Given that it's been over 35 years, I don't recall. But then, I don't dick-measure against other people based on it, either. I'd suggest either professional help or hiring a hooker to help you get over that.
given beta, how to calculate stock move
- Thread starter Baozi
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Given that it's been over 35 years, I don't recall. But then, I don't dick-measure against other people based on it, either. I'd suggest either professional help or hiring a hooker to help you get over that.
Good idea... however a great many people have had that idea before you. You can certainly derive a predictive interval. Best to use predictive or forecast beta, rather than historical beta.
Historical beta is a bad estimator of future beta. This has been known since at least Elton, Gruber and Urich 1978. Also Barr Rosenberg 1985. Almost any forecast method is better than just using historical beta.
One hint, estimate forward val and forward corr separately, then recombine. Also, portfolio betas, even for a small portfolio, are much more stable and forecast-able than SN betas. Maybe move to basket pairs trading or within-portfolio stat-arb.
Hmm that academia guy knows his s*!@t!
You're probably thinking of beta-weighted delta. Again, it doesn't stay locked against a portfolio - but it's a pretty decent rough measure of delta exposure.
Oh I've always known it doesn't stay locked but a beta of 1 doesn't become a beta of 5 overnight unless there has been a truly spectacular good or bad news.
Typically,it only becomes a beta of 5 overnight if I decide to get short upside vol
Hey, you're not the only one that has that magic power! Stop boasting.
