An interesting but simple paper, “Your Beta Is Wrong Regime-Dependent Alpha & Beta for Major Asset Classes”, explores the issue of regime-dependent beta. Your beta is not stationary, so alpha will not be stable but will move with the regime. This does not mean that you should calculate beta on a rolling basis; assume that beta is regime-dependent, and when the regime changes, so does the beta. Below are two examples of significant changes in beta. One shows silver, and the other is for Alphabet, one of the classic Mag 7 stocks.
Do not assume there is one beta for any asset. This may seem obvious, but when seen in a distribution, the numbers are stark.
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