Guys, One more question… practically how do we calculate the beta for index futures and the Yield Beta for T-Bill futures? since historical data for futures would be limited is there an alternative method to cacl futures beta… and how do we go about calculating the yield beta… i have no clue regarding it.
I could be wrong but I think Beta is Beta is Beta. So either from running a regression analysis or the Cov(x,y)/Var(y)… I think that’s the formulas off the top of my head.
datapoints available for regression would be far too few…since futures would have just few months of data available
equity_research_nds Wrote: ------------------------------------------------------- > datapoints available for regression would be far > too few…since futures would have just few months > of data available Say what? I have futures data for almost all contracts going back to 1964 and it’s a few gig. There’s tons of data available. It’s pretty easy to accomodate multiple contracts in the same regression equation (in fact, usually you just create one stream “rolled” in the way that you like to roll things).
Yeah use a Generic Futures stream if you have to… They is definitely plenty of data.