Posts tagged ‘Beta 啤打’

Olympus Has FallenA lot of fear in the markets with the recent news on possible outbreak of Avian Flu and intense situation in North Korea.  Mind you, the recent movie “Olympus Has Fallen” describes a possible scenario which North Korea may pursue.  Of course, the movie has a lot of areas that is quite unreasonable, but for an action packed movie, it does its job!

With all this fear in the markets after seeing the drop of 600+ points in the HSI last Friday, it maybe time for some low beta stocks!

Even with the stock picking skills, it is much much harder to outperform during down trending markets.  You can sow the seeds of future success, but you need to be patient.  Perhaps when markets turn upwards, it may be time for high beta stocks then!

Stock Last C. Price Adjusted Beta
HK2 66.95 0.38
HK3 22.4 0.66
HK6 73.35 0.37

If you have formed an idea of a price you would like to buy for example, setting a limit order is often wise but requires much much more patience.

Picture from the below link:

http://inthemouthofdorkness.blogspot.hk/2013/01/im-best-hope-youve-got-olympus-has.html

– Mr. Alpha

內地金礦股紫金礦業 (02899.HK) 近日的表現有點異常,由每月累積沽空額計算出來的平均沽空比率大幅增加。

從下圖可見,2012年12月的沽空比率為4%,到了2013年1月升至10.2%,而到2月5日為止,紫金的沽空比率升至22.7%。

HK2899 每月累積沽空成交及沽空比率 monthly short selling historical chart 2013-02-05

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

從技術層面看,自去年9月美國聯儲局宣佈推行第三輪量化寬鬆措施QE3起,紫金的股價被炒高至$3以上 (可參考文章《QE3引發的恐慌性買入》),然後反覆橫行。到最近的沽空成交量突然急增 (見下圖),股價緩緩向下,下試250天移動平均線$2.91的支持位。倘若跌穿這個支持位,便有機會回補去年9月中的裂口至$2.7水平。

HK2899 沽空比率 沽空成交量與100天平均沽空量 short selling trend chart 2013-02-05

 

 

 

 

 

 

 

 

 

下圖顯示VWAP (成交量加權平均價) 開始轉為負數,表示股票有沽壓。

HK2899 收市價減VWAP 偏差 Closing Price Minus VWAP Deviation chart 2013-02-05

 

 

 

 

 

 

 

 

 

現在未能確定股價下跌的主因,僅提供以下少許分析:

  • 從基本層面看,公司在2012年首三季度純利36.18億元,倒退16.9%。每股盈利為人民幣0.166元,比去年同期的每股盈利人民幣0.2元減少約兩成。管理層解釋經營成本開支增加,原因包括20萬噸銅冶煉廠及多寶山銅礦等投入試生產、主要原輔材料價格上升、人員工資、安全環保投入增加,以及加大處理低品位礦石等。或許有投資者預期公司全年利潤有所倒退,而看淡公司的股價。
  • 紫金在澳洲上市的子公司諾頓金田 (Norton Gold Fields) 發盈警,料中期稅前蝕2,800萬澳元,約2.24億港元,但對公司整體的盈利影響輕微。故不似是構成股價受壓的主因。
  • 大家一向視買賣金礦股為買賣實金的代替品,它們的股價與金價的關係密切。筆者簡單地繪製了每年紫金礦業 (02899.HK) 股價回報和另外一隻熱門的金礦股招金礦業 (01818.HK) 股價回報與現貨金價回報的線性迴歸 (Linear Regression) 圖。

 

HK2899 Spot Gold Linear Regression 2004-2012 每年紫金礦業 (02899.HK) 股價回報與現貨金價回報的線性迴歸

HK1818 Spot Gold Linear Regression 2007-2012 每年招金礦業 (01818.HK) 股價回報與現貨金價回報的線性迴歸

 

