# Pre-Registered Betting-Against-Beta: a killed candidate

**Verdict:** KILLED  
**Test window:** 2005-01-04 to 2026-06-01  
**Identity:** `prereg_bab`

Pre-registered BAB on 21 years. Net Sharpe ~ -0.07, failed the DSR >= 0.95 gate. Low-risk anomaly does not survive net of cost here. KILLED.

## Why it was worth testing

The low-volatility effect is the observation that low-beta stocks have historically delivered better risk-adjusted returns than their beta predicts, usually explained by leverage constraints among institutional investors. It is a crowded trade and a structurally levered one, which makes the cost and financing assumptions load-bearing rather than incidental.

## The result

| Measure | Value |
|---|---|
| Net Sharpe | -0.0679 |
| Annualized return | -0.88% |
| Total return | -17.22% |
| Annualized volatility | 10.68% |
| Maximum drawdown | -34.15% |
| Annualized turnover | 2.86 |
| Trading days | 5385 |
| Final equity (USD) | 82,780.29 |
| Fees paid (USD) | 379.72 |
| Funding, net (USD) | 63.63 |

## What this does and does not say

It says this configuration, on this data, net of the costs we charge, did not clear the bar it pre-registered. It does not say the underlying economic effect does not exist, that no implementation of it works, or that someone with different data or different execution would reach the same conclusion. A null is evidence about a test, not a proof about a market.

It also does not say the trial was free. Every hypothesis tested raises the deflated-Sharpe hurdle for every sleeve already in the book, including the ones that survived. That is why the kill count is published beside the survivor count rather than behind it.