  LEVERED BETA
Definition

The Beta is a quantitative measure of the volatility of a given stock (or instrument) relative to the volatility of the market. A score greater than 1 means the stock is more volatile than the market, lower than one, less volatile. Most betas lie between 0.5 and 1.5.

Infinancials use a simple beta calculation comparing the stock to its local country index, as shown below

Betas values lying outside the range [-0.5; +2.5] will not be considered relevant and will be shown as N/A.

Country Indices

 Belgium BEL 20 Canada TSE 300 Denmark KFX 25 Finland HEX 20 France CAC 40 Germany DAX 30 Italy Cboe IT 40 Norway OBX Spain IBEX 35 Sweden OMX 30 Switzerland SMI 25 United Kingdom Cboe UK 100 USA DJIA

Periods

Values are taken weekly, using the first close price available each week for the stock in question.
Periods are defined as follows:
 Short Term last rolling 12 months Mid Term last rolling 24 months Long Term last rolling 60 months

Calculation Rules

The calculation divides the covariance of the stock return with the market return by the variance of the market return :
thus : Beta = cov(ri,rm) / var(rm)
where
 stock return ri = (stock price at time w / stock price at time (w-1))-1 market return rm = (index at time w / index at time (w-1))-1E(rm) = arithmetic mean of stock returnsE(ri) = arithmetic mean of market returns covariance(stock return, market return) cov(ri,rm) = sum[(ri-E(ri))*(rm-E(rm))]/count(ri-E(ri))*count(rm-E(rm)) variance (market return) var(rm) = sum[(rm-E(rm))^2]/count(rm-E(rm))^2

Reference

Unlevered Beta
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