The answer to your initial question is yes. The portfolio beta is the weighted average of the individual betas. This is not true for many portfolio statistics (such as volatility) but it is true for beta. You can prove this for yourself by writing out the two regression equations and then adding them together.
The answer to your second question (in the ...
Beta is calculated using the benchmark:
FTSE TMX Canada Universe Bond Index
this is from the bar on the right hand side. Beta measures only how closely a fund's returns follow a benchmark and a beta of 0 < beta < 1 means that the fund is correlated with the benchmark but under-performing the benchmark, a beta > 1 would mean that ...
Just to be clear to start, beta is a statistical property. So if your beta is 0.8 over a period of time. Stock X moved on average 0.8 for a point move in the index. We might hope this property is persistent and it seems to be fairly persistent (predictable) but it doesn't have to be.
Also it is important to note this is not a lag in time. Beta is a ...
This is (almost) a question in financial engineering. First I will note that a discussion of "the greeks" is well presented at https://en.wikipedia.org/wiki/Greeks_(finance) These measures are first, second and higher order derivatives (or rate of change comparisons) for information that is generally instantaneous. (Bear with me.) For example the most ...
Boeing has a current beta of 2.16. Do you think that it has a high probability of going bankrupt?
MET, COF, C, MS have betas over 1.50. Going bankrupt anytime soon?
How about RTX, CVX, LOW, AXP, BAC, CVX, EMR, NVDA, GS, WFC, NKE with betas above 1.25.?
Beta measures the expected move in a stock relative to how much the market moves. It reflects the ...
Yahoo Finance's Equity Screener lets you screen stocks on their S&P 500 betas -- both 1-year betas and 3-year monthly-return betas. That way you can restrict yourself to looking at stocks whose beta is not just briefly high but has been for a longer period of time.
Go to Finviz.com
From the menu select:
Choose the filters that you desire such as BETA
When BETA appears as a header in the data fields, click on it to sort in ascending or descending order.
Here's the straight to that page LINK.
It shows 123 stocks with a beta of > 3.00
However, does it make an sense to calculate the beta for a currency, bond or commodities? All my prices are in USD, so can i for example use the NYSE as my index for them?
Yes you can calculate beta on investments other than equities, but using the NYSE as a benchmark is not a great choice, since there's not as much correlation between them. You probably ...
I neither understand how high beta (risk) is low alpha (return).
alpha is excess risk adjusted return. The expected return of a security or portfolio with respect to some benchmark is beta times the expected benchmark's return. The alpha is the actual return in excess of that expectation.
So yes, portfolios with higher risk are expected to get higher ...