glgene
618 posts
msg #96831
- Ignore glgene |
10/10/2010 12:34:20 AM
Does anyone know how far back SF looks to compute its Beta on a stock?
6 mos, 1 year, 2 years, or what?
|
four
5,087 posts
msg #96832
- Ignore four |
10/10/2010 12:40:38 AM
http://help.stockfetcher.com/sfhelp/?id=100332&isiframe=&isiframe=#BETA
|
glgene
618 posts
msg #96833
- Ignore glgene |
10/10/2010 2:03:05 AM
Thanks, four, for the guidance. Reseach at URL shows the following:
BETA (36-month)
Show stocks where Beta is between 0.50 and 1.0
and add column Beta {Beta}
That said, do you think it would make any sense to divide a stock's % return (over a period of time) by its Beta, to come up with (say) a Risk-Adjusted Return (RAR)?
Examples:.........................................................................RAR
----------------------------------------------------------------------------
Stock ABC, 10% return, BETA is 1.2. ... 10% / 1.2 = 8.33
Stock DEF, 6% return, BETA is .40........ 6% / .40= 15.00
Stock GHI, 8% return, BETA is .85.......... 8% / .85 = 9.41
STCK JKL, 18% return, BETA is 1.6... 18% / 1.6 = 11.25
----------------------------------------------------------------------------
Would stock DEF, with the highest-ranked RAR at 15.00, be the best choice (on strictly a risk-adjusted basis)??
Or is this nonsense?
|
four
5,087 posts
msg #96834
- Ignore four |
10/10/2010 9:56:07 AM
You are in water I don't swim in.
I don't have knowledge in the area you are questioning.
|
glgene
618 posts
msg #96836
- Ignore glgene |
10/10/2010 11:51:08 AM
Anybody else here have any comment(s) on my question in this thread, with regard to risk-adjusted returns taking into account the Beta of a stock?
I have a script in progress, but I would like to hear comments first. Initially, I put equities and bonds into one Symlist, but think that won't work. Bonds would win out, with their low betas. I think an equities-to-equities comparison would make more sense (apples to apples) and the same with bonds-to-bonds- comparison.
Comments?
Thanks!
|