Not sure of the MG betas, Optim.
Compared to the alpha/beta scan in TF+ pasted below, I see mostly scatter.
The scan is for the SP500 stocks vs SPX for 5 yrs [1250] days as of today. -Bob
---------
Symbol, Beta, Alpha
AA,1.03,0.01
AAPL,1.20,-0.07
ABS,0.54,0.05
ABT,0.83,-0.05
ABX,-0.05,0.25
ACCOB,0.47,0.23
ACK,0.68,0.06
ACV,0.74,0.02
ADBE,1.28,0.45
ADM,0.37,-0.05
AEP,0.19,-0.03
AES,1.38,-0.00
AET,0.88,0.06
AGC,1.06,-0.18
AGN,0.32,0.26
AHC,0.81,-0.19
AHP,1.03,-0.10
AIG,1.39,-0.10
AIT,0.42,0.26
AL,1.03,-0.07
ALD,0.92,-0.02
ALL,1.05,-0.30
ALT,0.94,0.07
AM,0.95,-0.10
AMAT,1.53,0.57
AMD,1.34,0.24
AMGN,0.92,0.41
AMP,0.59,0.20
AMR,1.69,-0.30
ANDW,1.52,0.04
ANV,0.88,-0.33
AOL,1.84,1.02
APA,0.88,-0.33
APC,0.63,-0.23
APD,0.79,-0.09
AR,0.62,-0.38
ARC,0.56,-0.15
ASC,0.46,0.10
ASH,0.71,-0.18
AT,0.53,0.29
ATI,1.27,0.26
AUD,1.06,-0.14
AVP,0.71,0.08
AVY,0.59,-0.11
AXP,1.83,-0.14
AZA,0.73,0.02
AZO,1.07,0.04
BA,0.86,-0.15
BAC,1.83,-0.41
BAX,0.63,0.04
BC,0.69,0.41
BCR,0.68,0.13
BDK,0.82,0.01
BDX,0.83,-0.25
BEL,0.59,0.18
BEN,1.89,-0.33
BF B,0.92,-0.03
BFI,0.74,-0.39
BFO,0.40,-0.09
BGE,0.09,-0.12
BGG,0.76,0.17
BHI,0.99,-0.42
BK,1.50,-0.08
BKB,2.18,-0.48
BLL,0.97,0.15
BLS,0.44,0.23
BMCS,1.29,-0.22
BMET,1.06,-0.03
BMG,-0.48,0.30
BMS,0.63,-0.21
BMY,0.69,0.03
BNI,0.46,0.02
BOL,0.33,0.40
BR,0.77,-0.13
BS,0.94,-0.06
BSC,1.76,-0.18
BSX,0.68,-0.50
BT,1.08,0.08
BUD,0.39,0.25
C,2.15,-0.14
CA,1.06,0.28
CAG,0.33,0.14
CAH,0.54,0.16
CAT,0.93,-0.19
CB,1.15,-0.37
CBS,1.34,-0.02
CC,1.06,0.36
CCE,0.91,0.19
CCK,0.80,-0.13
CCL,0.94,0.39
CCR,1.26,-0.03
CCU,1.74,-0.04
CD,1.79,0.38
CEN,0.81,0.26
CG,0.49,-0.06
CGP,0.55,-0.03
CHA,0.90,-0.03
CHV,0.53,-0.10
CI,0.64,0.09
CIN,-0.05,-0.01
CINF,1.29,-0.26
CL,1.19,-0.20
CLX,0.60,0.13
CMA,1.11,-0.17
CMB,1.88,0.00
CMCSK,0.98,0.32
CNC,1.55,-0.24
CNG,0.22,0.14
CNS,1.59,-0.72
COL,1.01,-0.44
COMS,1.16,0.41
COST,1.40,0.14
CPB,0.68,-0.21
CPL,0.18,-0.03
CPQ,1.30,0.21
CPWR,1.30,0.05
CR,0.99,-0.12
CS,1.22,0.24
CSC,1.09,-0.20
CSCO,1.72,0.18
CSR,0.18,-0.03
CSX,0.66,-0.13
CTB,0.55,0.14
CTX,0.93,-0.11
CUM,0.69,-0.33
CVS,0.89,0.08
CYM,0.54,-0.21
D,0.11,0.08
DAL,1.43,-0.27
DCN,0.86,-0.16
DD,0.95,-0.26
DDS,1.00,-0.41
DE,0.97,-0.26
DELL,1.72,0.14
DG,0.94,-0.18
DGN,1.05,0.78
DH,1.43,0.16
DHR,0.80,0.23
DIS,0.70,0.02
DJ,0.85,-0.27
DLX,0.82,0.02
DNB,0.83,0.10
DNY,0.50,-0.11
