BetaFP
Frazzini-Pedersen Beta — Frazzini and Pedersen 2014
Risk
Quick facts
| Factor ID | BetaFP |
| Display name | Frazzini-Pedersen Beta |
| Family | Predictor |
| Category | Risk |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Frazzini and Pedersen 2014 |
| Source tables | — |
| Required fields | — |
| PIT required | no |
| Coverage | 2011-01-28 – 2026-05-15 · 616,994 rows · 90.1% of panel |
Formula
beta from 3-day overlapping returns over 252 days
China adaptation
No adaptation note.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 184 |
| Monthly mean | 0.0380% |
| Monthly std | 4.0317% |
| Annualized Sharpe | 0.03 |
| t-stat (simple) | 0.13 |
| Hit rate (months > 0) | 54.9% |
| Last 12M compounded | -36.24% |
| Cumulative wealth (start = 1) | 0.923 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -7.31% | 1.341 | 5046 |
| 2025-06 | -1.84% | 1.317 | 5055 |
| 2025-07 | -10.37% | 1.180 | 5057 |
| 2025-08 | -3.76% | 1.136 | 5060 |
| 2025-09 | +5.46% | 1.198 | 5069 |
| 2025-10 | +3.12% | 1.235 | 5074 |
| 2025-11 | -6.75% | 1.152 | 5081 |
| 2025-12 | -3.82% | 1.108 | 5088 |
| 2026-01 | -3.41% | 1.070 | 5093 |
| 2026-02 | +8.01% | 1.156 | 5099 |
| 2026-03 | -13.44% | 1.000 | 5104 |
| 2026-04 | -7.77% | 0.923 | 5098 |
Known data issues
None recorded.
Notes
None recorded.
See also: Risk family, Factor library, Factor returns.