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#2
4th March 2008, 03:37 PM
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Re: Beta calculation
Simplest way to calculate the BETA of a stock
get the weekly/monthly/annual data of the particular stock and the corresponding index. Then use the function in excel =slope(company,index) and bingo you get the beta 
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#3
4th March 2008, 04:49 PM
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Re: Beta calculation
Hello,
I am new to trading arena, but have done my homework by reading d theory. Could anyone explain me what is Beta and what it signifies (keeping away the mathematical details!) Thanks
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#4
4th March 2008, 06:23 PM
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Re: Beta calculation
Quote:
Let's have it this way. Suppose if a stock moves up by 30% when the market (/benchmark) moves up by 10%, would it be right if we say that the stock has outperformed the market because of it's implicit strength compared with the market, or is this out performance simply an outcome of higher volatility? Putting it in other words, suppose you have a portfolio which has outperformed the market by the same ratio. Can this out performance be attributed to your stock selection and fund allocation skills, or simply a question of having more volatile stocks than the index? If it is simply (and purely) a case of choosing stocks with higher volatility, then if the market moves down by 10%, it is highly probable that the portfolio will move down by ~ 30% too. Note that beta measures only the systematic risk of the stock. There might be company/stock specific factors (unsystematic risk) which affects returns too. Last edited by oxusmorouz : 4th March 2008 at 06:30 PM.
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#5
4th March 2008, 09:50 PM
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Re: Beta calculation
It is very advisable to analyze your portfolio in terms of beta values, that is how much the stocks in your portfolio are correlated to each other. On average, about 70% av a share's price is correlated to the market it belongs to.
Theoretically you should rebalance your portfolio so that the stocks who are most correlated to the rest of the portfolio should be exchanged to minimize risk. More info about betas (with no math): Portfolio analysis and beta values /V
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#6
5th March 2008, 01:45 PM
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Re: Beta calculation
Hi,
kbharadwaj Thanks for the simple method. but actually i need to calculate for all shares traded in NSE This will become tedious. I have market price from 2000 of all shares in database (also index) I needed some simple formula to calculate beta Alternatively if it is available in NSE Site or some site for all scripts it would be nice
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#7
5th March 2008, 02:16 PM
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Re: Beta calculation
Quote:
Click on these links for Beta values of NSE Nifty and Sensex stocks - NSE BSE ss
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#8
5th March 2008, 06:09 PM
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Re: Beta calculation
Quote:
this applies to trading with all time frames, i.e. from short term to people who hold a position for 1 yr. See GOOGLE as an example which astonishingly outperformed its benchmark index in the past but killed mercilessly many in the last 3 mnths. Last edited by trader111 : 5th March 2008 at 06:19 PM.
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