DOV,0.88,-0.01
DOW,0.68,-0.07
DTE,0.17,-0.05
DUK,0.09,0.01
EC,1.07,-0.20
ECL,0.74,0.12
ED,0.14,0.06
EDS,0.84,0.25
EFU,0.48,-0.10
EFX,0.81,-0.12
EGG,0.47,0.13
EIX,0.17,0.01
EK,0.50,-0.33
EMC,1.61,0.40
EMN,0.66,-0.30
EMR,0.81,-0.16
ENE,0.66,0.25
ETN,0.70,0.03
ETR,0.08,0.06
F,1.34,0.06
FD,1.10,-0.29
FDC,0.89,0.25
FDX,0.98,0.31
FITB,1.39,-0.05
FJ,0.46,0.21
FLE,0.48,0.01
FLR,0.81,-0.19
FLT,1.44,-0.14
FMC,0.46,-0.09
FMY,0.83,0.24
FNM,1.03,-0.07
FO,0.88,0.02
FON,0.66,0.22
FPL,0.08,-0.15
FRE,1.10,0.10
FRO,1.10,-0.04
FSR,0.97,0.44
FTL,0.55,-0.43
FTU,1.38,-0.27
FWC,0.26,0.05
G,0.69,0.17
GAP,0.45,0.28
GAS,0.37,-0.03
GCI,0.96,-0.13
GD,0.71,0.03
GDW,1.12,-0.09
GE,1.25,-0.02
GIC,1.26,0.49
GIS,0.22,0.18
GLK,0.50,-0.13
GLW,0.92,0.54
GM,1.07,0.26
GP,0.82,0.29
GPC,0.62,-0.13
GPS,1.49,0.27
GPU,0.09,0.15
GR,1.10,-0.08
GT,0.78,-0.14
GTE,0.74,0.16
GTW,1.47,0.09
GWW,0.82,-0.27
H,0.84,-0.15
HAL,0.88,-0.09
HAS,0.78,-0.11
HBAN,1.28,-0.05
HCR,1.12,-0.16
HD,1.46,0.13
HET,0.78,-0.21
HI,1.62,-0.19
HLT,0.84,-0.10
HM,-0.34,0.01
HNZ,0.39,-0.03
HON,1.04,-0.20
HOU,0.27,0.02
HP,1.07,-0.28
HPC,0.61,-0.19
HPH,1.18,-0.81
HRB,0.91,-0.16
HRC,1.38,-0.54
HRS,0.94,-0.10
HSY,0.63,-0.18
HUM,0.71,0.10
HWP,0.96,0.17
IBM,0.94,0.17
IFF,0.59,0.02
IKN,0.83,0.83
INTC,1.22,0.29
IP,0.70,-0.09
IPG,0.82,0.16
IR,1.15,-0.05
ITW,0.76,0.08
JCI,0.60,0.25
JCP,0.70,-0.44
JNJ,0.61,-0.02
JOS,0.71,0.02
JP,0.97,0.02
JPM,1.51,-0.21
K,0.54,0.10
KBH,1.24,0.09
KLAC,1.59,0.60
KM,1.25,-0.05
KMB,0.81,0.08
KMG,0.50,-0.30
KO,0.72,-0.12
KR,0.79,0.10
KRB,1.49,0.08
KRI,0.81,-0.18
KSS,1.15,0.01
KWP,1.00,-0.03
LDG,0.57,-0.07
LDW,0.77,-0.27
LIZ,0.87,0.02
LLY,0.88,0.04
LNC,0.83,-0.25
LOW,1.25,0.18
LPX,0.53,-0.13
LSI,0.88,0.59
LTD,1.14,0.13
LTR,0.51,-0.06
LUV,1.54,0.07
MAR,0.80,0.05
MAS,0.87,0.11
MAT,0.85,-0.65
MBI,1.13,-0.13
MCD,0.77,0.15
MCL,0.81,-0.03
MDP,1.04,-0.17
MDR,1.14,-0.18
MDT,0.91,0.05
MEA,0.73,-0.11
MEL,1.48,-0.14
MER,2.14,-0.31
MHP,0.50,0.21
MII,0.49,-0.04
MIL,1.03,0.16
MIR,0.66,-0.27
MKG,0.50,0.33
MMC,0.98,-0.02
MMM,0.84,-0.13
MO,0.48,-0.02
MOB,0.52,0.10
MOT,0.92,0.39
MRK,0.77,-0.02
MRO,0.72,-0.26
MSFT,1.46,0.21
MTC,0.86,-0.21
MTG,1.27,-0.43
MTL,0.96,-0.21
MU,1.37,0.84
MWD,2.44,-0.07
MYG,0.41,0.25
MZ,0.52,-0.12
N,1.05,-0.11
NAV,1.47,0.05
NC,1.00,-0.40
NCC,1.03,-0.11
NEM,-0.70,0.31
NKE,0.68,0.12
NLC,0.64,-0.18
