Questions tagged [beta]
The beta of an investment strategy corresponds to its relation with the systematic moves of the prices, i.e. the one driven by very common factors. Typically market indexes are benchmarks used to measure the beta against.
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implementation of BAB strategy
I am implementing the Betting Against Beta strategy (Frazzini and Pedersen, 2014). I have some question
What I do:
- get historical data through yfinance
- calculate beta of each stock
- get 5 stocks ...
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Applying Block Bootstrap to Simulate Returns and Conduct OLS Regression for Beta Calculation
I am facing a methodological issue in my Master's thesis and hope someone can provide some guidance.
Background:
I have a time series of returns for the S&P 500, a variance swap, and a put option ...
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Producing hedge ratios via regression via returns and not price
I'm a quant student and I need someone to clearly and plainly explain to me better than my professor did about this topic. Please be patient if my question seems very basic.
to find hedge ratios or ...
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Some questions about beta hedging
Sorry if this is obvious to you. I've got my brain spinning for a while and think I should seek some insights.
Question 1:
What's the definition of $\beta$ between a stock and hedger/market portfolio, ...
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Should I convert monthly data into yearly for CAPM?
I am trying to use the CAPM. I gathered monthly data on German government bonds and DAX40 (it's an index that contains top 40 German firm). Then based on only one company like Volkswagen monthly stock ...
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Simple Beta Neutral Intuition in Pairs of Two Assets
I'm having trouble understanding the intuition of a simple beta hedge using a linear regression.
Assuming an asset has a beta of 0.5 against the market. That implies for a percent move in the market, ...
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What is the meaning of Beta of an individual asset in relation to a portfolio, not the market?
Assume I've got a portfolio "A" with an expected return of 14% and a volatility of 20% and my broker suggests to add a new share "H" to my portfolio which has an expected return of ...
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Why stock beta is not equal to its index weight?
Index is a linear combination of stock prices with known weights. In case index is equally weighted, the weights are fixed. Beta measures stock sensitivity to index - by how much stock moves when ...
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Supervised metric including beta?
I am working in a supervised ML framework. I'd like to define one metric to evaluate a strategy. Naturally I was initially enclined towards overall returns or sharpe ratio. I'd like to implement a ...
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Definition of Market-Neutral
I'm reading Qian, Hua and Sorensen's Quantitative Equity Portfolio Management and one part in section 2.3.2 (page 44) states that:
"For a long-only portfolio managed against a benchmark, the ...
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Why reduce number of short contracts to reduce beta, and take long positions to increase it?
My question is about chapter 3 in the ninth edition of "Options, futures and other derivatives" by John C. Hull, subchapter 5 under the heading "Changing the Beta of a Portfolio".
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How to calculate the ex-ante beta of a portfolio between several rebalancing?
I have a portfolio composed of $ N $ assets.
I know the one-year beta of these assets, I also know the past (ex-post) beta ($\beta$) of my portfolio.
My portfolio changes allocation every month. So I ...
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Definition and estimation of $\beta$: raw or excess returns?
The CAPM is a single-period model that says
$$
\mathbb{E}(R^*_i)=\beta\mathbb{E}(R^*_m)
$$
where $R^*_i:=R_i-r_f$ is an asset's excess return, $R^*_i:=R_m-r_f$ is the market's excess return and $\beta:...
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Is beta stable over time for individual securities?
I'm reflecting on whether historically estimated $\beta$ is a "good" estimator of future $\beta$.
Consider the problem as follows:
Let $r_1$, $r_2$, ...., $r_{36}$ be the last 36 months of ...
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Simulate correlated credit spread
I want to simulate a credit spread index which is negatively correlated to a given random walk of a stock index. They should be correlated in such a way that larger than average stock growth tend to ...
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