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?
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?
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.
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.
发表于 2013-4-19 08:47
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