Tag Archives: beta equal 1
Realized beta and beta equal 1
What does beta look like in the out-of-sample period for the portfolios generated to have beta equal to 1? In the comments Ian Priest wonders if the results in “The effect of beta equal 1” are due to a shift in beta from the estimation period to the out-of-sample period. (The current post will make … Continue reading
Posted in Quant finance, R language
Tagged beta equal 1, beta in finance, Capital Asset Pricing Model, CAPM
2 Comments
The effect of beta equal 1
Investment Performance Guy had a post about beta equal 1. It made me wonder about the properties of portfolios with beta equal 1. When I looked, I got a bigger answer than I expected. Data I have some S&P 500 data lying about from the post ‘On “Stock correlation has been rising”‘. So laziness dictated … Continue reading
Posted in Quant finance, R language, Random portfolios
Tagged beta equal 1, beta in finance, Capital Asset Pricing Model, CAPM
12 Comments
