StockFetcher Forums · General Discussion · BETA -- how far back in SF<< >>Post Follow-up
glgene
535 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
4,012 posts
msg #96832
Ignore four
10/10/2010 12:40:38 AM

http://help.stockfetcher.com/sfhelp/?id=100332&isiframe=&isiframe=#BETA

glgene
535 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
4,012 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
535 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!

StockFetcher Forums · General Discussion · BETA -- how far back in SF<< >>Post Follow-up

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