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Canli Capital

Research

Equity low beta: two negative identities and no defensive sleeve

By , Canli Capital

Author: Arhan Canli, Founder and Quantitative Researcher, Canli Capital
Family key: equity_low_beta ยท System: ALPHAC / AlphaForge
Status: public research record; not peer reviewed; not an investment solicitation

Finding and boundary

The tested signal ranks equities by 252-session beta, seeking a long-low-beta/short-high-beta spread. Two charged identities produced annualized Sharpe -0.5995 over 728 observations and -0.0679 over 5,384 observations. The longer result also records skew +8.2898 and kurtosis 311.7071, which requires curve-level investigation rather than a flattering interpretation.

Frazzini and Pedersen document betting against beta (Journal of Financial Economics), but ALPHAC's negative summaries do not replicate an admissible implementation. Low beta can overlap equity defensiveness, quality, financing constraints, and market timing; both rows form one family.

No identity-matched public curves, DSR, drawdown, capacity sweep, or broker-forward record survive. Decision: FAIL / zero sleeves. The machine packet is equity_low_beta_family.json. Research and implementation were authored and directed by Arhan Canli; no AlphaMax or Alpaca return is relabeled low beta.