Beta is a number that is readily available through most stock information services. On the Seeking Alpha website, it appears on the main stock page in the Risk section as shown below. Seeking Alpha Advantages & Disadvantages of Measuring ‘Beta’
Full Answer
How do I find the beta of a stock?
The main two ways that you can find a beta is by using a financial data site such as yahoo finance or a software such as Bloomberg. The other method would be to perform a regression analysis against the market. Our users explain below. Bloomberg: calculates betas for you, probably the most reliable calculation.
What types of stocks do we provide beta estimates for?
We provide stock beta estimates for nearly 100 US large-cap stocks . Custom reports for other stocks, e.g. ETFs or all S&P 500 stocks, are available.
What is a high beta for a stock?
A beta can also be much higher than 1. There are some stocks that have a beta of 2 or more. One of the most important things to keep in mind is that beta is not an indication of price performance, but rather of potential volatility. A positive beta does not mean that a stock is going up in price.
Can I request a custom BETA report for my stock?
Custom reports for other stocks, e.g. ETFs or all S&P 500 stocks, are available. Contact us with your request. The first beta is a long-term estimate.The second and more novel beta estimate is a time-varying beta which reflects recent market conditions and stock price behavior. We update the report below at the end of each week.
Where can I find beta for a stock?
Published BetasOneSource. Search by Company Name or Ticker > Select "Ratio Comaprisons" > Valuation Ratios.Standard & Poor's NetAdvantage. Search by Company Name or Ticker > Select "Valuation" > Key Stock Statistics.Thomson One Banker. Search by Ticker > Key Fundamentals.Value Line Research Center. ... Yahoo!
What is beta on a stock report?
Beta indicates how volatile a stock's price is in comparison to the overall stock market. A beta greater than 1 indicates a stock's price swings more wildly (i.e., more volatile) than the overall market. A beta of less than 1 indicates that a stock's price is less volatile than the overall market.
How do you find the beta of a portfolio?
Portfolio Beta formulaAdd up the value (number of shares x share price) of each stock you own and your entire portfolio.Based on these values, determine how much you have of each stock as a percentage of the overall portfolio.Take the percentage figures and multiply them with each stock's beta value.More items...•
What is the beta number in stocks?
Beta is a way of measuring a stock's volatility compared with the overall market's volatility. The market as a whole has a beta of 1. Stocks with a value greater than 1 are more volatile than the market (meaning they will generally go up more than the market goes up, and go down more than the market goes down).
How do you find the beta and alpha of a stock?
Alpha = R – Rf – beta (Rm-Rf) R represents the portfolio return. Rf represents the risk-free rate of return. Beta represents the systematic risk of a portfolio. Rm represents the market return, per a benchmark.
How do you find the beta of a portfolio in Excel?
0:564:00Calculate The Beta Of A Portfolio In Excel - The Excel Hub - YouTubeYouTubeStart of suggested clipEnd of suggested clipAnd variance we can find the beta of the portfolio. We can calculate the variance of the markets byMoreAnd variance we can find the beta of the portfolio. We can calculate the variance of the markets by using the var dot s function which returns the variance of the sample. So we type equals var dot s.
What is the beta of the market portfolio?
The beta of a portfolio is the weighted sum of the individual asset betas, According to the proportions of the investments in the portfolio. E.g., if 50% of the money is in stock A with a beta of 2.00, and 50% of the money is in stock B with a beta of 1.00,the portfolio beta is 1.50.
What is the beta of a portfolio which consists of the following?
The beta of a portfolio is a weighted average of the betas of the assets in the portfolio. Since the risk-free asset has a beta of zero, increasing the weight of stock A and decreasing the potion in the risk-free asset will increase the beta of the portfolio. A portfolio is comprised of two stocks.
How do you find the weighted beta of a portfolio?
Calculating weighted beta is fairly simple. Begin by dividing each stock's market value by the market value of the whole portfolio. This tells you what percentage of the portfolio is devoted to each stock. Multiply this percentage by the stock's beta to find a weighted beta.
Which stock has the highest beta?
Here's a look at the eight S&P 500 stocks with the highest betas, according to Finviz.Advanced Micro Devices, Inc. ... United Rentals, Inc. ... Freeport-McMoRan Inc (NYSE: FCX), 2.51 beta.Devon Energy Corp (NYSE: DVN), 2.38 beta.Marathon Oil Corporation (NYSE: MRO), 2.31 beta.SVB Financial Group (NASDAQ: SIVB), 2.19 beta.More items...
