Full record
MissmarketsThe beta chase reverses into a beta 'beat-down' — high-beta stocks sell off — in the spring of 2013.
A scored prediction by Tom Lee, made on .
Scored prediction
Missmarkets“However, we caution that this is also the cause of potential downside risk in (the first half). That is, we see the beta chase turning into a beta 'beat-down' in the Spring.”
The beta chase reverses into a beta 'beat-down' — high-beta stocks sell off — in the spring of 2013.
- Made on
- 2012-12-27
- Outcome
- Miss
- Importance
- 3 / 5
- Effect on score
- -1.33
What counted as right
- Status
- resolved
- Settled on
- 2013-06-21
Operationalizing 'beat-down' as a genuine high-beta selloff: TRUE if, at any point in spring 2013 (2013-03-20 to 2013-06-21), a high-beta US equity basket (S&P 500 High Beta Index, or an equivalent high-beta proxy) falls 10% or more peak-to-trough AND underperforms the S&P 500 Low Volatility Index over that drawdown. FALSE if no such 10% high-beta drawdown occurs in the window or if high-beta outperforms low-volatility across spring 2013.
Both operative conditions in the criterion fail independently. (a) No 10%+ high-beta drawdown: the deepest peak-to-trough move inside 2013-03-20 to 2013-06-21 was about -7.3% on closes and about -8.3% intraday. (b) High beta did not underperform low volatility: SPHB +1.82% vs SPLV +0.16% across spring 2013, and low-vol fell more than high-beta from its own peak during the taper tantrum. CAVEATS logged for the quantify stage, none of which changes the direction: (1) SPHB/SPLV figures are ETF PRICE returns excluding dividends — SPLV's higher distribution yield narrows the spring gap by roughly 0.3pp over a quarter, still leaving high beta ahead on total return; (2) the deepest point of the taper tantrum (2013-06-24) falls one trading day OUTSIDE the criterion's 2013-06-21 window — including it still yields only -7.93% on closes, short of 10%; (3) I used the ETFs rather than the raw S&P 500 High Beta / Low Volatility index levels, which the criterion expressly permits, and the ETFs track those indices directly. No conflicting evidence found. No outcome value assigned.
Sources
As Market Optimism Grows, Is It Time to Get Out?
CNBC ·
Evidence of what happened
High-beta proxy, drawdown leg 1. SPHB (Invesco/then-PowerShares S&P 500 High Beta ETF, which tracks the S&P 500 High Beta Index — an 'equivalent high-beta proxy' per the criterion) daily closes, Yahoo Finance chart API, 2013-03-18 to 2013-05-01. Deepest close-to-close drawdown inside the spring window: 24.12 on 2013-03-20 down to 22.37 on 2013-04-18 = -7.26%.
High-beta proxy, drawdown leg 2 (the taper tantrum). SPHB daily closes 2013-05-01 to 2013-06-24: peak close 26.12 on 2013-05-20, falling to 24.56 on 2013-06-21 = -5.97%. Continuing one day past the window, 2013-06-24 closed 24.05 = -7.93% from the 2013-05-20 peak.
Intraday check on the 10% test. SPHB's highest intraday high inside the window was 26.40 on 2013-05-22; its low on 2013-06-21 was 24.21 — a -8.30% intraday peak-to-trough. The April leg bottomed at an intraday low of 22.25 on 2013-04-18, roughly -8.1% from the 2013-03-20 area high. No 10%-or-greater high-beta drawdown occurred inside 2013-03-20 to 2013-06-21 on either a closing or an intraday basis.
Low-volatility comparator. SPLV (Invesco S&P 500 Low Volatility ETF, tracking the S&P 500 Low Volatility Index) daily closes, Yahoo Finance chart API: 2013-03-20 close 30.46, 2013-06-21 close 30.51 = +0.16% across spring 2013. Over the identical window SPHB went 24.12 to 24.56 = +1.82%. High beta OUTPERFORMED low volatility by roughly 1.7 percentage points across spring 2013.
Peak-to-trough comparison during the taper tantrum: from its own peak, low volatility fell HARDER than high beta. SPLV 32.53 on 2013-05-17 down to 30.14 on 2013-06-20 = -7.35%; SPHB 26.12 on 2013-05-20 down to 24.56 on 2013-06-21 = -5.97%. Contemporaneous reporting on the 2013-06-20 selloff confirms rate-sensitive defensives led the decline (telecom -3.74%, utilities -2.87% among the worst sectors), consistent with low-vol, not high-beta, bearing the brunt.
Cross-check of the SPLV window start value via a narrow-range fetch: 2013-03-19 close 30.23, 2013-03-20 close 30.46 (high 30.48, low 30.32), 2013-03-21 close 30.30 — confirming the 30.46 anchor used for the spring comparison.
Corrections
- statement medium: Lee 'said in a report' — a written JPMorgan research note quoted by a CNBC web article, the same source type as the 1580 and sub-1400 records (both medium 'other'), not a spoken TV appearance. 'tv' misrepresents the medium and is inconsistent with the sibling records from the identical note.
Effect on the score
-1.33- How sure they sounded
- 85%
- Outcome
- Miss
- Importance
- 3 / 5
This page shows the scored prediction as published; the site doesn't recompute or adjust the score.
Where this came from
The beta chase reverses into a beta 'beat-down' — high-beta…- Methodology version
- v1.0.0
- Last computed
- August 5, 2026
- Made on
- 2012-12-27
How this profile was built
Scored by independent judges
Predictions gathered and sourced
Independently verified against sources