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

Relationship between ‘beta’ and stock returns

Mayur Agrawal

Varun Agrawal

Debabrata Mohapatra

VikasYadav


Experimental setup

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

Long versus Long-Short Portfolio


Relationship between beta and stock returns

PNL Plot for Beta Portfolio


Relationship between beta and stock returns

PNL Plot for Long Short Portfolio


Relationship between beta and stock returns

Sharpe Ratio for Beta Portfolios


Relationship between beta and stock returns

Sharpe Ratio for Long-Short and SnP


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