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:
- Halliburton Company (HAL)
- Devon Energy Corporation (DVN)
- Royal Caribbean Group (RCL)
- Apache Corporation (APA)
- Norwegian Cruise Line Holdings Ltd. (NCLH)
The past few years have not been kind to high Beta stocks. The group features some of the worst victims of the pandemic and is comprised entirely of oil & gas firms and cruise lines. Here’s to better luck in 2021! Below is a chart of the cumulative performance:
The 5 companies with the lowest Beta are as follows:
- Newmont Corporation (NEM)
- Consolidated Edison, Inc. (ED)
- WEC Energy Group, Inc. (WEC)
- Campbell Soup Company (CPB)
- CMS Energy Corporation (CMS)
Perhaps unsurprisingly, the low Beta stock group is dominated by utility companies and gold miner Newmont Mining.
The 5 companies with the highest Sharpe Ratio are as follows:
- ServiceNow, Inc. (NOW)
- Verisk Analytics, Inc. (VRSK)
- Zoetis Inc. (ZTS)
- Microsoft Corporation (MSFT)
- MSCI Inc. (MSCI)
The constituents of the high Sharpe Ratio group may surprise you. While tech giant Microsoft features in the group, Apple, Amazon and Facebook do not. Instead we see animal medicine manufacturer Zoetis and (very curiously) financial data and index provider MSCI. Below is the chart of their cumulative performance:
The 5 companies with the lowest Sharpe Ratio were:
- Schlumberger Limited (SLB)
- Exxon Mobil Corporation (XOM)
- Viatris Inc. (VTRS)
- Concho Resources Inc. (CXO)
- DXC Technology Company (DXC)
The group has a similar composition to the the high Beta group and, once again, highlights the trouble that the oil/gas and energy sector has had navigating the pandemic. Check out the performance:
To download the updated Beta and Sharpe Ratio for the S&P 500 companies, click the buttons below!
Thanks for reading!
-Aric Lux.
