ベータに賭ける戦略（BAB）（米国S&P500）のバックテスト
Betting Against Beta (US S&P 500)
slug: betting-against-beta-us-sp500
米国S&P500（約503銘柄）でベータに賭ける戦略（BAB）をバックテストした。316通りの中央値 Sharpe は -1.20。p-value は 0.01。Max DD は -59.1%。期間は 2022-04-01〜2026-06-01。最良 Sharpe -0.45 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）
-1.20
Max DD
-59.1%
勝率
—
Alpha（年率）
—
p-value
0.01
期間: 2022-04-01 → 2026-06-01
316通りの Sharpe:中央値 -1.20最良 -0.45 （代表値ではない）最悪 -2.34p25–p75 -1.44–-0.97
仮説
原文は英語。
Frazzini & Pedersen (2014): low-beta stocks outperform on a risk-adjusted basis. Applied to S&P 500 constituents.
採用しなかった理由
Across 316 grid combinations, median Sharpe=-1.20, best=-0.45. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is -0.45 (p=0.12).
period 2022-04-01–2026-06-01; cost=5bps
cite ↗ /cite/betting-against-beta-us-sp500-fact-best-sharpevia r-betting-against-beta-us-sp500-0065
Median Sharpe across 316 grid runs is -1.20.
Full grid of 316 parameter combinations.
Median Sharpe in DOWN regime is -1.54 across 316 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -1.53 across 316 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.84 across 316 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-us-sp500-0000 | cost_bps: 5 n_stocks: 5 beta_window: 40 | -1.01 | -0.67 | -1.24 | -1.30 |
beta_window=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-betting-against-beta-us-sp500-0001 | cost_bps: 5 n_stocks: 5 beta_window: 40 | -0.89 | -0.22 | -1.24 | -1.30 |
beta_window=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-betting-against-beta-us-sp500-0002 | cost_bps: 10 n_stocks: 5 beta_window: 40 | -1.13 | -0.83 | -1.35 | -1.42 |
beta_window=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-betting-against-beta-us-sp500-0003 | cost_bps: 10 n_stocks: 5 beta_window: 40 | -1.00 | -0.46 | -1.35 | -1.42 |
beta_window=40, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-betting-against-beta-us-sp500-0012 | cost_bps: 5 n_stocks: 50 beta_window: 40 | -1.03 | -0.79 | -1.31 | -1.01 |
beta_window=40, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-betting-against-beta-us-sp500-0018 | cost_bps: 10 n_stocks: 5 beta_window: 40 | -0.98 | -0.75 | -1.41 | -0.76 |
beta_window=40, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-betting-against-beta-us-sp500-0032 | cost_bps: 5 n_stocks: 5 beta_window: 40 | -0.89 | -0.29 | -1.65 | -1.00 |
beta_window=40, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-betting-against-beta-us-sp500-0046 | cost_bps: 10 n_stocks: 50 beta_window: 40 | -1.51 | -1.43 | -1.93 | -1.32 |
beta_window=40, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False r-betting-against-beta-us-sp500-0060 | cost_bps: 5 n_stocks: 50 beta_window: 40 | -1.24 | -1.52 | -0.84 | -1.51 |
beta_window=40, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-betting-against-beta-us-sp500-0064 | cost_bps: 5 n_stocks: 5 beta_window: 40 | -0.97 | -1.05 | -0.76 | -1.05 |
beta_window=40, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-betting-against-beta-us-sp500-0065 | cost_bps: 5 n_stocks: 5 beta_window: 40 | -0.45 | +0.60 | -0.76 | -1.05 |
beta_window=40, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False r-betting-against-beta-us-sp500-0076 | cost_bps: 5 n_stocks: 50 beta_window: 40 | -1.19 | -1.07 | -1.18 | -1.56 |
beta_window=60, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False r-betting-against-beta-us-sp500-0090 | cost_bps: 10 n_stocks: 20 beta_window: 60 | -1.40 | -1.16 | -1.57 | -1.58 |
beta_window=60, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-betting-against-beta-us-sp500-0104 | cost_bps: 5 n_stocks: 20 beta_window: 60 | -1.28 | -1.82 | -1.07 | -0.86 |
beta_window=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-betting-against-beta-us-sp500-0118 | cost_bps: 10 n_stocks: 10 beta_window: 60 | -1.44 | -1.33 | -1.89 | -1.12 |
beta_window=60, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-betting-against-beta-us-sp500-0132 | cost_bps: 5 n_stocks: 10 beta_window: 60 | -1.12 | -1.52 | -0.68 | -1.21 |
beta_window=60, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-betting-against-beta-us-sp500-0146 | cost_bps: 10 n_stocks: 5 beta_window: 60 | -1.02 | -1.10 | -0.82 | -1.09 |
beta_window=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-betting-against-beta-us-sp500-0160 | cost_bps: 5 n_stocks: 5 beta_window: 120 | -1.26 | -0.97 | -1.38 | -1.86 |
beta_window=120, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-betting-against-beta-us-sp500-0174 | cost_bps: 10 n_stocks: 50 beta_window: 120 | -1.40 | -1.42 | -1.54 | -1.15 |
beta_window=120, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-betting-against-beta-us-sp500-0188 | cost_bps: 5 n_stocks: 50 beta_window: 120 | -1.81 | -1.85 | -1.51 | -2.23 |
beta_window=120, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-betting-against-beta-us-sp500-0202 | cost_bps: 10 n_stocks: 20 beta_window: 120 | -2.25 | -1.68 | -3.36 | -2.38 |
beta_window=120, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-betting-against-beta-us-sp500-0216 | cost_bps: 5 n_stocks: 20 beta_window: 120 | -1.80 | -1.84 | -1.52 | -2.30 |
beta_window=120, holding_days=60, n_stocks=20, cost_bps=5, regime_gate=False r-betting-against-beta-us-sp500-0232 | cost_bps: 5 n_stocks: 20 beta_window: 120 | -1.30 | -1.11 | -1.60 | -1.36 |
beta_window=250, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-betting-against-beta-us-sp500-0240 | cost_bps: 5 n_stocks: 5 beta_window: 250 | -1.51 | -1.55 | -1.62 | -1.20 |
beta_window=250, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True r-betting-against-beta-us-sp500-0247 | cost_bps: 10 n_stocks: 10 beta_window: 250 | -1.09 | -1.37 | -1.44 | -1.10 |
beta_window=250, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True r-betting-against-beta-us-sp500-0261 | cost_bps: 5 n_stocks: 10 beta_window: 250 | -1.60 | -0.76 | -2.14 | -3.80 |
beta_window=250, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=False r-betting-against-beta-us-sp500-0266 | cost_bps: 10 n_stocks: 20 beta_window: 250 | -2.34 | -2.19 | -1.98 | -3.59 |
beta_window=250, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=False r-betting-against-beta-us-sp500-0276 | cost_bps: 5 n_stocks: 10 beta_window: 250 | -2.11 | -1.71 | -3.08 | -2.05 |
beta_window=250, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=False r-betting-against-beta-us-sp500-0290 | cost_bps: 10 n_stocks: 5 beta_window: 250 | -1.79 | -1.88 | -1.48 | -2.24 |
beta_window=250, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-betting-against-beta-us-sp500-0305 | cost_bps: 5 n_stocks: 5 beta_window: 250 | -1.05 | +0.46 | -2.73 | -2.43 |
対象ユニバース
S&P 500 constituents, ~503 stocks
関連する戦略
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:19