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Tuesday, May 24, 2011

Proof That Everyone In The Market Is A "Beta Chaser"


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Tuesday, May 24, 2011
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Proof That Everyone In The Market Is A "Beta Chaser"

With correlations between all stocks running so high (e.g., there's no difference between 'growth' and 'value' stocks anymore) finding an edge in this market is difficult. As such one strategy is simply to find the stocks with the highest beta (leverage to market growth) and just buy those.

And if you doubted that this was really the strategy du jour, check this out.

In a survey of quant investors done by BofA/ML, the number of respondents who say that beta is a key factor in their stock screens, has surged overtime, from less than 20% in the mid 90s to over 70% now.

Other popular factors used in stock screens include: Market cap, forward PE, and relative strength. Read »


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