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Questions tagged [beta]

Beta is an analysis measure used to determine the volatility of an asset or portfolio in relation to the overall market. A beta of less than 1 means that the security is theoretically less volatile than the market. A beta of greater than 1 indicates that the security's price is theoretically more volatile than the market.

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Portfolio questions

I am constructing a portfolio and considering a number of different security classes: Stocks, commodities, ETFs, currencies and bonds. In order to decide which securities to include in my Portfolio ...
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Betting against beta

I'm reading this paper by Andrea Frazzini and Lasse Heje Pedersen (http://pages.stern.nyu.edu/~lpederse/papers/BettingAgainstBeta.pdf) - and I have searched on youtube and here aswell but I can't ...
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Is portfolio beta truly just the weighted average of stock betas? If so, is there a way to distinguish betas based on composition?

For instance, assume you have three portfolios. Portfolio A is 100% invested in a market index with β=1. Portfolio B is a 50/50 mix of two stocks (Stock A β=1.5 and Stock B β=0.5). The weighted ...
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Finding Uncorrelated Assets

I own a particular security. How can I find another security, which has uncorrelated or negatively correlated (anti correlated) returns with the one I already own? I would like both securities to ...
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Question about beta - trading

I've been a bit stuck with this question: "If a portfolio P had a predicted beta=1.05 wrt to an index, and that index later underperformed Treasury Bills by 5%, what would be the expected return of ...
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Why does the Fidelity Canadian Bond Fund have such a high beta? How is it measured?

I am looking at some Canadian bond funds (recommendations welcome) for my RRSP. Relatively safe, and with a dividend yield ~ 3% is good enough. While looking at Fidelity bond funds, I came across this ...
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Can the beta of a stock be used as a lagging indicator for the stock w.r.t the market

I understand the beta of a stock to be the correlation between the stock's closing price and the closing value of a market index ETF (SPX), calculated over a period of time, (let us say 3 months). So ...
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Inverse Relationship between Volatility and Beta

From P78 in ETF for Dummies, 2nd Ed, by Russell Wild : Beta’s usefulness is greater for individual stocks than it is for ETFs, but nonetheless it can be helpful, especially when gauging the ...
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Rate of change of beta

While viewing data for an individual stock, I always want to see how much the beta has changed. I see this useful for three reasons: Trends (up, down, or stable) in the beta The 60-month beta hides ...
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What's the beta of U.S. treasury bills?

Is it zero? My reference equation is: Bi = σim / σm2 Is the top sigma of im considered to be zero, since treasury bills have a fixed payout? If not, how do you suggest ...
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What is “beta” for an investment or a portfolio, and how do I use it?

Recently my financial adviser has been talking about my portfolio's "beta". I have also seen beta listed for some investments (for example: http://www.google.com/finance?q=goog). What is "beta" and ...