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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What is the actual Market Premium (U.S.) in the book "YOUR COMPLETE GUIDE TO FACTOR-BASED INVESTING" by Berkin and Swedroe
In chapter 1 - Market Beta, the authors state that the market beta premium in the US (annually) from 1927-2015 was 8.3% while they also state that the Equity Risk Premium in the US from 1900-2015 was ...
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Duration required for stock beta calculation
I am using stock beta as a parameter for calculating intrinsic value of a stock using DCF method.
I know how to calculate beta of stock, but I want to know what should be length of historical data (...
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How can anti-beta funds possibly work?
I was reading an article on improving the return of your portfolio which mentioned an "anti-beta" fund which I was not familiar with so I tried to do a bit of research. I found the U.S. ...
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Why is beta linear?
Alpha and beta are commonly used to metaphorically describe decorrelated vs. correlated return, implicitly following a linear regression of returns relative to some benchmark. But isn't the choice of ...
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How is "beta" relevant to long-term ETF investors?
A portion of my investment portfolio is in index-tracking ETFs. On the whole, my ETF portfolio is diversified across many countries and industries. I intend to hold these ETFs for 20-40 years. I ...
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Can a risky asset have negative beta coefficient?
I have a question from my tutorial asking whether
Can a risky asset have negative beta coefficient?
I can only think of how this is possible only if risk-free rate is more than the expected returns, ...
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Does a high beta indicate a higher risk of bankruptcy?
I recently asked Should retail investors learn and use the capital asset pricing model (CAPM)?, where a good answer mentioned that "beta" is a rough measure of risk, measured based on the ...
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how to find high beta stocks
I'm looking for high beta stocks ( >= 3 ) and could find only a small handful.
I've been googling "list of beta" etc. but get very few.
Maybe there just aren't that many >= 3.
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web sites that list the ticker symbols of high beta stocks? [closed]
I want to invest in some high beta stocks.
The only list I've found is Yahoo finance, but it was only 5 stocks.
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For a mutual fund - if jensen's alpha keeps increasing with time, then how does beta of the mutual fund get impacted with time?
I am building an excel model to calculate rolling alpha at a monthly level to analyze different equity mutual funds. Along with the rolling alpha, I am also calculating rolling absolute returns and ...
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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 ...
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