betting against beta factor | Betting Against Beta: Equity Factors Dat

Keyword	CPC	PCC	Volume	Score	Length of keyword
betting against beta factor	0.84	0.6	1516	2	27
betting	1.44	0.2	9919	73	7
against	1.77	0.8	7958	29	7
beta	0.84	0.8	937	93	4
factor	0.95	0.6	3925	9	6

Keyword	CPC	PCC	Volume	Score
betting against beta factor	1.1	0.2	2919	20

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Betting Against Beta: Equity Factors Data, Monthly
aqr.com

https://www.aqr.com/Insights/Datasets/Betting-Against-Beta-Equity-Factors-Monthly

Jan 01, 2014 · Betting Against Beta: Equity Factors Data, Monthly. February 28, 2022. Topics - Factor/Style Investing Defensive. This data set is related to “Betting Against Beta” (Frazzini and Pedersen, 2014). A basic premise of the capital asset pricing model (CAPM) is that all agents invest in the portfolio with the highest Sharpe ratio, or expected excess return per unit of risk, and leverage or …

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Betting Against Beta - AQR Capital
aqr.com

https://www.aqr.com/Insights/Research/Journal-Article/Betting-Against-Beta

Jan 01, 2014 · Betting Against Beta A basic premise of the capital asset pricing model (CAPM) is that all agents invest in the portfolio with the highest Sharpe ratio, or expected excess return per unit of risk, and leverage or de-leverage this portfolio to suit their risk preferences.

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Betting Against Beta Factor in Stocks - QuantPedia
quantpedia.com

https://quantpedia.com/strategies/betting-against-beta-factor-in-stocks/

Aug 22, 2019 · The “Betting-Against-Beta” is the zero-cost zero-beta portfolio that is long on the low-beta portfolio and short on the high-beta portfolio. There are a lot of …

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Betting Against Beta: New Insights - Alpha Architect
alphaarchitect.com

https://alphaarchitect.com/2022/04/betting-against-beta-new-insights/

Apr 28, 2022 · The 2014 study by Andrea Frazzini and Lasse Pedersen, “ Betting Against Beta ,” established strong support for low-beta (as well as low-volatility) strategies. The authors found that for U.S. stocks, the betting against beta (BAB) factor (a portfolio that holds low-beta assets leveraged to a beta of 1 and shorts high-beta assets deleveraged to a beta of 1) realized a Sharpe ratio of 0.78 …

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Betting Against Beta (BAB) - Breaking Down Finance
breakingdownfinance.com

https://breakingdownfinance.com/trading-strategies/betting-against-beta-bab/

Betting Against Beta (BAB) Betting against beta is a type of low risk investing. The approach is suggested by Andrea Frazzini and Lasse H. Pedersen. On this page, we …

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Betting Against Beta (BAB) Construction - Alpha Architect
alphaarchitect.com

https://alphaarchitect.com/2019/08/betting-against-beta-bab-construction/

Aug 06, 2019 · The high-level idea behind the “Betting Against Beta” (BAB) factor is pretty simple: (1) Go long low beta stocks (and use leverage to make the beta ~1). Go short high beta stocks (and reduce the net exposure to make the beta ~1).

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How AQR Places Bets Against Beta - Investopedia
investopedia.com

https://www.investopedia.com/articles/investing/082515/how-aqr-places-bets-against-beta.asp

Aug 25, 2015 · How AQR Places Bets Against Beta Beta. Beta is a measure of the risk that cannot be reduced by diversification. A beta of one means a stock or portfolio... CAPM. CAPM is a model that calculates the expected return on an asset or portfolio. The …

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Betting Against Beta
lhpedersen.com

http://docs.lhpedersen.com/BettingAgainstBeta.pdf

(2) A betting against beta (BAB) factor, which is long leveraged low-beta assets and short high-beta assets, produces significant positive risk- adjusted returns. (3) When funding constraints tighten, the return of the BAB factor is low. (4) Increased funding liquidity risk compresses betas toward one.

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