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  • Equity Performance by Beta (Post Mar 5th)

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    CreditTrader
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    A different look at the massive outperformance of the highest beta names. The beta bucketing is done on data from Jan 1 to Mar 5th in order to see how pre- and post- rally performance might have been driven. The higher beta names rose 113% compared to only 17% for the lowest beta. The bucketing shows that the expected performance based on ex-ante betas was massively outperformed ex-post.

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    A different look at the massive outperformance of the highest beta names. The beta bucketing is done on data from Jan 1 to Mar 5th in order to see how pre- and post- rally performance might have been driven. The higher beta names rose 113% compared to only 17% for the lowest beta. The bucketing shows that the expected performance based on ex-ante betas was massively outperformed ex-post.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    14 views1 page

    Equity Performance by Beta (Post Mar 5th)

    Uploaded by

    CreditTrader
    A different look at the massive outperformance of the highest beta names. The beta bucketing is done on data from Jan 1 to Mar 5th in order to see how pre- and post- rally performance might have been driven. The higher beta names rose 113% compared to only 17% for the lowest beta. The bucketing shows that the expected performance based on ex-ante betas was massively outperformed ex-post.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    240

    220

    >2.0

    200 1.5‐2.0
    1.0‐1.5
    0.5‐1.0
    180
    <0.5

    160

    140

    120

    100
    3/6/2009 3/13/2009 3/20/2009 3/27/2009 4/3/2009 4/10/2009 4/17/2009 4/24/2009 5/1/2009 5/8/2009 5/15/2009

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