Low Beta (BAB)
Negative of trailing 252-day OLS beta vs the S&P 500. Lower beta = higher rank (Frazzini-Pedersen).
As of 2026-08-31 · 100 names held · backtest spans 230 months
Trailing returns
Cumulative return vs S&P 500 TR
Performance stats
| Metric | Factor | S&P 500 TR |
|---|---|---|
Annualized return (1 + total) ^ (252/4822) − 1 | +7.13% | +11.14% |
Annualized volatility daily-return stdev × √252 | +14.96% | +19.85% |
Sharpe ratio ann return ÷ ann vol (rf = 0) | 0.48 | 0.56 |
Max drawdown worst peak-to-trough on the cumulative series | -41.64% | -55.25% |
Information ratio ann excess return ÷ tracking error (vs S&P 500 TR) | -0.38 | — |
Monthly hit rate share of months where factor return > S&P 500 TR | 42% (97/230) | — |
How it's computed
What. For each ticker compute the OLS slope coefficient of daily total returns regressed on the benchmark's daily returns over the trailing 252 sessions — i.e. CAPM beta. Negate it so that low-beta names rank in the top quintile.
Why it has worked. Frazzini & Pedersen ("Betting Against Beta", 2014) documented that low-beta assets earn higher *risk-adjusted* returns than CAPM predicts, while high-beta assets earn lower. Their proposed mechanism is *leverage aversion*: investors who can't (or won't) use leverage bid up high-beta names to juice returns without borrowing. This leaves low-beta names persistently underpriced on a Sharpe-adjusted basis.
Why it's distinct from Low Volatility. Beta measures only *systematic* risk (co-movement with the market), while Low Vol measures total realized volatility — the two are correlated but capture different ideas. A low-volatility name with all of its variance idiosyncratic might still have high beta on the dimension that does correlate with the market, and vice versa. Both factors show up in this dashboard because they often diverge.
Caveats. Long-only top-quintile beta will be dominated by defensive sectors (utilities, staples) much like Low Vol. Underperforms in strong risk-on regimes.
Current sector mix
| Sector | Names | % of screen | |
|---|---|---|---|
| Consumer Staples | 20 | 20.0% | |
| Financials | 19 | 19.0% | |
| Utilities | 19 | 19.0% | |
| Energy | 15 | 15.0% | |
| Health Care | 6 | 6.0% | |
| Materials | 5 | 5.0% | |
| Real Estate | 5 | 5.0% | |
| Communication Services | 3 | 3.0% | |
| Industrials | 3 | 3.0% | |
| Information Technology | 3 | 3.0% | |
| Consumer Discretionary | 2 | 2.0% |
Current top quintile (100 names)
| Ticker | Name | Sector | Signal ↓ | Z-score |
|---|---|---|---|---|
| CF | CF Industries Holdings, Inc. | Materials | 93.2% | 1.52 |
| APA | APA Corp | Energy | 69.7% | 1.52 |
| KR | KROGER CO | Consumer Staples | 67.8% | 1.52 |
| OXY | OCCIDENTAL PETROLEUM CORP /DE/ | Energy | 60.8% | 1.52 |
| EOG | EOG RESOURCES INC | Energy | 55.5% | 1.52 |
