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.
Questions tagged [beta]
20 questions
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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 how do I use it?
brainimus
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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 average of these two gives us a portfolio…
John Jones
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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 volatility that occurred in specific time frames…
Austin Henley
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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 calculating this value?
user2654
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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 volatility
of U.S. industry-sector ETFs. It is much…
user10763
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vote
1 answer
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 have positive historic returns.
For example: TLT…
Lance
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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 the portfolio P?".
I think the answer is just…
Fred Hatt
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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. Market Neutral Anti-Beta Fund and while I understand in…
Andy
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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 noticed that some financial data providers give a…
Flux
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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 I will rank them by standard deviation, returns,…
Kalle Anus Kanin
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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 find any other paper or discussion forum about this…
Toni
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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 fund
My questions are:
This does not say…
Victor123
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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 if a stock X has a beta = 0.8, as calculated by…
Victor123
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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 (how many days of historical data) for both stock…
Bharat Sharma
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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 linear regression arbitrary? Aren't there ways of…
TheEnvironmentalist
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