Portfolio Management Theory: Trendfollowing

Discussion in 'Strategy Building' started by Spectre2007, Jan 13, 2007.

  1. it's screamingly obvious, he read this book, and hasn't risk anything yet...
     
    #11     Jan 13, 2007
  2. >>>>>>>>>>>>>>>>>>Beta Calculated
    The number is calculated for you (thank goodness) using regression analysis. The whole market, which for this purpose is considered the S&P 500, is assigned a beta of 1. There is no single index used to calculate beta, although the S&P 500 is probably the most common proxy for the market as a whole.
    Stocks that have a beta greater than 1 have greater price volatility than the overall market and are more risky.

    Stocks with a beta of 1 fluctuate in price at the same rate as the market.

    Stocks with a beta of less than 1 have less price volatility than the market and are less risky.

    http://stocks.about.com/od/evaluatingstocks/a/beta120904.htm


    ..low volatility linearity can be applied to stock screens:

    Criteria:
    Beta less then 1.0
    Making new 52 wk highs (long candidates)
    Making new 52 wk lows (short candidates)

    Now you just need to find a stocks screener that lets you screen for this.
     
    #12     Jan 13, 2007