Relationship between beta and stock returns
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Relationship between ‘beta’ and stock returns. Mayur Agrawal Varun Agrawal Debabrata Mohapatra Vikas Yadav. Experimental Setup. N months. K months. Current Time. 1 st Jan 1962. 31 st Dec 2008. Obtain daily fluctuations on beta portfolios.

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Relationship between ‘beta’ and stock returns

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Relationship between ‘beta’ and stock returns

Mayur Agrawal

Varun Agrawal

Debabrata Mohapatra

VikasYadav


Experimental Setup

N months

K months

Current Time

1st Jan 1962

31st Dec 2008

  • Obtain daily fluctuations on beta portfolios.

  • Obtain Sharpe ratios after each portfolio readjustment.

Default Parameters: N = 60, K = 12, P = 10


Long versus Long-Short Portfolio


PNL Plot for Beta Portfolio


PNL Plot for Long Short Portfolio


Sharpe Ratio for Beta Portfolios


Sharpe Ratio for Long-Short and SnP


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