  • 總括兩點:
  1. 股價回報與金價回報的相關系數 (Correlation Coefficient) 頗高,證明了以買股代買金的說法可行。
  2. 以金價為本的啤打值 (Beta),亦即是圖中迴歸線的斜率 (Slope),遠遠大於1,表示買金礦股有槓桿效應,對金價的變化相當敏感。例如,紫金礦業 (02899.HK) 股價回報與現貨金價回報的啤打值約4.6倍,意味著現貨金價升1%,紫金股價便會升約4.6%。招金礦業 (01818.HK) 更甚,其線性迴歸的啤打值逾7倍。當然,這只是以歷史數據為估計,不反映股價將來表現,股價與恆指也有關聯,以及數據點不多,有誤差也不足為奇,但至少過往幾年的關係就是這樣,故有一定的參考價值。

    或許,有投資者擔心未來的金價表現,基於多方面的考慮,譬如美國聯儲局退市停止買債計劃,以及預期加息週期提早降臨等因素,都會令金礦股面對沉重的沽壓。

 

 

– Mr. Alpha

 

本文不可作為任何投資邀約或建議。任何人仕如對證券投資或潛在投資有所疑問,應向專業人仕索取有關建議才作出投資決定。

AlphaAlpha (a.k.a. Jensen’s Alpha) is a risk-adjusted performance measure on an actual portfolio return (Rp) relative to its expected return (benchmark RB). Positive Alpha means the portfolio outperformed its benchmark and vice versa. In other words, Alpha tells us how much a portfolio beats its benchmark, and thus it’s often used to measure how well a mutual fund manager performs. Simply speaking,

 

Alpha = RpRB   ……………………………….(1)

 

Usually, we’d take market as our benchmark. The most popular way to estimate the benchmark return is through the use of Capital Asset Pricing Model (CAPM):

 

RB = Rf + Beta * (Rmkt – Rf)  ……………………………….(2)

 

where Rf = Risk-free Rate, Rmkt = Expected Market Return, and Beta = Systematic Risk (a.k.a. market risk or undiversifiable risk). (Rmkt – Rf) is known as Market Risk Premium.

CAPM assumes the portfolio is well-diversified eliminating any unsystematic risk (i.e. company-specific risk) and leaving only systematic risk. Systematic risk, Beta, is the sensitivity of the expected portfolio return (RB) to the expected market return (Rmkt). One way to estimate Beta is to regress historical portfolio returns against historical market (e.g. Hang Seng Index) returns. The slope of such regressed line is Beta. The greater the correlation coefficient between the two returns indicates a stronger linear relationship and a more reliable Beta.

A positive return with high Beta means a return following a positive market return. Beta that is greater than one is simply a leverage on market return. If there was a downturn in the market, a high Beta could cause severe loss to the portfolio. That’s why Beta is called market risk.

Combining equations (1) and (2),Watch Full Movie Online Streaming Online and Download

 

Alpha = Rp – [Rf + Beta * (Rmkt – Rf)]  ……………………(3)

 

As we can see, Alpha is actually the return in excess of the reward for the market risk. A positive return with high Alpha implies a high fund manager’s stock screening ability as the actual portfolio return depends less on the market.

Let’s take an example. Suppose our stock portfolio has an actual annual return of 15%. With reference to the Hong Kong 10-year government bond’s average rate, risk-free rate is equal to about 1% per annum. If market risk premium (Rmkt – Rf) and Beta equal 9% and 1 respectively. By applying equation (3), Alpha is 15% – (1% + 1*9%) = 5%, which has outperformed the market by 5%. However, if Beta equals 2, Alpha becomes -4%. In this case the portfolio has underperformed the market by 4%, even though the actual annual return is positive.

With the aid of Alpha Investments* Statistics Webpage, it’s very easy to determine the portfolio Beta of stocks that are traded in Hong Kong market. Stock Beta is computed as stock returns are regressed against HSI returns. For instance, suppose our portfolio consists of stocks shown in the following table. After retrieving each stock Beta from Alpha Investments Stats page, we can calculate the portfolio Beta as the weighted sum of stock Beta. With the actual portfolio return and the value of portfolio Beta on hand, we can estimate Alpha performance of our portfolio and see how well we actively manage our portfolio from time to time.

