Income Portfolio beta & volatility
The purpose of this project is to look at theoretical historical betas for securities included in the income portfolio in order to assess what the volatility of this portfolio might have been had it existed at an earlier point. In effect, this information provides historical performance data in reference to the risk and volatility associated with the income portfolio against market performance, for which the S&P 500 is used.
The spreadsheet lists all of the companies on the Income Portfolio watch list that began paying out dividends at the end of the second quarter, July 31, 1980. (This makes up 48 companies.)
The first three sections show up, down, and raw betas for each company. The first section shows betas for the 10 years: July 31, 1980 – Dec 31, 1990; the second section shows betas for the 20 years: July 31, 1980 – Dec 31, 2000; and the third section shows betas for the 30 years: July 31, 1980 – Dec 31, 2010. At the bottom of the sections there is a “portfolio average beta” for each of the 10, 20, and 30 years, respectively.
The 10, 20, and 30 year portfolio betas are as follows:
10 years: 0.785
20 years: 0.703
30 years: 0.686
*These portfolio betas are compared to the beta for the market (the S&P 500) which is always 1. The fact that the portfolio betas are significantly lower than 1 indicates that the portfolio would have carried significantly less risk than the S&P 500 for each time period shown.
The fourth section on the spreadsheet is the total return components for each company, also shown as an annualized return for the entire 30 year period. The total return components are shown such that (% Div Yield) + (% Price App) = (% Total Return) for each company. The (% An. Return) for each company is the total return shown as an annualized percentage. This data was collected using the Bloomberg XSTD Excel tool.
The portfolio 30-year annualized return: 13.42%
The S&P 500 30-year annualized return: 11.40%
The Bloomberg Historical Studies for Multiple Securities packet is the XSTD Excel tool mentioned above. This print out of the XSTD list shows 56 companies from the Income Portfolio watch list that provided data at least as far back as July 31, 1980; and some which provided data from January 1, 1970 at the earliest. The purpose of this spread is to show data for the Income Portfolio securities as far back as performance data is available for them in the Bloomberg system.
This spread shows four approximate time periods: (July 31, 1980 – Dec 31, 2010); (Jan 1, 1980 – Dec 31, 2010); (Jan 1, 1975 – Dec 31, 2010); and (Jan 1, 1970 – Dec 31, 2010). These are approximate because if the exact time periods were not available for a certain security, Bloomberg automatically used the closest date available to draw data from. For example, for the security ABT US Equity, Bloomberg automatically changed the (Jan 1, 1980 – Dec 31, 2010) date range to begin at Jan 14, 1980, because that is the earliest date which it could compile the requested data for. Many of the securities do not have available data for at least two of the time periods shown.