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:
- Carnival Corporation PLC (CCL)
- Apache Corporation (APA)
- Norwegian Cruise Line Holdings Ltd. (NCLH)
- Royal Caribbean Group (RCL)
- ONEOK Inc. (OKE)
The high beta stocks continue to lag the broad market badly with all having failed to recover from March 2020’s drawdown. The group continues to be dominated by the usual sectors and industries, namely: oil & gas and cruise lines. With reopening gaining traction it will be interesting to see if this theme flips in the future, particularly considering the rebound in oil prices.
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)
Consumer Staples names continue to comprise most of the Low Beta group. The Low Beta performance is more mixed than what we have observed from the High Beta group with Clorox and Hormel having performed quite well during the pandemic while Smucker’s and Cabot having muddled along. It’s curious how Cabot seems to have fared better than its industry counterparts and while peformance is still down it seems to emerge from COVID relatively unscathed.
The 5 companies with the highest Sharpe Ratio are as follows:
- Dollar General Corp (DG)
- Eli Lilly and Company (LLY)
- Microsoft Corp (MSFT)
- Enphase Energy (ENPH)
- West Pharmaceutical Services, Inc. (WST)
The High Sharpe chart basically looks like an Enphase chart as this stock has drowned out the performance of its High Sharpe counterparts. The case of ENPH is interesting. Over the past ~3 years the stock has produced a total return of +2000% (though has struggled of late), but this return certainly has not been a smooth ride. In fact, the annualized volatility for Enphase is ~90% which makes it all the more interesting that it is in the high Sharpe group has volatile stocks typically miss the cut. This just goes to show how truly astonishing the the rally in “disruptive” tech has been in the past few years.
The other members of the group include the stalwart names from last month.
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)
The composition of the Low Sharpe Ratio group is more varied than the others. Oil & Gas equipment and field services companies like SLB and NOV are unsurprising inclusions. DXC Technology, however, is a new addition this month. The company provides business-to-business IT and technical support and is actually the worst performer in the group; a true anomaly as everything tech seems to trade at a premium these days!
To download the updated Betas and Sharpe Ratios for the S&P 500 companies, click the buttons below!
Thanks for reading!
-Aric Lux.
