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&P500 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).
"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 of Drawdown)]
Stan Uryasev and Rui Ding presentation on "Drawdown Beta and Portfolio Optimization" at the Fields Institute, Toronto, Canada(Apr, 2021). See link to recording.
The website was created by Giorgi Pertaia, Rui Ding (email@example.com), and Stan Uryasev (firstname.lastname@example.org)