 

Stock Beta# Weight Beta * Weight
CHEUNG KONG 長江實業 (00001.HK) 1.07 30% 0.321
YUEXIU PROPERTY 越秀地產 (00123.HK) 1.46 15% 0.219
CCB 建設銀行 (00939.HK) 1.09 20% 0.218
CHINA MOBILE 中國移動 (00941.HK) 0.88 15% 0.132
CHINA LIFE 中國人壽 (02628.HK) 1.18 20% 0.236
#Beta values were taken as at 18Oct2012 Portfolio Beta 1.126

 

-Mr. Alpha

*Alpha Investments (English: http://alphainvestments.hk/en/ ;Chinese: http://alphainvestments.hk) is a website dedicated to analyze historical investment data for the Hong Kong market. It provides an intuitive platform for market participants to use to identify potential trends from pricing and volume history, and therefore, to seek Alpha.

Imoney Featured Stock (00215.HK), (00823.HK)

Imoney Featured Stock (00215.HK), (00823.HK)

This week’s IMoney magazine cover features 2 low beta stocks (和記電訊香港 HUTCHTEL HK (00215.HK)) and (領匯房產基金 LINK REIT (00823.HK)) we spoke about earlier in the post on top 5 highest and lowest Beta stocks.

(This picture is taken from the IMoney website.)

 

Looks like the market is still looking for quality amongst low beta names.

 

– Mr. Alpha

 

 

During times of high market volatility, investors may typically ask, “what kind of strategy should I follow?” or “which stocks should I be buying and selling”?  Using the concept of statistical regression between individual stock and market returns, we can begin thinking about these questions using the concept of “Beta” from the Capital Asset Pricing Model (CAPM).

Beta is a measure of the sensitivity of individual stock returns to market returns.  A stock like HK2800 (Tracker Fund) would have a beta close to 1.  A Beta significantly higher than 1 indicates that a stock may rise or fall more sharply than the market index.  A Beta significantly less than 1 indicates that the individual stock returns do not move in the same direction as how the market moves.

 

Top 5 High Beta stocks:

Stocks Beta
中國智能交通 CHINA ITS (01900.HK) 3.67
華耐控股 SINOREF HLDGS (01020.HK) 2.58
卡姆丹克太陽能 COMTEC SOLAR (00712.HK) 2.6
珠江鋼管 CHU KONG PIPE (01938.HK) 2.52
旭光高新材料 LUMENA NEWMAT (00067.HK) 2.5

 

For high Beta stocks, if an investor had a view that the market is trending upwards in the short term, buying high beta stocks may lead to higher gains.  But under the current highly volatile environment, investors may be better off simply to avoid high beta exposure, as these are the names that may drop more significantly than the market.  What is also notable is that in the high beta list, China property developers tend to show up further down the list of top 50 high beta names.

 

Top 5 Low Beta stocks:

Stocks Beta
中電控股 CLP HOLDINGS (00002.HK) 0.1
電能實業 POWER ASSETS (00006.HK) 0.12
領匯房產基金 LINK REIT (00823.HK) 0.21
長江基建集團 CKI HOLDINGS (01038.HK) 0.22
和記電訊香港 HUTCHTEL HK (00215.HK) 0.24

 

Under the current highly volatile environment, investors may be better off to have low Beta exposure as a cornerstone security to build a defensive portfolio.  As always, comments and feedback are welcome!

 

Mr. Alpha

 

Here are some Return Stats for Tracker Fund (02800.HK) vs HSI:

  • Correlation Coefficient (R) = 1
  • Slope (Regressed Beta) close to 1
  • Y-Intercept (Regressed Alpha) close to 0

This is a good way to calibrate and validate the regression results!

Linear Regression: Return of 盈富基金 Tracker Fund (02800.HK) vs HSI Return

Linear Regression: Return of Tracker Fund (02800.HK) vs HSI Return

 Watch Full Movie Streaming Online and Download

 Watch Full Movie Streaming Online and Download

 Watch Full Movie Streaming Online and Download

 Watch Full Movie Streaming Online and Download

 Watch Full Movie Streaming Online and Download

 Watch Full Movie Streaming Online and Download

 Watch Full Movie Streaming Online and Download

 Watch Full Movie Streaming Online and Download

-Mr. Alpha

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