Frazzini-Pedersen Beta
✗ deadBetaFPOther· Price data
Using daily data, call tempRi the sum of today's return and the past 2 days, call tempRm the sum of today's mkt return and the past 2 days mkt return. Regress return on tempRi and tempRm using past 5 years of data, with a minimum of 3 years. BetaFP is the square root of the r square from this regression times the ratio of the idiosyncratic stock vol and the market vol.
A recomputed, out-of-sample-scored replication of this factor is available — verdict dormant, OOS Sharpe 0.04.
IS Sharpe (1928–2013)
0.019
+0.6% p.a.
OOS Sharpe (2014–2024)
-0.156
-4.2% p.a.
Sharpe decay
0.0%
(IS − OOS) / |IS|
IS vol
33.0%
annualized
Cumulative return (last 40 years, monthly)
-93%1984-012024-12
Publication details
AuthorsFrazzini and Pedersen
PaperFrazzini and Pedersen (2014)
JournalJournal of Financial Economics
Publication year2014
Original sample1929–2012
IS T-statistic7.12
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