Risk-adjusted 1-year return (via Beta) - StockFetcher.com Stock Screener

StockFetcher Forums · Filter Exchange · Risk-adjusted 1-year return (via Beta)

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glgene 613 posts msg #153367 - Ignore glgene modified	8/2/2020 5:02:01 PM OK, SF experts … please fire away at my SF script below, which attempts to calculate a risk-adjusted return (using Beta) 1-year return of the S&P 500 stocks. The columns are pretty descriptive. Questions: 1) Is it wrong to use Beta? Or should I use Standard Deviation? Or does neither do the job? 2) How long is the period for the standard Beta calculation in SF? (I'm assuming 1 year.) My sort column is the risk-adjusted beta 1-year return (descending). Any constructive input is appreciated. Thank you. -- Gene in FL Fetcher[/* Risk-adjusted 1 year return*/ sp500 add column avgvol(50) set{a, volume/avgvol(50)} add column a{vol/ avg50} add column separator add column weekly roc(1){roc 1 wk.} add column weekly roc(4){roc 4 wks.} add column weekly roc(13){roc 3 mos.} add column weekly roc(26){roc 6 mos.} add column separator add column weekly roc(52){roc 1 year} add column beta set{b, weekly roc(52)/beta} add column b{risk-adjusted beta 1 yr. return} add column separator add column standard deviation{std.dev} add column separator add column pe add column separator add column industry add column separator add column fi(13) add column separator sort column 15 descending]
Cheese 1,374 posts msg #153385 - Ignore Cheese	8/3/2020 1:24:07 PM Gene, You've been at this for at least 15 years no, so you are the expert. Even four did not want to tackle your questions back then. Your filter display did highlight some interesting comparisons, so thank you for sharing. I checked Investopedia and a meaningful comparison would include both risk measures. https://www.investopedia.com/terms/r/riskadjustedreturn.asp Kevin's tool uses both Sharpe Ratio, which is based on standard deviation and Treynor Ratio, which is based on beta https://www.stockfetcher.com/forums/Filter-Exchange/PORTFOLIO-SELECTION-AND-MANAGEMENT-USING-RISK-REWARD-RATIOS/91296 Gene, since you've invested so much time and efforts into this, could you please tell us how we can benefit from your research? Thank you.
Cheese 1,374 posts msg #153387 - Ignore Cheese modified	8/3/2020 2:36:21 PM Gene, In my untrained eyes, the Force Index last column of your filter is the canary in the gold mine.

StockFetcher Forums · Filter Exchange · Risk-adjusted 1-year return (via Beta)

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