Here it raises the question of whether beta (which is calculated based on historical data) is a reliable reference for future return, and according to your calculation above, it shows that it is likely not the case. However, your calculation is only based on data over a 1-year period, so i think it would be very interesting to make the same calculation again for the same portfolio over a longer period, maybe 3/4-years period?
Blog: Is beta dead in Bursa? kcchongnz
2014-10-01 18:44 | Report Abuse
Here it raises the question of whether beta (which is calculated based on historical data) is a reliable reference for future return, and according to your calculation above, it shows that it is likely not the case. However, your calculation is only based on data over a 1-year period, so i think it would be very interesting to make the same calculation again for the same portfolio over a longer period, maybe 3/4-years period?