ベータに賭ける戦略（BAB）（東証グロース）のバックテスト
Betting Against Beta (JP Growth Stocks)
slug: betting-against-beta-jp-growth
東証グロース（約495銘柄）でベータに賭ける戦略（BAB）をバックテストした。320通りの中央値 Sharpe は -0.68。p-value は 0.23。Max DD は -26.6%。期間は 2023-08-01〜2026-06-01。最良 Sharpe +0.24 は代表値ではない。
判定は rejected。中央値は promising（Sharpe > 0.5 かつ p-value < 0.05）にも marginal（Sharpe > 0.05 かつ最良 p-value < 0.10）にも届いていない。主因は no_edge。レジーム・取引回数・コストには分類されず、中央値が採用ラインに届いていない。
成績の中央値
Sharpe（中央値）
-0.68
Max DD
-26.6%
勝率
—
Alpha（年率）
—
p-value
0.23
期間: 2023-08-01 → 2026-06-01
320通りの Sharpe:中央値 -0.68最良 0.24 （代表値ではない）最悪 -2.11p25–p75 -0.96–-0.40
仮説
原文は英語。
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.
採用しなかった理由
Across 320 grid combinations, median Sharpe=-0.68, best=0.24. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.24 (p=0.74).
period 2023-08-01–2026-06-01; cost=5bps
cite ↗ /cite/betting-against-beta-jp-growth-fact-best-sharpevia r-betting-against-beta-jp-growth-0257
Median Sharpe across 320 grid runs is -0.68.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is -1.37 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.45 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.89 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
beta_window=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-betting-against-beta-jp-growth-0000 | cost_bps: 5 n_stocks: 5 beta_window: 40 | -0.22 | -0.42 | +0.29 | -4.48 |
beta_window=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-betting-against-beta-jp-growth-0001 | cost_bps: 5 n_stocks: 5 beta_window: 40 | -0.30 | -0.64 | +0.29 | -4.48 |
beta_window=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-betting-against-beta-jp-growth-0002 | cost_bps: 10 n_stocks: 5 beta_window: 40 | -0.34 | -0.55 | +0.19 | -4.66 |
beta_window=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-betting-against-beta-jp-growth-0003 | cost_bps: 10 n_stocks: 5 beta_window: 40 | -0.39 | -0.70 | +0.19 | -4.66 |
beta_window=40, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-betting-against-beta-jp-growth-0012 | cost_bps: 5 n_stocks: 50 beta_window: 40 | -1.23 | -1.96 | -0.63 | -0.92 |
beta_window=40, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-betting-against-beta-jp-growth-0018 | cost_bps: 10 n_stocks: 5 beta_window: 40 | -0.68 | -2.35 | +0.29 | -15.64 |
beta_window=40, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-betting-against-beta-jp-growth-0032 | cost_bps: 5 n_stocks: 5 beta_window: 40 | -1.17 | -1.57 | -0.57 | -5.40 |
beta_window=40, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-betting-against-beta-jp-growth-0046 | cost_bps: 10 n_stocks: 50 beta_window: 40 | -1.07 | -1.74 | -0.33 | -7.46 |
beta_window=40, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False r-betting-against-beta-jp-growth-0060 | cost_bps: 5 n_stocks: 50 beta_window: 40 | -0.74 | -1.07 | -0.46 | -0.86 |
beta_window=40, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-betting-against-beta-jp-growth-0064 | cost_bps: 5 n_stocks: 5 beta_window: 40 | -0.44 | -1.21 | -0.11 | +0.55 |
beta_window=40, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True r-betting-against-beta-jp-growth-0075 | cost_bps: 10 n_stocks: 20 beta_window: 40 | -0.56 | -1.68 | -0.13 | +0.06 |
beta_window=60, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True r-betting-against-beta-jp-growth-0089 | cost_bps: 5 n_stocks: 20 beta_window: 60 | -0.99 | -0.95 | -0.87 | -1.99 |
beta_window=60, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-betting-against-beta-jp-growth-0103 | cost_bps: 10 n_stocks: 10 beta_window: 60 | -0.80 | -1.47 | -0.30 | -3.23 |
beta_window=60, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True r-betting-against-beta-jp-growth-0117 | cost_bps: 5 n_stocks: 10 beta_window: 60 | -0.52 | -0.62 | -0.23 | -1.60 |
beta_window=60, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True r-betting-against-beta-jp-growth-0131 | cost_bps: 10 n_stocks: 5 beta_window: 60 | -0.79 | -0.44 | -1.21 | +0.16 |
beta_window=60, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-betting-against-beta-jp-growth-0145 | cost_bps: 5 n_stocks: 5 beta_window: 60 | -0.38 | -1.21 | -0.18 | +1.16 |
beta_window=60, holding_days=60, n_stocks=50, cost_bps=10, regime_gate=True r-betting-against-beta-jp-growth-0159 | cost_bps: 10 n_stocks: 50 beta_window: 60 | -0.42 | -1.14 | -0.00 | -0.84 |
beta_window=120, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=True r-betting-against-beta-jp-growth-0173 | cost_bps: 5 n_stocks: 50 beta_window: 120 | -0.44 | -0.84 | +0.64 | -1.96 |
beta_window=120, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True r-betting-against-beta-jp-growth-0187 | cost_bps: 10 n_stocks: 20 beta_window: 120 | -0.96 | -1.22 | -0.56 | -4.17 |
beta_window=120, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=True r-betting-against-beta-jp-growth-0201 | cost_bps: 5 n_stocks: 20 beta_window: 120 | -0.72 | -1.12 | -0.40 | -8.46 |
beta_window=120, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True r-betting-against-beta-jp-growth-0215 | cost_bps: 10 n_stocks: 10 beta_window: 120 | -1.22 | -1.28 | -0.96 | -2.76 |
beta_window=120, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=True r-betting-against-beta-jp-growth-0229 | cost_bps: 5 n_stocks: 10 beta_window: 120 | -0.08 | -0.70 | +0.08 | +1.38 |
beta_window=250, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-betting-against-beta-jp-growth-0240 | cost_bps: 5 n_stocks: 5 beta_window: 250 | -0.10 | -1.29 | +0.30 | +16.97 |
beta_window=250, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-betting-against-beta-jp-growth-0244 | cost_bps: 5 n_stocks: 10 beta_window: 250 | -0.07 | +0.05 | -0.32 | +4.12 |
beta_window=250, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True r-betting-against-beta-jp-growth-0257 | cost_bps: 5 n_stocks: 5 beta_window: 250 | +0.24 | -1.52 | +0.23 | +5.03 |
beta_window=250, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True r-betting-against-beta-jp-growth-0259 | cost_bps: 10 n_stocks: 5 beta_window: 250 | +0.13 | -1.66 | +0.12 | +4.87 |
beta_window=250, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False r-betting-against-beta-jp-growth-0270 | cost_bps: 10 n_stocks: 50 beta_window: 250 | -2.11 | -3.04 | -1.80 | +0.50 |
beta_window=250, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-betting-against-beta-jp-growth-0274 | cost_bps: 10 n_stocks: 5 beta_window: 250 | -1.56 | -2.02 | -1.46 | +2.49 |
beta_window=250, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-betting-against-beta-jp-growth-0288 | cost_bps: 5 n_stocks: 5 beta_window: 250 | -0.76 | -0.30 | -0.95 | -1.30 |
beta_window=250, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-betting-against-beta-jp-growth-0302 | cost_bps: 10 n_stocks: 50 beta_window: 250 | -1.45 | -0.66 | -2.08 | -20.10 |
対象ユニバース
Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:19