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Post by scoy on Mar 7, 2017 15:02:50 GMT -5
Actually that indicates that Mannkind is 3.22 times as volatile as the market. Mannkind's r-squared is 3.17 which means that 3% of its moves can be explained by moves in the market. www.hedgeable.com/quote/MNKDSPY, an ETF, has an r-squared of 96.26%. www.hedgeable.com/quote/SPYIn other words Mannkind doesn't follow the market. Yes it depends on the definition of follow the market. If the market goes up one unit then Mnkd will go up 3.2. And vice versa. More volatile. More risk. The formula for beta is the correlation between stock and market returns multiplied by stocks standard deviation and then divided by markets s.d. No, as I said before, that's not true. Mannkind doesn't follow the market. www.morningstar.com/InvGlossary/r_squared_definition_what_is.aspxR-squared can be used to ascertain the significance of a particular beta or alpha. Generally, a higher R-squared will indicate a more useful beta figure. If the R-squared is lower, then the beta is less relevant to the fund's performance ... 1-40% = low correlation between the portfolio's returns and the benchmark's returns www.investopedia.com/ask/answers/012915/whats-relationship-between-r-squared-and-beta.aspThe Alpha and Beta of assets with R-squared figures below 50 are thought to be unreliable because the assets are not correlated enough to make a worthwhile comparison. A low R-squared or Beta does not necessarily make an investment a poor choice. It merely means that its performance is statistically unrelated to its benchmark. High beta, low r-squared are news-driven (for lack of a better name) companies such as SUNEQ or GPRO. www.hedgeable.com/quote/SUNEQwww.hedgeable.com/quote/GPRO
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Post by mnkdfann on Mar 7, 2017 15:21:31 GMT -5
Yes it depends on the definition of follow the market. If the market goes up one unit then Mnkd will go up 3.2. And vice versa. More volatile. More risk. The formula for beta is the correlation between stock and market returns multiplied by stocks standard deviation and then divided by markets s.d. No, as I said before, that's not true. Mannkind doesn't follow the market. www.morningstar.com/InvGlossary/r_squared_definition_what_is.aspxR-squared can be used to ascertain the significance of a particular beta or alpha. Generally, a higher R-squared will indicate a more useful beta figure. If the R-squared is lower, then the beta is less relevant to the fund's performance ... 1-40% = low correlation between the portfolio's returns and the benchmark's returns www.investopedia.com/ask/answers/012915/whats-relationship-between-r-squared-and-beta.aspThe Alpha and Beta of assets with R-squared figures below 50 are thought to be unreliable because the assets are not correlated enough to make a worthwhile comparison. A low R-squared or Beta does not necessarily make an investment a poor choice. It merely means that its performance is statistically unrelated to its benchmark. High beta, low r-squared are news-driven (for lack of a better name) companies such as SUNEQ or GPRO. www.hedgeable.com/quote/SUNEQwww.hedgeable.com/quote/GPROLet's also not forget that R-squared measures a LINEAR relationship. With a low R-squared, there COULD still very well be a direct NON-linear relationship between MNKD and the overall market. But having said that, I would tend to agree overall that MNKD (like many small companies) does not trade directly (linearly or non-linearly) with the market.
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Post by humann on Mar 7, 2017 15:21:54 GMT -5
SPY is an S&P index ETF... of course it correlates to the market... that's like saying the market corresponds to the market. This seems like a pedantic and pointless conversation.
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