0.03-0.04+0.49-2.14
beta_window=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-betting-against-beta-jp-all-0001
cost_bps: 5
n_stocks: 5
beta_window: 40
+0.21+0.75+0.49-2.14
beta_window=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-betting-against-beta-jp-all-0002
cost_bps: 10
n_stocks: 5
beta_window: 40
-0.15-0.19+0.28-2.32
beta_window=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-betting-against-beta-jp-all-0003
cost_bps: 10
n_stocks: 5
beta_window: 40
+0.02+0.56+0.28-2.32
beta_window=40, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False
r-betting-against-beta-jp-all-0004
cost_bps: 5
n_stocks: 10
beta_window: 40
+0.02-0.42+0.77-4.73
beta_window=40, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-betting-against-beta-jp-all-0018
cost_bps: 10
n_stocks: 5
beta_window: 40
-0.77-0.83-0.99+0.33
beta_window=40, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-betting-against-beta-jp-all-0032
cost_bps: 5
n_stocks: 5
beta_window: 40
-0.12+0.35-0.77+1.28
beta_window=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False
r-betting-against-beta-jp-all-0038
cost_bps: 10
n_stocks: 10
beta_window: 40
-0.24-0.08-0.59+1.50
beta_window=40, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False
r-betting-against-beta-jp-all-0052
cost_bps: 5
n_stocks: 10
beta_window: 40
-0.48+0.14-1.69+0.09
beta_window=40, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-betting-against-beta-jp-all-0064
cost_bps: 5
n_stocks: 5
beta_window: 40
-0.13+0.21-0.38-0.09
beta_window=40, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True
r-betting-against-beta-jp-all-0067
cost_bps: 10
n_stocks: 5
beta_window: 40
-0.04+1.04-0.40-0.12
beta_window=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-betting-against-beta-jp-all-0081
cost_bps: 5
n_stocks: 5
beta_window: 60
+0.44+0.72+0.91-2.03
beta_window=60, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True
r-betting-against-beta-jp-all-0087
cost_bps: 10
n_stocks: 10
beta_window: 60
+0.33+0.80+0.80-8.53
beta_window=60, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True
r-betting-against-beta-jp-all-0101
cost_bps: 5
n_stocks: 10
beta_window: 60
+0.33+1.03-0.31+2.29
beta_window=60, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=True
r-betting-against-beta-jp-all-0115
cost_bps: 10
n_stocks: 5
beta_window: 60
+0.53+1.19-0.45+5.12
beta_window=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True
r-betting-against-beta-jp-all-0129
cost_bps: 5
n_stocks: 5
beta_window: 60
+0.18+0.81-1.24+5.77
beta_window=60, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True
r-betting-against-beta-jp-all-0135
cost_bps: 10
n_stocks: 10
beta_window: 60
+0.19+0.62-0.50+1.28
beta_window=60, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=True
r-betting-against-beta-jp-all-0149
cost_bps: 5
n_stocks: 10
beta_window: 60
+0.56+1.01+0.37+0.77
beta_window=120, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-betting-against-beta-jp-all-0163
cost_bps: 10
n_stocks: 5
beta_window: 120
+0.30+1.26+0.29-2.07
beta_window=120, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True
r-betting-against-beta-jp-all-0177
cost_bps: 5
n_stocks: 5
beta_window: 120
+0.47+0.89-0.14+1.85
beta_window=120, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True
r-betting-against-beta-jp-all-0183
cost_bps: 10
n_stocks: 10
beta_window: 120
+0.41+1.48-0.24+0.98
beta_window=120, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True
r-betting-against-beta-jp-all-0197
cost_bps: 5
n_stocks: 10
beta_window: 120
+0.65+1.37-0.59+4.40
beta_window=120, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True
r-betting-against-beta-jp-all-0211
cost_bps: 10
n_stocks: 5
beta_window: 120
-0.09+0.77-1.38+2.66
beta_window=120, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True
r-betting-against-beta-jp-all-0225
cost_bps: 5
n_stocks: 5
beta_window: 120
+0.74+1.35+0.33+0.90
beta_window=120, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True
r-betting-against-beta-jp-all-0231
cost_bps: 10
n_stocks: 10
beta_window: 120
+0.67+0.28+0.58+1.47
beta_window=250, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-betting-against-beta-jp-all-0240
cost_bps: 5
n_stocks: 5
beta_window: 250
-0.03-1.49+0.54-0.71
beta_window=250, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False
r-betting-against-beta-jp-all-0246
cost_bps: 10
n_stocks: 10
beta_window: 250
-0.73-1.28-0.19-1.66
beta_window=250, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False
r-betting-against-beta-jp-all-0260
cost_bps: 5
n_stocks: 10
beta_window: 250
-0.09-0.01-0.40+0.90
beta_window=250, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True
r-betting-against-beta-jp-all-0291
cost_bps: 10
n_stocks: 5
beta_window: 250
-1.25+0.20-3.01+2.84
beta_window=250, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=True
r-betting-against-beta-jp-all-0309
cost_bps: 5
n_stocks: 10
beta_window: 250
+0.78-0.04+1.09+1.77

Target universe

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

Related strategies

same_strategy:betting-against-beta-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-31T01:32:13
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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