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Relationship between ‘beta’ and stock returns

This study, conducted by Mayur Agrawal, Varun Agrawal, Debabrata Mohapatra, and Vikas Yadav, explores the impact of beta on stock returns over a period from January 1, 1962, to December 31, 2008. An experimental setup was established with portfolios adjusted over N months (N=60) and K months (K=12). We calculated daily fluctuations of beta portfolios, assessed Sharpe ratios after each adjustment, and compared long versus long-short strategies, providing comprehensive plots of PNL and Sharpe ratios against the S&P 500.

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Relationship between ‘beta’ and stock returns

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  1. Relationship between ‘beta’ and stock returns Mayur Agrawal Varun Agrawal Debabrata Mohapatra VikasYadav

  2. 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

  3. Long versus Long-Short Portfolio

  4. PNL Plot for Beta Portfolio

  5. PNL Plot for Long Short Portfolio

  6. Sharpe Ratio for Beta Portfolios

  7. Sharpe Ratio for Long-Short and SnP

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