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academic_bab

Frazzini-Pedersen 2014 betting-against-beta

Themes & universe

volatilityequity_usequity_cnequity_hk1d

Formula

\mathrm{zscore}_{x}\bigl(-\,\mathrm{ts\_cov}(r_i, r_m, 252) / \mathrm{ts\_std}(r_m, 252)^2\bigr)

Definition

id

academic_bab

zoo

academic

module_path

src.factors.zoo.academic.bab

decay_horizon

252

min_warmup_bars

253

requires_sector

False

columns_required

close

Notes

Frazzini & Pedersen (2014) BAB. Price-only proxy: market return is the cross-sectional mean of daily per-stock returns (equal-weighted, not value-weighted as in the original). Beta is Cov(r_i, r_m) / Var(r_m) over a single 252-day window (paper uses separate 1y vol / 5y correlation windows). Factor score is negative beta, cross-sectional z-scored so low-beta names rank highest, matching the long leg of the original long-short construction.

Run it

pip install vibe-trading-ai
vibe-trading alpha show academic_bab
vibe-trading alpha bench --zoo academic --universe csi300 --period 2020-2025