Drawdown Beta (DBeta) evaluates performance of a security during market drawdowns. Negative DBeta shows that the security had positive returns during market drawdowns (calculated on daily basis). The following table provides DBeta values for assets in the S&P 500 index. It is based on 10 or 15 years of daily historical returns (for securities with available data). DBeta concept is described in Zabarankin, Pavlikov, Uryasev (2014) (link to the PDF). See, Uryasev and Ding presentation on "Drawdown Beta and Portfolio Optimization" at the Fields Institute, Toronto, Canada Apr, 2021 (link to recording).
"Ticker" = Asset symbol
"CDaR0.9-Beta" = CDaR Beta for the corresponding asset based on the largest 10% S&P 500 drawdowns
"ERoD0+-Beta" = ERoD Beta for the corresponding asset based on non-zero S&P 500 drawdowns
"Standard-Beta" = Ordinary Beta for the corresponding asset
"Max-Drawdown (%)" = Maximum Drawdown for the asset
"Annual Return (%)" = Effective Annual Return of the asset
"U-ratio" = Average Daily Return / (Average Drawdown / Average Length in Days of Drawdown)
The website was created by Giorgi Pertaia, Rui Ding (rui.ding.1@stonybrook.edu), Eesh Naik, and Stan Uryasev (stanislav.uryasev@stonybrook.edu)