Russell 1,000 Stocks with the Highest, Lowest Betas

We recently received a MyBespoke request for the betas of stocks in the Russell 1,000.

When investors feel very strongly about the future direction of the market, they might look for high beta stocks to buy or sell. Beta measures the volatility of a security compared to the market as a whole (often times the S&P 500). For those not familiar with the term, a stock with a beta of 1 moves directly inline with the S&P 500. A stock with a beta less than 1 is less volatile than the market, and a stock with a beta greater than 1 is more volatile than the market.

Since high beta stocks are more volatile than the market, investors might buy them in hopes of receiving higher returns if they think the market is due to go higher. Investors that think the market is due for a correction might short high beta stocks or stick with low beta stocks that are less correlated with the market as a whole.

Below we highlight the 25 stocks in the Russell 1,000 with the highest and lowest betas. We also provide the standard deviation of the beta (the higher the number, the more it varies). As shown, JOYG, CBG, AKAM, TIE, BGC and CLF have the highest betas. These stocks move twice as much as the market does regardless of the direction.

SIE, LNCR, DGX, FIC and DF have the lowest betas. These stocks are less volatile and don't typically move as much as the market does.

click to enlarge

Comments

[GeoffConsidine]

What time horizon of data are used for the Betas? Monthly?

How is the standard deviation of Beta calclulated--is this like three years of monthly data and then the standard deviation of 36 monthly values? I don't follow.

Thanks,

Geoff