Low Beta (BAB)
Negative of trailing 252-day OLS beta vs SPY. Lower beta = higher rank (Frazzini-Pedersen).
As of 2026-06-02 · 100 names held · backtest spans 230 months
Trailing returns
Cumulative return vs SPY
Performance stats
| Metric | Factor | SPY |
|---|---|---|
Annualized return (1 + total) ^ (252/4821) − 1 | +8.94% | +10.58% |
Annualized volatility daily-return stdev × √252 | +14.69% | +19.65% |
Sharpe ratio ann return ÷ ann vol (rf = 0) | 0.61 | 0.54 |
Max drawdown worst peak-to-trough on the cumulative series | -48.18% | — |
Information ratio ann excess return ÷ tracking error (vs SPY) | -0.20 | — |
Monthly hit rate share of months where factor return > SPY | 44% (102/230) | — |
How it's computed
What. For each ticker compute the OLS slope coefficient of daily total returns regressed on SPY's daily returns over the trailing 252 trading days — 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 | 28 | 28.0% | |
| Utilities | 20 | 20.0% | |
| Financials | 15 | 15.0% | |
| Real Estate | 8 | 8.0% | |
| Health Care | 8 | 8.0% | |
| Industrials | 7 | 7.0% | |
| Communication Services | 4 | 4.0% | |
| Consumer Discretionary | 4 | 4.0% | |
| Energy | 4 | 4.0% | |
| Information Technology | 1 | 1.0% | |
| Materials | 1 | 1.0% |
Current top quintile (100 names)
| Ticker | Name | Sector | Signal ↓ | Z-score |
|---|---|---|---|---|
| KR | Kroger | Consumer Staples | 46.2% | 1.74 |
| AWK | American Water Works | Utilities | 45.9% | 1.74 |
| ED | Consolidated Edison | Utilities | 45.1% | 1.74 |
| CBOE | Cboe Global Markets | Financials | 29.2% | 1.74 |
| NOC | Northrop Grumman | Industrials | 27.6% | 1.74 |
| DUK | Duke Energy | Utilities | 26.6% | 1.74 |
| CME | CME Group | Financials | 25.9% | 1.73 |
| MO | Altria | Consumer Staples | 23.8% | 1.70 |
| CL | Colgate-Palmolive | Consumer Staples | 22.7% | 1.68 |
| SO | Southern Company | Utilities | 21.2% | 1.66 |
| AMT | American Tower | Real Estate | 20.6% | 1.65 |
| KO | Coca-Cola Company (The) | Consumer Staples | 19.3% | 1.63 |
| PM | Philip Morris International | Consumer Staples | 17.6% | 1.60 |
| T | AT&T | Communication Services | 16.5% | 1.58 |
| KMB | Kimberly-Clark | Consumer Staples | 16.1% | 1.58 |
| GIS | General Mills | Consumer Staples | 15.5% | 1.57 |
| WM | Waste Management | Industrials | 14.5% | 1.55 |
| TMUS | T-Mobile US | Communication Services | 14.2% | 1.55 |
| PG | Procter & Gamble | Consumer Staples | 12.5% | 1.52 |
| EXC | Exelon | Utilities | 12.5% | 1.52 |
| VZ | Verizon | Communication Services | 12.0% | 1.51 |
| VTR | Ventas | Real Estate | 10.1% | 1.48 |
| PEP | PepsiCo | Consumer Staples | 9.7% | 1.48 |
| HSY | Hershey Company (The) | Consumer Staples | 8.0% | 1.45 |
| MCK | McKesson Corporation | Health Care | 7.3% | 1.44 |
| SJM | J.M. Smucker Company (The) | Consumer Staples | 6.9% | 1.43 |
| PNW | Pinnacle West Capital | Utilities | 6.3% | 1.42 |
| RSG | Republic Services | Industrials | 5.9% | 1.42 |
| AZO | AutoZone | Consumer Discretionary | 5.3% | 1.41 |
| AEP | American Electric Power | Utilities | 4.5% | 1.39 |
| WEC | WEC Energy Group | Utilities | 4.3% | 1.39 |
| MDLZ | Mondelez International | Consumer Staples | 4.1% | 1.39 |
| JNJ | Johnson & Johnson | Health Care | 3.2% | 1.37 |
| CHD | Church & Dwight | Consumer Staples | 3.2% | 1.37 |
| ORLY | O’Reilly Automotive | Consumer Discretionary | 2.9% | 1.37 |
| CAG | Conagra Brands | Consumer Staples | 2.1% | 1.36 |
| CB | Chubb Limited | Financials | 2.0% | 1.36 |