NMK,0.17,-0.04
NOBE,1.46,0.09
NOC,0.11,-0.08
NOVL,1.29,0.44
NSC,0.67,-0.16
NSI,0.57,-0.09
NSM,0.86,0.25
NSP,0.21,-0.05
NT,1.65,-0.13
NTRS,1.48,-0.11
NUE,0.79,0.04
NWL,0.67,-0.31
NYT,1.32,-0.10
OAT,0.49,-0.06
OI,0.70,-0.19
OKE,0.51,-0.11
OMC,1.14,0.00
ONE,1.51,-0.15
ORCL,1.31,0.74
ORX,1.26,-0.19
OXY,0.48,-0.27
P,0.60,-0.22
PAYX,1.14,-0.11
PBI,0.95,0.05
PBY,0.79,-0.07
PCAR,1.55,-0.39
PCG,0.07,0.05
PCH,0.79,-0.08
PD,0.78,-0.23
PDG,0.23,0.14
PE,0.05,0.17
PEG,0.17,0.04
PEP,0.67,0.13
PFE,1.13,-0.05
PG,0.83,-0.06
PGL,0.56,-0.07
PGR,0.91,0.01
PH,0.87,-0.16
PHB,0.60,-0.20
PHM,0.96,-0.22
PKN,0.45,0.46
PLL,0.50,0.02
PMTC,1.71,0.01
PNC,1.39,-0.20
PPG,1.12,-0.22
PPL,0.01,0.12
PPW,0.42,-0.15
PRD,0.88,-0.60
PSFT,1.26,-0.37
PVN,1.93,0.51
PX,0.44,-0.13
R,1.01,0.02
RAD,0.92,0.04
RAL,0.77,-0.13
RBD,0.88,-0.07
RBK,0.68,-0.15
RD,0.78,-0.25
RDC,0.73,-0.34
RLM,0.85,-0.24
RML,0.58,-0.52
RNB,1.30,-0.25
ROH,1.07,-0.17
ROK,0.77,0.16
RTN B,0.57,0.17
RYC,0.93,-0.30
S,0.98,-0.34
SAFC,1.00,-0.30
SBC,0.52,0.28
SCH,2.04,0.84
SEG,1.09,0.53
SFA,0.55,0.48
SGI,0.92,0.47
SGP,1.10,-0.10
SHW,0.54,-0.10
SIAL,0.84,-0.21
SLB,0.82,-0.16
SLE,0.38,-0.03
SLM,1.29,-0.03
SMI,0.93,-0.04
SMS,1.00,-0.32
SNA,0.72,0.00
SNT,0.55,-0.19
SNV,1.21,0.01
SO,0.19,0.00
SPC,1.16,-0.26
SPLS,1.38,0.10
SRV,0.82,-0.61
STI,1.22,-0.07
STJ,0.78,0.06
STT,1.15,0.03
SUB,1.29,-0.18
SUN,0.64,-0.05
SUNW,1.23,0.73
SVU,0.50,0.11
SWK,0.44,-0.45
SWY,0.61,0.13
SYY,0.66,0.02
T,0.71,0.35
TA,1.13,-0.18
TAN,1.25,-0.31
TCOMA,0.89,0.45
TEK,1.03,0.32
THC,1.12,-0.51
TIN,0.69,0.12
TJX,1.82,0.01
TKR,0.80,0.01
TLAB,1.24,0.54
TMK,0.64,-0.11
TMO,1.08,-0.17
TNB,0.82,0.13
TOY,0.97,-0.45
TRB,0.83,-0.15
TRW,0.87,-0.06
TWX,0.88,0.20
TX,0.58,-0.34
TXN,1.38,0.35
TXT,1.09,-0.08
TXU,0.05,0.08
TYC,1.22,0.00
U,1.85,-0.46
UCC,0.61,0.48
UCL,0.65,-0.28
UCM,0.07,0.03
UIS,1.40,0.20
UK,0.80,-0.15
UN,1.13,-0.09
UNH,1.04,-0.04
UNM,1.05,0.03
UNP,0.54,0.14
UPC,1.15,-0.23
USB,1.92,-0.63
UST,0.58,0.03
USW,0.56,0.08
UTX,0.97,0.22
VFC,0.96,-0.10
VIA B,0.57,0.26
VO,0.97,0.18
W,0.83,-0.18
WAG,1.06,0.14
WB,0.83,-0.08
WCOM,1.42,0.19
WEN,0.81,-0.03
WFC,1.18,-0.10
WHR,0.73,-0.15
WIN,0.99,-0.06
WLA,1.09,-0.20
WLL,1.01,0.14
WM,1.46,-0.15
WMB,0.41,0.29
WMI,1.01,-0.08
WMT,1.20,0.09
WTHG,0.56,-0.03
WWY,0.79,0.02
WY,0.60,0.21
X,0.87,-0.06
XON,0.33,0.04
XRX,1.20,-0.01 |
