Asymmetric Beta
The study: beta across benchmarks and time frames
This study set out to test two hypotheses about asymmetric beta in S&P 500 stocks: that a stock’s asymmetry lasts long enough to exploit in a long/short equity portfolio, and that short-term asymmetry reverts in a way that can be traded. We tested both on S&P 500 history back to 1992, survivorship-free, with every test fixed before it ran, and published the results in full. Both hypotheses were rejected.
What we continue to publish, and why. The study’s daily calculation stays available as a research tool. For any S&P 500 stock you hold, see its beta measured against the benchmark that matches your mandate — SPY, the equal-weight S&P 500, the cap-weighted S&P 500 rebuilt from each day’s members, its own sector, or its own size tier — and over the time frame you care about, from 10 days to 2 years. Up- and down-beta are shown alongside, with their 95% intervals. Open the betas.
From April to October 2026, Gyre Research ran asymmetric beta as an open research project. For four months (16 June to 24 October 2026, 92 daily publications) we published up-beta, down-beta and asymmetry for every S&P 500 member. Alongside that, we tested the idea against the S&P 500’s own history back to 1992, using the members of each day (survivorship-free), with every test written down before it ran.
Is a stock’s asymmetry (rising more with the market than it falls, or the reverse) a lasting trait, or a short-term aberration that corrects itself? And can either be turned into a profitable long/short equity trade, measured against beta × SPY and after trading costs?
Each test, its rule and its result are listed in Methodology §5, The study’s tests.
Ordinary beta. In all 8 S&P 500 declines of 10% or more since 1999, the highest-beta stocks fell on average 24.9 percentage points more than the lowest-beta stocks. Down-beta added no measurable warning beyond beta: 3.4 points, not significant.
The question was answered cleanly, by tests fixed in advance, on survivorship-free data, and published in full, including the negative result. The two hypotheses were rejected, and we are reporting that as plainly as we would a positive result.
The page keeps publishing the daily calculation for every S&P 500 member, as reference data, with this conclusion at the top. For any S&P 500 stock you hold, see its beta measured against the benchmark that matches your mandate — SPY, the equal-weight S&P 500, the cap-weighted S&P 500 rebuilt from each day’s members, its own sector, or its own size tier — and over the time frame you care about, from 10 days to 2 years. Up- and down-beta are shown alongside, with their 95% intervals.
Beta measures how much a stock has moved with a benchmark: a beta of 1.2 means that, over the window, the stock moved on average 1.2% for each 1% move of the benchmark. The calculation splits the window’s days by the direction of the benchmark:
A positive asymmetry means the stock moved more with the benchmark on its up days than on its down days over the window; a negative one means the reverse. Each value describes the window measured. The study above found that only about 6% of a stock’s own asymmetry carries into the next year, so it is published as a description of the past window, not as a forecast.
Up- and down-beta are each estimated from part of the window’s days, so they are less precise than ordinary beta. Every up- and down-beta is shown with its 95% confidence interval, and the number of days behind each estimate is reported. The six time frames run from 10 days to 2 years. The full calculation, with a worked example, is in the Methodology.
The measure has a literature behind it. Bawa and Lindenberg (1977) gave the formal treatment of a beta conditioned on the downside of the market (Journal of Financial Economics 5(2), doi:10.1016/0304-405X(77)90017-4). Ang, Chen and Xing (2006) found that downside beta carried a return premium in U.S. stocks from 1963 to 2001 (The Review of Financial Studies 19(4), doi:10.1093/rfs/hhj035). Our survivorship-free backtest of the S&P 500 from 1992 to 2026 did not find a reliable one.
Beside the study, the page runs a daily, survivorship-free backtest of six claims about asymmetric beta, re-run after each day’s calculation. Its result as of this page’s publication: Tested against 34 years of the S&P 500, asymmetric beta did not reliably sort future returns, past asymmetry carried only weakly into the next year, and ordinary beta was the better forecast of future downside sensitivity. The verdicts, charts and tables are in the Backtest section of the page, and its method in Methodology §4.
For questions about this study, contact team@gyreresearch.com.