| XOM | EXXON MOBIL CORP | Energy | 52.1% | 1.52 |
| DVN | DEVON ENERGY CORP/DE | Energy | 51.9% | 1.52 |
| MO | ALTRIA GROUP, INC. | Consumer Staples | 50.4% | 1.50 |
| COP | CONOCOPHILLIPS | Energy | 48.7% | 1.48 |
| CVX | CHEVRON CORP | Energy | 47.3% | 1.46 |
| PGR | PROGRESSIVE CORP/OH/ | Financials | 47.3% | 1.46 |
| ED | CONSOLIDATED EDISON INC | Utilities | 47.1% | 1.46 |
| AWK | American Water Works Company, Inc. | Utilities | 45.2% | 1.44 |
| OKE | ONEOK INC /NEW/ | Energy | 43.9% | 1.42 |
| ERIE | ERIE INDEMNITY CO | Financials | 38.4% | 1.35 |
| FANG | Diamondback Energy, Inc. | Energy | 38.0% | 1.35 |
| TMUS | T-Mobile US, Inc. | Communication Services | 37.8% | 1.34 |
| WM | WASTE MANAGEMENT INC | Industrials | 37.4% | 1.34 |
| T | AT&T INC. | Communication Services | 36.5% | 1.33 |
| RSG | REPUBLIC SERVICES, INC. | Industrials | 36.4% | 1.33 |
| CB | Chubb Ltd | Financials | 35.9% | 1.32 |
| ALL | ALLSTATE CORP | Financials | 34.8% | 1.31 |
| CBOE | Cboe Global Markets, Inc. | Financials | 34.7% | 1.30 |
| CME | CME GROUP INC. | Financials | 33.1% | 1.29 |
| VRSK | Verisk Analytics, Inc. | Information Technology | 32.8% | 1.28 |
| BRO | BROWN & BROWN, INC. | Financials | 32.3% | 1.28 |
| AJG | Arthur J. Gallagher & Co. | Financials | 31.5% | 1.27 |
| WRB | BERKLEY W R CORP | Financials | 30.6% | 1.25 |
| VZ | VERIZON COMMUNICATIONS INC | Communication Services | 30.0% | 1.25 |
| GIS | GENERAL MILLS INC | Consumer Staples | 29.7% | 1.24 |
| ACGL | ARCH CAPITAL GROUP LTD. | Financials | 29.6% | 1.24 |
| DUK | Duke Energy CORP | Utilities | 29.3% | 1.24 |
| MCK | MCKESSON CORP | Health Care | 28.7% | 1.23 |
| LYB | LyondellBasell Industries N.V. | Materials | 28.5% | 1.23 |
| MKC | MCCORMICK & CO INC | Consumer Staples | 28.5% | 1.23 |
| MRSH | MARSH & MCLENNAN COMPANIES, INC. | Financials | 27.4% | 1.21 |
| KO | COCA COLA CO | Consumer Staples | 26.4% | 1.20 |
| SJM | J M SMUCKER Co | Consumer Staples | 26.0% | 1.20 |
| VLO | VALERO ENERGY CORP/TX | Energy | 26.0% | 1.20 |
| PEP | PEPSICO INC | Consumer Staples | 24.4% | 1.18 |
| SO | SOUTHERN CO | Utilities | 23.7% | 1.17 |
| PSX | Phillips 66 | Energy | 23.4% | 1.16 |
| EXC | EXELON CORP | Utilities | 22.8% | 1.16 |
| COR | Cencora, Inc. | Health Care | 22.7% | 1.16 |
| AON | Aon plc | Financials | 22.0% | 1.15 |
| VTR | Ventas, Inc. | Real Estate | 21.0% | 1.14 |
| TAP | MOLSON COORS BEVERAGE CO | Consumer Staples | 20.0% | 1.12 |
| MDLZ | Mondelez International, Inc. | Consumer Staples | 19.6% | 1.12 |
| PM | Philip Morris International Inc. | Consumer Staples | 18.6% | 1.11 |
| JNJ | JOHNSON & JOHNSON | Health Care | 18.0% | 1.10 |
| TRGP | Targa Resources Corp. | Energy | 17.4% | 1.09 |
| PPL | PPL Corp | Utilities | 16.9% | 1.08 |
| CNP | CENTERPOINT ENERGY INC | Utilities | 16.2% | 1.07 |
