BetaTailRisk
Tail Risk Beta — Kelly and Jiang 2014
Risk
Quick facts
| Factor ID | BetaTailRisk |
| Display name | Tail Risk Beta |
| Family | Predictor |
| Category | Risk |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Kelly and Jiang 2014 |
| Source tables | — |
| Required fields | — |
| PIT required | no |
| Coverage | 2011-01-27 – 2026-05-15 · 614,169 rows · 89.7% of panel |
Formula
beta conditional on market below 5th percentile
China adaptation
No adaptation note.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 184 |
| Monthly mean | -0.0274% |
| Monthly std | 2.5856% |
| Annualized Sharpe | -0.04 |
| t-stat (simple) | -0.14 |
| Hit rate (months > 0) | 49.5% |
| Last 12M compounded | -14.84% |
| Cumulative wealth (start = 1) | 0.895 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -4.60% | 1.002 | 5046 |
| 2025-06 | -3.85% | 0.964 | 5055 |
| 2025-07 | -0.40% | 0.960 | 5057 |
| 2025-08 | -0.35% | 0.957 | 5061 |
| 2025-09 | -1.18% | 0.945 | 5069 |
| 2025-10 | -1.71% | 0.929 | 5075 |
| 2025-11 | +1.17% | 0.940 | 5081 |
| 2025-12 | -1.35% | 0.927 | 5088 |
| 2026-01 | -1.99% | 0.909 | 5095 |
| 2026-02 | +2.85% | 0.935 | 5099 |
| 2026-03 | -4.08% | 0.897 | 5104 |
| 2026-04 | -0.21% | 0.895 | 5100 |
Known data issues
None recorded.
Notes
None recorded.
See also: Risk family, Factor library, Factor returns.