How to get twice the expected return of S&P 500
If I create a diversified portfolio of 2*beta stocks, can I expect to get twice the return of S&P 500.
範例：在可供我使用的所有股票中，我隨機選擇了 10 只 Beta 為 2 的股票。如果標準普爾 500 指數獲得 10% 的收益，是否意味著我將在我的投資組合中獲得 20% 的收益。反過來也是如此，如果標準普爾賺了-10%，我會賺-20%。
這些陳述有意義嗎？
謝謝。編碼器
如果你想獲得 2 倍標準普爾 500 的回報，買一隻追踪指數的槓桿 etf 會更安全。隨機選擇 10 隻股票獲得 2 貝塔位置會導致不同的結果。由於剩餘的特殊風險，您將遇到跟踪錯誤
理論上，如果您創建一個完全多元化的投資組合 $ \beta=2 $ you should get 2 times the risk premium on the market. In practice the SML of the CAPM is too flat, meaning that you would be better off buying low beta stocks and shorting high beta stocks. If you don’t trust me read Betting Against Beta by Andrea Frazzini and Lasse Haje Pedersen.They say in the abstract:
We present a model with leverage and margin constraints that vary across investors and time. We find evidence consistent with each of the model’s five central predictions: (1) Because constrained investors bid up high-beta assets, high beta is associated with low alpha, as we find empirically for US equities, 20 international equity markets, Treasury bonds, corporate bonds, and futures. (2) A betting against beta (BAB) factor, which is long leveraged low-beta assets and short high-beta assets, produces significant positive risk- adjusted returns. (3) When funding constraints tighten, the return of the BAB factor is low. (4) Increased funding liquidity risk compresses betas toward one. (5) More constrained investors hold riskier assets.