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TECHNICAL / VOLATILITY
Beta3Y
Full Description


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.
 

For an excel sheet sample calculations see the document "Glossary of Risk Statistics" in the Reference section of the Knowlede Base