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.
Series Parameter
By default, technical functions access the time series of the instrument in context. Normally, that is the Stock or ETF currently being evaluated or ranked. In specialized Ranking Nodes, the context depends on the node type. For example, in an "Industry Node" (used to rank Industries against each other), the industry benchmarks are the default context.
You can specify a different time-series in several ways like: using GetSeries(), specifying a StockID directly, or using a time series id. See the examples below.
Examples
Get the latest close price using Close(0, series) using different methods for different time series.
| Using the ID directly | |
| Using the StockID for SPY:USA* | Close(0, 24262) |
| For the Industry series of the stock being evaluated | Close(0,#Industry) |
| Using a Time Series Id | Close(0,$RUI) |
| For the benchmark | Close(0, #Bench) |
| Using GetSeries | |
| Using a fully qualified ticker | Close(0, GetSeries("SPY:USA")) |
| When USA is your default | Close(0, GetSeries("SPY")) |
| See GetSeries() for more examples like for aggregate series | |
| * StockIDs never change | |
Predefined Series IDs
These are special series ids. Additional Series Ids can be found in the reference under: MISC→TIME SERIES IDs
| Id | Description | Freq | OHLC |
| Industry and Sector | |||
| #Sector | Stock's Sector | Daily | C |
| #SubSector | Stock's SubSector | Daily | C |
| #Industry | Stock's Industry | Daily | C |
| #SubIndustry | Stock's SubIndustry | Daily | C |
| Miscellaneous | |||
| #Bench | Benchmark closing prices | Daily | C |
| #TNX | 10Y Treasury Note | Daily | OHLC |
| FED Model series (chart) | |||
| #SPRP | SP500 Risk Premium | Weekly | C |
| #SPEPSCY | SP500 EPS CurrentY | Weekly | C |
| #SPEPSNY | SP500 EPS NextY | Weekly | C |
| #SPEPSCNY | SP500 EPS Blend Y | Weekly | C |
| #SPEPSQ | SP500 EPS Blend Q | Weekly | C |
| #SPEPSTTM | SP500 EPS Trailing 12 months | Weekly | C |
| #SPYield | SP500 Yield | Weekly | C |
Special Series Ids for Moving Averages & Highest/Lowest functions
| Id | Description | Context |
| #Open | Open prices | Stock & ETF |
| #High | High prices | Stock & ETF |
| #Low | Low prices | Stock & ETF |
| #Vol | Volumes | Stock & ETF |