03 April 2012
Highest Beta S&P 500 Components
Here are the current top 10 highest beta components of the S&P 500 index:
| Symbol | Beta | Volatility | Sector | Industry |
| ANR | 2.60 | 74.16% | ENERGY | COAL |
| GNW | 2.27 | 67.31% | FINANCIAL | INSURANCE (LIFE) |
| JDSU | 2.18 | 61.00% | TECHNOLOGY | ELECTRONIC INSTR. & CONTROLS |
| MS | 2.13 | 60.41% | FINANCIAL | MISC. FINANCIAL SERVICES |
| X | 2.10 | 59.02% | BASIC MATERIALS | IRON & STEEL |
| RF | 2.07 | 56.92% | FINANCIAL | REGIONAL BANKS |
| LNC | 2.05 | 52.99% | FINANCIAL | INSURANCE (LIFE) |
| HIG | 2.05 | 54.35% | FINANCIAL | INSURANCE (PROP. & CASUALTY) |
| C | 2.03 | 54.78% | FINANCIAL | REGIONAL BANKS |
| BAC | 2.00 | 59.89% | FINANCIAL | REGIONAL BANKS |
Note that this list is sorted by index component beta vs. the S&P 500. Associated component volatilities (annualized standard deviation) are posted as well. For comparison purposes, the current volatility of the S&P is 22.55%.
All calculations are as of 4/2/2011, executed on 1-year of adjusted daily data.
The results above were calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.