A measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole. Beta is calculated using regression analysis, and you can think of beta as the tendency of a security's returns to respond to swings in the market. A beta of 1 indicates that the security's price will move with the market. A beta of less than 1 means that the security will be less volatile than the market. A beta of greater than 1 indicates that the security's price will be more volatile than the market. For example, if a stock's beta is 1.2, it's theoretically 20% more volatile than the market.
For USA we use S&P500 as the 'market' (SPY:USA)
For Canada S&P/TSX Capped Composite Index (XIC:CAN)
For European MSCI Europe Index (IMEU:NLD)
BetaFunc(period, samples[, min_samples=0, offset=0])
period: number of bars used for calculating returns
samples: number of samples
min_samples: min # of samples (0 means all samples are required)
offset: offset in bars. Ex. use 10 for Beta 10 bars ago
series: the series to use. Default is the country's benchmark. Use GetSeries() to override.
Beta1Y
Uses weekly returns and is equivalent to BetaFunc(5, 52, 0), where 5 bars represents weekly returns, 52 is the number of weeks, and 0 for min_samples means all 52 samples are required.
Beta3Y
Uses weekly returns and is equivalent to BetaFunc(5, 156, 70), where 5 bars represents weekly returns, 156 is approximately 3 years of weekly returns, and 70 is the minimum number of weekly samples required (about 1.4 years).
Beta5Y
Uses weekly returns and is equivalent to BetaFunc(5, 261, 100), where 5 bars represents weekly returns, 261 is approximately 5 years of weekly returns, and 100 is the minimum number of weekly samples required (about 2 years).
NOTE: To match up the holidays we use weekdays rather than bars.