The sorted Beta and Sharpe Ratio for all companies listed in the S&P 500 as of July 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:
- Norwegian Cruise Line Holdings Ltd. (NCLH)
- Royal Caribbean Group (RCL)
- Apache Corporation (APA)
- Caesars Entertainment Inc (CZR)
- Penn National Gaming, Inc (PENN)
The list of high Beta stocks this month remains unchanged from when the last update was posted in May. Norwegian, Royal, and Apache continue to lag the market badly. Despite the broad based reopening and resumption of travel the cruise lines are still struggling to gain traction and return to pre-pandemic form; as evidenced by the performance of their stock. Gaming stocks Caesar’s and Penn National have seen their stock prices slide in recent months as the reopening trade has been called into doubt. On balance the gaming stocks have still performed well over the past year, but recent price momentum has been fading.
The 5 companies with the lowest Beta are as follows:
- Kroger (KR)
- The Clorox Company (CLX)
- Hormel Food Corporation (HRL)
- Cabot Oil & Gas (COG)
- The J.M. Smucker Company (SJM)
The constituents of the low Beta list remain the same as it has for months (which makes me wonder if this will ever really change). The same themes are also evident. Clorox seems to be trying to reverse it’s slide over the past 9 months while Kroger continues to slowly grind higher. Hormel remains range bounds while Cabot continues to languish. While not the subject of this post, it’s interesting to consider the bifurcation of performance within the oil and gas industry. As we have seen, APA and COG have continued their underperformance while other stocks like Exxon and Chevron have seen better rebounds as the price of oil has risen back to $70/bbl.
The 5 companies with the highest Sharpe Ratio are as follows:
- Proctor and Gamble (PG)
- Microsoft Corp (MSFT)
- Enphase Energy (ENPH)
- West Pharmaceutical Services, Inc. (WST)
- Generac Holdings Inc. (GNRC)
The plot for the High Sharpe Ratio stocks demonstrates some interesting developments. Notably we see the resurgence of performance in growth names like Enphase Energy and Generac as the reopening trade has witnessed a fierce reversal. In May I speculated that Enphase might drop out of the list on the assumption that high inflation prints would continue to cause yields to rise…it appears the exact opposite is playing out. Generac announced this month that it would be acquiring solar inverter manufacturer Chilicon for an undisclosed amount in a bid to increase its presence in solar equipment; a move viewed favorably by the market. Also this month, we observe that Eli Lilly & Co has dropped out of the list and been replaced by blue-chip bellwether Proctor & Gamble.
The 5 companies with the lowest Sharpe Ratio are:
- Viatris Inc. (VTRS)
- Perrigo Company plc (PRGO)
- Schlumberger Limited (SLB)
- DXC Technology (DXC)
- NOV Inc. (NOV)
Like the Low Beta stocks, the list of Low Sharpe Ratio stocks remains unchanged since May. The list continues to demonstrate uniform underperformance and, in some cases, further deterioration over the past 2 months.
To download the updated Betas and Sharpe Ratios for the S&P 500 companies, click the buttons below!
Thanks for reading!
-Aric Lux.
