StockFetcher Forums · General Discussion · Beta and Standard Deviation indicators in SF<< >>Post Follow-up
glgene
554 posts
msg #149322
Ignore glgene
10/11/2019 10:04:35 PM

Does anyone know the the look-back periods for these indicators used in StockFetcher:

*Beta
*STD Dev

If so, what are they?

Gene in FL


nibor100
383 posts
msg #149326
Ignore nibor100
10/12/2019 12:36:34 PM

Hey Gene,

Beta is 36 months according to SF

It looks like Standard Deviation period is set by a user by putting a value inside the parentheses, according to SF.

Ed S.

glgene
554 posts
msg #149327
Ignore glgene
10/13/2019 6:39:13 AM

Thanks, Ed...

I’m trying to work on a SF script where I can show a “risk-adjusted” rate of return, taking into consideration the volatility of a stock’s beta (or standard deviation). In other words — looking back, say, 1 year —

SP500
Set {a, ROC(252) / Beta}
Add column a {RAR}
Sort column (?) descending

This would produce a table of S&P 500 stocks that would rank (sort) such stocks with the best (highest) risk-adjusted returns at the top.

Not sure if this really means anything, but it’s just something I would like to work on. Maybe I can show you next Saturday if you’re going to be at our local VectorVest User Group meeting. Will you be there?

Gene in FL

xarlor
93 posts
msg #149328
Ignore xarlor
10/13/2019 10:42:03 AM

Fetcher[
SP500
Set{a, ROC(252) / Beta}
Add column a {RAR}
Sort column 5 descending
]



nibor100
383 posts
msg #149329
Ignore nibor100
10/13/2019 1:08:01 PM

Hey Gene,

Currently, I'm planning on being there next Saturday.

Ed S.


StockFetcher Forums · General Discussion · Beta and Standard Deviation indicators in SF<< >>Post Follow-up

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