I’m doing some performance analysis on our portfolio vs the S&P. I’ve calculated our portfolio’s beta to be slightly less than 1. However, our portfolio has slightly outperformed the S&P. How is this possible?作者: smartpants 时间: 2013-4-19 08:49
What time period are you looking at? If you started in Oct 2007, S&P is still down like 15%. A beta slightly less than 1 would indicate that you are down slightly less than that. Also, what time increments are you using to calculate your beta?作者: scr879 时间: 2013-4-19 08:52
Looking at 2011 YTD returns, so both my port and the S&P are positive. I’m calculating beta on daily returns. Basically COVAR(myport,S&P)/VAR(S&P) = beta. I’m getting like 0.94 for the beta, but my portfolio has like 0.42% of alpha.
Not sure how I can be outperforming the S&P with a lower beta in an uptrending market… its pretty close to 1 and the alpha is small so perhaps there is some noise that allows for a bit of leeway on that? Idk how to explain it though and I’m pretty sure I’m not f-ing up my calcs.作者: cross-ied 时间: 2013-4-19 08:55
Unless you are running an index portfolio, there will be tracking risk. So expected the return on your portfolio to be different than the benchmark.作者: Flok 时间: 2013-4-19 08:57
I’m not a statistical or beta expert, but I suspect using daily is reducing the beta. Not sure what you can do about it though, since you would have so few data points if you go with weekly instead.作者: dyga 时间: 2013-4-19 09:07
Is there a software to find portfolio beta automatically? I don’t really feel like putting my CFA-learned wisdom to use, when I can press a button.作者: prav_Cfa7 时间: 2013-4-19 09:15
You should be using the function varp, not var, for the denominator.
