Over the past month in the MSCI World Index, stocks with the lowest beta (divided up by deciles) are up 3.9%. Meanwhile, stocks with the highest beta are down 3.8%, creating a 7.7% performance gap between the lowest beta stocks and the highest beta stocks over the past month. There has been a very clear trend over the past month that the higher beta the stock has the worst it has performed.
MSCI World Index Performance By Beta Decile
In the emerging markets, the lowest beta stocks have also performed the best over the past month and the highest beta stocks have performed the worst. However, looking at deciles 2-9, there isn't the clear declining performance pattern that we see in the developed markets.
MSCI Emerging Markets Index Performance By Beta Decile
