Yes, you have to apply a one day shift for an S&P500 correlation else you will get values that are lower than reality would reflect.
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Yes, you have to apply a one day shift for an S&P500 correlation else you will get values that are lower than reality would reflect.
Beta is not volatility
Beta is the expected change in Y given a change in x
Volatility is the variability in returns.
I would personally reccomend using a weekly Beta if you are trying to compare returns in different countries or where the trading times do not coincide.
Weekly Beta of NZSE all vs SPX Index is only 0.216 for last 4 years.
Hope that helps!
156 1,221,130 15:20 SP
Anyone care to guess what / who this is?
Thanks all.
Superlife sure do like the story.
http://www.superlife.co.nz/data_files/Gemino.pdf
http://www.superlife.co.nz/data_files/NZ_shares.pdf
that seems like an extraordinary weighting in one share for Superlife, surely unwise