After a rather long hiatus the sorted Beta and Sharpe Ratio for all companies listed in the S&P 500 as of March 2022 are now available. Beta and the Sharpe Ratio are calculated using 3 years of bi-weekly returns. To learn more about Sharpe and Beta 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)
After not having revisited the lists for nearly a year the stocks in the high Beta group remain remarkably unchanged from July 2021! In some ways this is encouraging because it suggests that our Beta estimates are pretty reliable. Royal Caribbean and Norwegian continue to lag badly and remain well below their January 2020 highs. Casino operators Penn National Gaming and Caesar’s have continued their precipitous decline which gives little indication of abating. The one notable change concerns Apache (APA). The price of oil has risen dramatically thus far in 2022 on the back of the conflict in Ukraine and Apache has seen its fortunes shift as a result. APA is up a cool 42% YTD and if oil remains elevated the stock may continue to outperform.
The 5 companies with the lowest Beta are as follows:
- Kroger (KR)
- The Clorox Company (CLX)
- Regeneron Pharmaceuticals, Inc. (REGN)
- Coterra Energy Inc. (CTRA)
- Gilead Sciences, Inc. (GILD)
There has been some shake up in the low Beta cohort over the past few months. Kroger has been a beneficiary of inflation and geopolitical tension as concerns about food security have grown in recent weeks. Clorox remains a member of the list but has struggled mightily in 2022 as inflation in basic chemicals has pressured margins. Clorox guided poorly on their Q4 2021 earnings call and you can see the impact this has had on the usually stalwart blue chip. Gilead and Regeneron are new constituents to the list, but have had divergent performance thus far in 2022 with Regeneron rally strongly and Gilead lagging badly. Coterra Energy is an independent oil and gas E&P company based in the Permian basin and a new addition to the list. Interestingly, this stock has had a slightly negative Beta to the S&P over the last 3 years and, as you can see, has been a key beneficiary of the spike in oil prices.
The 5 companies with the highest Sharpe Ratio are as follows:
- Apple Inc (AAPL)
- Microsoft Corp (MSFT)
- Pool Corp (POOL)
- West Pharmaceutical Services, Inc. (WST)
- Costco (COST)
The high Sharpe list consists of mostly old friends. Microsoft and West Pharmaceutical Services are hold overs from the last update. Pool Corp, a leading manufacturer of inground pools and equipment, is back in the mix after a brief absence. Apple (surprisingly) is making its debut as a member of the high Sharpe list while Costco, who has been hanging out in the top 10 for a while, is also making its first showing. Notably, Enphase Energy is absent from the list after appearing for most of 2021.
The high Sharpe list has broadly struggled so far in 2022 as market volatility has challenged the mega cap names which had seemed so unassailable during the pandemic.
The 5 companies with the lowest Sharpe Ratio are:
- Viatris Inc. (VTRS)
- Carnival Cruise Lines (CCL)
- Norwegian Cruise Line Holdings Ltd. (NCLH)
- DXC Technology (DXC)
- Las Vegas Sands Corp (LVS)
The low Sharpe list is a mix of old and new names. Norwegian Cruise Lines has the dubious honor of featuring in both the high Beta and low Sharpe group. Joining Norwegian is Carnival Cruises which is down ~70% from its 2020 peak. Las Vegas Sands, another gaming and hotel operator, is a new addition this month and has struggled to gain traction after an initial bounce following the onset of the pandemic and is currently plumbing new lows. Viatris and DXC continue to feature from the previous update.
To download the updated Betas and Sharpe Ratios for the S&P 500 companies, click the buttons below!
Thanks for reading!
-Aric lux.
