Strategies · Core
Betting Against Beta in Stocks
Long leveraged low-beta stocks and short high-beta stocks so the book is roughly market-neutral — BAB, not raw low-vol.
Definition
Rank on estimated beta, go long low-beta (levered toward beta 1) and short high-beta (delevered toward beta 1). The leverage on the long side is the design. Funding and borrow are first-class.
Why it matters
It is the cleanest statement of the low-risk anomaly as a market-neutral book. Leverage constraints are the theory.
Case
A funding squeeze: the levered low-beta long is the painful leg. BAB is a funding-sensitive factor.
How to read it
Beta estimation, leverage cap, and funding. Unlevered low-vol long-only is a different product.
Key papers
Landmark references with real publisher or arXiv links — not token-overlap noise.
- Betting Against BetaFrazzini, Pedersen · 2014 · Journal of Financial EconomicsThe BAB construction.
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