| AFL | AFLAC INC | Financials | 15.8% | 1.07 |
| DGX | QUEST DIAGNOSTICS INC | Health Care | 15.8% | 1.07 |
| ATO | ATMOS ENERGY CORP | Utilities | 15.2% | 1.06 |
| CL | COLGATE PALMOLIVE CO | Consumer Staples | 14.9% | 1.06 |
| COST | COSTCO WHOLESALE CORP /NEW | Consumer Staples | 13.1% | 1.04 |
| PNW | PINNACLE WEST CAPITAL CORP | Utilities | 13.0% | 1.04 |
| KMI | KINDER MORGAN, INC. | Energy | 12.6% | 1.03 |
| CMS | CMS ENERGY CORP | Utilities | 12.5% | 1.03 |
| HSY | HERSHEY CO | Consumer Staples | 12.1% | 1.02 |
| AMT | AMERICAN TOWER CORP /MA/ | Real Estate | 11.2% | 1.01 |
| WEC | WEC ENERGY GROUP, INC. | Utilities | 11.1% | 1.01 |
| CASY | CASEYS GENERAL STORES INC | Consumer Discretionary | 10.6% | 1.01 |
| TRV | TRAVELERS COMPANIES, INC. | Financials | 10.3% | 1.00 |
| WTW | WILLIS TOWERS WATSON PLC | Financials | 10.1% | 1.00 |
| MPC | Marathon Petroleum Corp | Energy | 9.8% | 1.00 |
| HRL | HORMEL FOODS CORP /DE/ | Consumer Staples | 9.5% | 0.99 |
| CAH | CARDINAL HEALTH INC | Health Care | 7.9% | 0.97 |
| FE | FIRSTENERGY CORP | Utilities | 7.7% | 0.97 |
| AEE | AMEREN CORP | Utilities | 7.6% | 0.97 |
| HIG | HARTFORD INSURANCE GROUP, INC. | Financials | 7.0% | 0.96 |
| LNT | ALLIANT ENERGY CORP | Utilities | 6.5% | 0.95 |
| WMT | Walmart Inc. | Consumer Staples | 6.3% | 0.95 |
| CHD | CHURCH & DWIGHT CO INC /DE/ | Materials | 6.3% | 0.95 |
| D | DOMINION ENERGY, INC | Utilities | 5.6% | 0.94 |
| ABBV | AbbVie Inc. | Health Care | 5.2% | 0.94 |
| PG | PROCTER & GAMBLE Co | Materials | 4.9% | 0.94 |
| O | REALTY INCOME CORP | Real Estate | 4.7% | 0.93 |
| ADM | Archer-Daniels-Midland Co | Consumer Staples | 3.7% | 0.92 |
| AEP | AMERICAN ELECTRIC POWER CO INC | Utilities | 3.4% | 0.92 |
| JKHY | JACK HENRY & ASSOCIATES INC | Financials | 3.1% | 0.91 |
| EVRG | Evergy, Inc. | Utilities | 2.9% | 0.91 |
| WELL | WELLTOWER INC. | Real Estate | 2.6% | 0.91 |
| KHC | Kraft Heinz Co | Consumer Staples | 2.5% | 0.91 |
| BG | Bunge Global SA | Consumer Staples | 2.0% | 0.90 |
| EG | EVEREST GROUP, LTD. | Financials | 1.9% | 0.90 |
| MCD | MCDONALDS CORP | Consumer Discretionary | 1.9% | 0.90 |
| TSN | TYSON FOODS, INC. | Consumer Staples | 1.8% | 0.90 |
| VICI | VICI PROPERTIES INC. | Real Estate | 1.6% | 0.89 |
| DTE | DTE ENERGY CO | Utilities | 1.5% | 0.89 |
| VRSN | VERISIGN INC/CA | Information Technology | 0.3% | 0.88 |
| ADP | AUTOMATIC DATA PROCESSING INC | Industrials | -0.0% | 0.87 |
| XEL | XCEL ENERGY INC | Utilities | -0.6% | 0.87 |
| WMB | WILLIAMS COMPANIES, INC. | Energy | -0.8% | 0.86 |
| BF-B | BROWN FORMAN CORP | Consumer Staples | -1.3% | 0.86 |
| KMB | KIMBERLY CLARK CORP | Materials | -1.6% | 0.85 |
| L | LOEWS CORP | Financials | -2.4% | 0.84 |
| FDS | FACTSET RESEARCH SYSTEMS INC | Information Technology | -2.7% | 0.84 |