Which stocks have the highest betas?
High Beta Dividend StocksInternational Flavors & Fragrances Inc. (NYSE:IFF)Sysco Corporation (NYSE:SYY)Baker Hughes Company (NASDAQ:BKR)Best Buy Co., Inc. (NYSE:BBY)Boston Properties, Inc. (NYSE:BXP)
What stocks are considered high beta?
High beta stocks are those that are positively correlated with returns of the S&P 500, but at an amplified magnitude. Because of this amplification, these stocks tend to outperform in bull markets, but can greatly underperform in bear markets.
Does a higher beta mean more risk?
Yes. A higher beta indicates higher volatility and hence a higher risk relative to the market.
Does a higher beta mean more reward?
It means a higher potential reward for a given move in the market, yes.
Does Beta only capture downside price volatility?
No. Beta captures relative volatility, which considers both directions.
What is asset beta?
Unlevered Beta / Asset Beta Unlevered Beta (Asset Beta) is the volatility of returns for a business, without considering its financial leverage. It only takes into account its assets. , on the other hand, only shows the risk of an unlevered company relative to the market.
Why is equity beta called equity beta?
It is also commonly referred to as “equity beta” because it is the volatility of an equity based on its capital structure. Capital Structure Capital structure refers to the amount of debt and/or equity employed by a firm to fund its operations and finance its assets. A firm's capital structure.
What is leveraged beta?
Levered beta, also known as equity beta or stock beta, is the volatility of returns for a stock, taking into account the impact of the company’s leverage from its capital structure. It compares the volatility (risk) of a levered company to the risk of the market. Levered beta includes both business risk. Systemic Risk Systemic risk can be defined ...
How to calculate the weekly return of a stock?
Follow these steps to calculate β in Excel: 1 Obtain the weekly prices of the stock 2 Obtain the weekly prices of the market index (i.e. S&P 500 Index) 3 Calculate the weekly returns of the stock 4 Calculate the weekly returns of the market index 5 Use the Slope function and select the weekly returns of the market and the stock, each as their own series 6 Congrats! The output from the Slope function is the β
Is a company with a 0f 0.79 more volatile than the market?
Also, a company with a β of 1.30 is theoretically 30% more volatile than the market. Similarly, a company with a β 0f 0.79 is theoretically 21% less volatile than the market.
How much of the market returns are high beta names?
Indeed, evidence suggests that during good years for the market, high Beta names capture 138% of the market’s total returns. In other words, if the market returned 10% in a year, high Beta names would, on average, produce 13.8% returns. However, during down years, high Beta names capture 243% of the market’s returns.
How to calculate beta?
Here’s an example of the data you’ll need to calculate Beta: 1 Risk-free rate (typically Treasuries at least two years out) 2 Your asset’s rate of return over some period (typically one year to five years) 3 Your benchmark’s rate of return over the same period as the asset
What is the volatility of a security or portfolio against a benchmark called?
The volatility of a security or portfolio against a benchmark – is called Beta . In short, Beta is measured via a formula that calculates the price risk of a security or portfolio against a benchmark, which is typically the broader market as measured by the S&P 500 Index. When stock markets are rising, high-beta stocks could outperform.
What does a beta of 2.0 mean?
A beta of 2.0 means the stock moves twice as much as the S&P 500. A beta of 0.0 means the stocks moves don’t correlate with the S&P 500. A beta of -1.0 means the stock moves precisely opposite the S&P 500. The higher the Beta value, the more volatility the stock or portfolio should exhibit against the benchmark.
What is Booking Holdings?
Booking Holdings is an online travel services giant. It is a large-cap stock with a market capitalization of $100 billion, and provides services to consumers and local partners in more than 220 countries and territories. The company operates six major brands: Booking.com, Priceline, agoda, Rentalcars.com, KAYAK, and OpenTable.
Do high beta names outperform benchmarks?
In other words, while high Beta names may outperform while the market is strong, as signs of weakness begin to show, high Beta names are the first to be sold and generally, much more strongly than the benchmark.
Does beta work in bull markets?
Importantly, Beta simply measures the size of the moves a security makes. Intuitively, it would make sense that high Beta stocks would outperform during bull markets.
What is beta in stock?
Stock beta is a metric that can help you gauge a stock’s relationship to the overall market. But beta has its limits and should be considered alongside other performance data before an investment decision is made.
Why is beta important?
