The sorted Beta and Sharpe Ratio for all companies listed in the S&P 500 as of January 2021 are now available. Beta and Sharpe are calculated using 3 years of bi-weekly returns. To learn more about Beta and the Sharpe Ratio check out my post about measuring risk and return!
The 5 companies with the highest Beta are as follows:
- Diamondback Energy, Inc. (FANG)
- Carnival Corporation & plc (CCL)
- Royal Caribbean Group (RCL)
- Norwegian Cruise Line Holdings Ltd. (NCLH)
- Apache Corporation (APA)
High Beta stocks continue to languish this month and remain substantially below their pre-pandemic values though performance as ticked up notably in the past several months. The group continues to be dominated by Energy and Cruise lines whose lines of business were especially exposed to the coronavirus fallout.
The 5 companies with the lowest Beta are as follows:
- Kroger (KR)
- The Clorox Company (CLX)
- Hormel Foods Corporation (HRL)
- Cabot Oil & Gas (COG)
- Consolidated Edison, Inc. (ED)
The performance of the low Beta group is more mixed. Consumer Staples like Kroger, Hormel, and Clorox have performed quite well owing to changes in pandemic buying habits. Meanwhile, Cabot Oil & Gas reflects the performance of the energy sector more broadly and continues to lag.
The 5 companies with the highest Sharpe Ratio are as follows:
- Pool Corporation (POOL)
- Thermo Fisher Scientific Inc. (TMO)
- Danaher Corporation (DHR)
- Eli Lilly and Company (LLY)
- West Pharmaceutical Services, Inc. (WST)
The high Sharpe ratio group is comprised of pandemic winners like Danaher, Eli Lilly and West Pharma. Danaher is a healthcare and industrial conglomerate who was critical early in the pandemic for manufacturing COVID-19 tests, Eli Lilly is currently working on its own COVID-19 vaccine and West Pharma is dominant in the manufacturing of vaccine vials. Pool Corp is a bit of a surprise stand out as consumers have shifted their buying habits and (evidently) have decided to put in their own pools!
The 5 companies with the lowest Sharpe Ratio were:
- Viatris Inc. (VTRS)
- Kraft Heinz Company (KHC)
- American Airlines Corp (AAL)
- Perrigo Company plc (PRGO)
- Schlumberger Limited (SLB)
The low Sharpe group has some familiar names including oil field servicer Schlumberger and airline American Airlines which were both notable pandemic losers. It also contains some less familiar names like Perrigo which manufactures veterinary medicine and Viatris which is a pharmaceutical conglomerate. Interestingly KHC has performed quite poorly as the company continues to retrench.
To download the updated Betas and Sharpe Ratios for the S&P 500 companies, click the buttons below!
Thanks for reading!
-Aric Lux.