| O | Realty Income | Real Estate | 1.9% | 1.35 |
| CMS | CMS Energy | Utilities | 1.7% | 1.35 |
| FE | FirstEnergy | Utilities | 1.7% | 1.35 |
| CAH | Cardinal Health | Health Care | 1.0% | 1.34 |
| CNP | CenterPoint Energy | Utilities | 0.9% | 1.34 |
| MKC | McCormick & Company | Consumer Staples | 0.7% | 1.33 |
| LNT | Alliant Energy | Utilities | 0.3% | 1.33 |
| CPB | Campbell's Company (The) | Consumer Staples | 0.2% | 1.33 |
| CASY | Casey's | Consumer Staples | -0.1% | 1.32 |
| COR | Cencora | Health Care | -0.1% | 1.32 |
| SBAC | SBA Communications | Real Estate | -0.3% | 1.32 |
| XEL | Xcel Energy | Utilities | -1.1% | 1.31 |
| ATO | Atmos Energy | Utilities | -1.3% | 1.30 |
| AEE | Ameren | Utilities | -1.4% | 1.30 |
| MCD | McDonald's | Consumer Discretionary | -1.9% | 1.29 |
| ACGL | Arch Capital Group | Financials | -2.1% | 1.29 |
| WELL | Welltower | Real Estate | -2.7% | 1.28 |
| D | Dominion Energy | Utilities | -2.8% | 1.28 |
| MNST | Monster Beverage | Consumer Staples | -3.2% | 1.27 |
| CVS | CVS Health | Health Care | -3.5% | 1.27 |
| WMT | Walmart | Consumer Staples | -3.5% | 1.27 |
| DVA | DaVita | Health Care | -4.3% | 1.26 |
| VRSK | Verisk Analytics | Industrials | -5.3% | 1.24 |
| KDP | Keurig Dr Pepper | Consumer Staples | -5.8% | 1.23 |
| EVRG | Evergy | Utilities | -6.2% | 1.23 |
| TAP | Molson Coors Beverage Company | Consumer Staples | -6.6% | 1.22 |
| PGR | Progressive Corporation | Financials | -7.3% | 1.21 |
| BNY | BNY Mellon | Financials | -8.7% | 1.19 |
| ABT | Abbott Laboratories | Health Care | -10.2% | 1.16 |
| DTE | DTE Energy | Utilities | -10.7% | 1.16 |
| HRL | Hormel Foods | Consumer Staples | -11.8% | 1.14 |
| DG | Dollar General | Consumer Staples | -12.0% | 1.14 |
| DGX | Quest Diagnostics | Health Care | -12.0% | 1.13 |
| BRO | Brown & Brown | Financials | -12.1% | 1.13 |
| VICI | Vici Properties | Real Estate | -12.1% | 1.13 |
| AJG | Arthur J. Gallagher & Co. | Financials | -12.8% | 1.12 |
| WTW | Willis Towers Watson | Financials | -13.0% | 1.12 |
| WRB | W. R. Berkley Corporation | Financials | -14.2% | 1.10 |
| AFL | Aflac | Financials | -14.4% | 1.10 |
| AON | Aon plc | Financials | -14.5% | 1.10 |
| LMT | Lockheed Martin | Industrials | -15.5% | 1.08 |
| ROL | Rollins, Inc. | Industrials | -16.1% | 1.07 |
| KHC | Kraft Heinz | Consumer Staples | -16.2% | 1.07 |
| MSI | Motorola Solutions | Information Technology | -16.2% | 1.07 |
| ADM | Archer Daniels Midland | Consumer Staples | -16.3% | 1.07 |
| KMI | Kinder Morgan | Energy | -16.9% | 1.06 |
| OTIS | Otis Worldwide | Industrials | -17.2% | 1.05 |
| ALL | Allstate | Financials | -17.5% | 1.05 |
| CCI | Crown Castle | Real Estate | -17.6% | 1.05 |
| YUM | Yum! Brands | Consumer Discretionary | -17.6% | 1.05 |
| XOM | ExxonMobil | Energy | -18.0% | 1.04 |
| KVUE | Kenvue | Consumer Staples | -18.5% | 1.03 |
| ERIE | Erie Indemnity | Financials | -18.8% | 1.03 |
| WMB | Williams Companies | Energy | -19.5% | 1.02 |
| COST | Costco | Consumer Staples | -20.1% | 1.01 |
| NI | NiSource | Utilities | -20.9% | 0.99 |
| MRSH | Marsh McLennan | Financials | -21.2% | 0.99 |
| CF | CF Industries | Materials | -21.7% | 0.98 |
| INVH | Invitation Homes | Real Estate | -21.9% | 0.98 |
| EXE | Expand Energy | Energy | -22.7% | 0.97 |
| EA | Electronic Arts | Communication Services | -23.8% | 0.95 |
| CLX | Clorox | Consumer Staples | -24.0% | 0.95 |
| NEE | NextEra Energy | Utilities | -24.2% | 0.94 |