Share New Research 
Hi everyone,
I ran a backtest of SPY's total return from 1/31/1999 to 1/31/2021. I benchmarked it against SPY itself (please see my code).
According to my understanding, the generated beta should've been 1 (since you're benchmarking against the ETF itself). Is there a reason why this backtest is showing that the beta is -0.089?
The plotted graph benchmark is correct (i.e. the prices are already adjusted), but the statistics don't look right to me.
Unless, for some reason, the benchmark used in calculating statistics are based on SPY's raw/unadjusted prices (as opposed to adjusted prices). If so, is there a way to get statistics that are based on SPY's adjusted prices?
Thanks.
Derek Melchin
Hi Jason,
Refer to this related thread.
Best,
Derek Melchin
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Jason
Hi Derek,
Your link doesn't work, can you resend it please?
Vladimir
Derek Melchin,
I can confirm that in Jason Kristianto back-test the overall statistics for
Beta -0.089 and Treynor Ratio -0.826 are incorrect.
Also, the link you provided is not working.
Aaron Janeiro Stone
You have to use a finer resolution, its seems. As an example, the attached uses Hourly to over 252 days (a trading "year") for beta =0.997.
In the link from Derek Melchin which now seems to work, it is described as being due to:
"""
Beta calculations on Daily Resolution is a known issue, and we have yet to fix it. Since Alpha uses Beta in it's calculation, it's also wrong. To get a more accurate calculation, please use Hourly or more granular resolution.
"""
Aaron Janeiro Stone
(Posted twice on accident)
Jason
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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