can you compare beta of a 10-year government bond with beta of a commodity mutual fund?

CFA Level II
#1

are they comparable?

#2

Do you mean compare in the way of A vs B. Where you have one apple and an orange and you compare their difference? Which of course you can always do. Or, do you mean use one beta in lieu of the other? Which of course you shouldn’t as they would be different. It makes me wonder in what context are you asking though haha.

#3

No

#4

You can, but the value of such a comparison could be very low. You would want to check the R2 of the beta regression to see if you line actually has some explanatory value.

#5

To the S&P (or whatever index you want)? Sure. Will it tell you anything? No.

I believe you probably want to look at correlation.

#6

Beta measures systematic risk, so betas should be comparable. However, trying to compare a bond with a commodity fund is just mixing things. What is the ultimate goal of your analysis?

#7

the reason i ask is because it’s a Canadian CPA question. but now i see how stupid it is.