Stock beta can be an important metric in helping you determine a stock’s volatility and risk. But there are other factors to consider before you add a stock to your portfolio, like analyst ratings, time in business, free cash flow and more.
What is high beta stock?
High Beta Stocks. Beta is the result of a calculation that measures the relative volatility of a stock in correlation to a particular standard . For U.S. stocks that standard is usually, but not always, the S&P 500. Beta is a form of regression analysis and it can be useful for investors regardless of their risk tolerance.
Why is beta important in stock?
But even then, a stock’s beta can provide a forecast of how volatile it will be in the future—and in turn, build a capital asset pricing model to determine potential reward. Because of its utility as an assessment of volatility, beta is a metric used in both fundamental analysis and technical analysis.
What does a negative beta mean?
Beta of less than 0 (i.e. a negative beta): This means a stock is inversely correlated to the market. The tendency of the stock is to move in the opposite direction as the market. The higher the negative number, the more volatile the stock. As you can see, beta is all about its relationship to the number 1.
What is a personally calculated beta?
A personally calculated beta, on the other hand, is one that investors will calculate for themselves. To calculate beta, investors will have to know the covariance between the return of the stock being analyzed and the return of the benchmark for that stock as well as the variance of the market returns.
What is smart beta?
A smart beta strategy can be used to minimize the risk impact of high beta stocks. This type of strategy might combine something passive and more stable, like a dividend investing strategy, with active trading in order to minimize losses from the most volatile stocks in the fund.
What is beta in fundamental analysis?
Beta is considered one of the few data points that can be beneficial for practitioners of fundamental analysis and technical analysis . Investors who tend to analyze stocks using fundamental analysis will use beta along with the price-to-earnings ratio, shareholders equity, debt-to-equity ratio, and other factors.
What is beta analysis?
Beta is a form of regression analysis and it can be useful for investors regardless of their risk tolerance. Beta is considered one of the few data points that can be beneficial for practitioners of fundamental analysis and technical analysis. This page lists stocks that have unusually high beta calculations.
What is beta, and how does it work?
Beta is a way of measuring a stock’s volatility compared with the overall market’s volatility. The market as a whole has a beta of 1. Stocks with a value greater than 1 are more volatile than the market (meaning they will generally go up more than the market goes up, and go down more than the market goes down).
Pros and cons of using beta
History can hold important lessons: Beta uses a sizable chunk of data. Reflecting at least 36 months of measurements, beta gives you an idea of how the stock has moved vs the market over the last 3 years.
Examples of Beta
Calculation
- Below is an Excel β calculator that you can download and use to calculate β on your own. β can easily be calculated in Excel using the Slope function. Follow these steps to calculate β in Excel: 1. Obtain the weekly prices of the stock 2. Obtain the weekly prices of the market index (i.e., S&P 500 Index) 3. Calculate the weekly returns of the stock 4. Calculate the weekly returns of the market i…
What Are Equity Beta and Asset Beta?
- Levered beta, also known as equity beta or stock beta, is the volatility of returns for a stock, taking into account the impact of the company’s leverage from its capital structure. It compares the volatility (risk) of a levered company to the risk of the market. Levered beta includes both business risk and the risk that comes from taking on debt. ...
Levered Beta vs Unlevered Beta
- Levered beta (equity beta) is a measurement that compares the volatility of returns of a company’s stock against those of the broader market. In other words, it is a measure of risk, and it includes the impact of a company’s capital structure and leverage. Equity beta allows investors to assess how sensitive a security might be to macro-market risks. For example, a company with a …
Calculation of Levered Beta
- There are two ways to estimate the levered beta of a stock. The first, and simplest, way is to use the company’s historical β or just select the company’s beta from Bloomberg. The second, and more popular, way is to make a new estimate for β using public company comparables. To use the comparables approach, the β of comparable companies is taken from Bloomberg and the un…
Interpreting Beta
- A security’s β should only be used when its high R-squared value is higher than the benchmark. The R-squared value measures the percentage of variation in the share price of a security that can be explained by movements in the benchmark index. For example, a gold ETF will show a low β and R-squared in relation to a benchmark equity index, as gold is negatively correlated with equit…
Related Readings
- Thank you for reading CFI’s guide to beta (β) of an investment security. To continue learning and advancing your career these additional resources will be helpful: 1. Types of Valuation Multiples 2. Analysis of Financial Statements 3. Leverage Ratios 4. Valuation Methods