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Beta Factors

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hilarius

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Post Number: 1835
Registered: 04-2004

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Tuesday, May 30, 2006 - 04:19 pm:

Good Afternoon

Bloomberg publishes a Beta Factor for a number of Australian Stocks

Example :-
BHP = 1.574

http://www.bloomberg.com/apps/quote?ticker=BHP:AU

I've e-mailed Bloomberg asking for clarification of their calculation method, and choice of sample ... not sure whether I will hear back

Stocks with a Beta greater than 1 are more volatile than the sample of stocks against which they are measured

Stocks with a Beta below 1 are less volatile than the sample

A high Beta indicates the need for wider stops if one wishes to avoid being stopped out by price swings that are normal for the stock

The problem is that every major correction for an index or a stock starts off looking like a normal swing (unless it has a catastrophic price collapse when it may be too late to take preventive action and this is where the GSLO hopefully is an important safeguard for those who use them)

So a means is needed to determine when market noise is normal and when it is the start of something abnormal

The Chaikin indicator looks interesting and I have another statistical tool which I use for filtering out normal price swings ... problem is that it is a heavy maintenance tool, requiring at this stage manual updating of each stock

I did discuss implementing it with Colin a year or more ago here in the Forum, and I will post an example later to see if there is any interest

With Best Wishes

Hilarius

PS I will post this message and an example chart later on the Beta Factor thread which I started in Indicators

I come in peace to share my thoughts and to shine my candle light on possible long term opportunities