Beta
CAPM Beta — Fama and MacBeth 1973
Risk
Quick facts
| Factor ID | Beta |
| Display name | CAPM Beta |
| Family | Predictor |
| Category | Risk |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Fama and MacBeth 1973 |
| Source tables | daily;index_daily |
| Required fields | ret;mkt_ret |
| PIT required | no |
| Coverage | 2011-01-27 – 2026-05-15 · 617,458 rows · 90.1% of panel |
Formula
cov(ret, mkt_ret over t-252..t-1) / var(mkt_ret over t-252..t-1)
Rolling slope of stock returns on contemporaneous broad-index returns over the prior 252 trading days.
China adaptation
Uses CSI 300 daily return as the market factor; risk-free rate is not subtracted because a stable A-share risk-free series is not yet wired in.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 184 |
| Monthly mean | -0.0858% |
| Monthly std | 4.1534% |
| Annualized Sharpe | -0.07 |
| t-stat (simple) | -0.28 |
| Hit rate (months > 0) | 46.7% |
| Last 12M compounded | 45.30% |
| Cumulative wealth (start = 1) | 0.730 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +7.52% | 0.540 | 5046 |
| 2025-06 | +2.28% | 0.552 | 5055 |
| 2025-07 | +9.08% | 0.602 | 5057 |
| 2025-08 | +2.13% | 0.615 | 5061 |
| 2025-09 | -5.11% | 0.584 | 5069 |
| 2025-10 | -3.10% | 0.566 | 5075 |
| 2025-11 | +6.29% | 0.601 | 5081 |
| 2025-12 | +4.74% | 0.630 | 5088 |
| 2026-01 | +2.96% | 0.649 | 5095 |
| 2026-02 | -9.24% | 0.589 | 5099 |
| 2026-03 | +14.09% | 0.672 | 5104 |
| 2026-04 | +8.66% | 0.730 | 5100 |
Known data issues
Low-beta anomaly (BAB) is well-documented in China (e.g. Liu-Stambaugh-Yuan 2019). The positive CAPM beta premium does not hold in A-shares. Result is consistent with the literature.
Notes
Estimated on daily not monthly returns and over a one-year window to keep coverage usable for the post-2010 China sample.
See also: Risk family, Factor library, Factor returns.