Beta
How much an investment has tended to move for each 1% move in the market.
Formula
Beta = Covariance(Asset, Market) ÷ Variance(Market)
Inputs
- Asset. The investment's daily returns.
- Market. The benchmark's daily returns over the same days.
How to read it
1 moves with the market; 1.5 has moved half as much again; 0.5 half as much; below 0 against it. It describes the past relationship, and it drifts.
How to use it
Estimates how a holding or a portfolio will react to a broad market move; the stress scenarios scale the market's falls by it.
Limitations
Drifts over time and describes a linear relationship only; a low R² means beta explains little.
In Kereon
Portfolio. Daily returns of today's weights against the benchmark chosen on the page, over the days both have.
Investing · price record. Beta (1y): the last 252 sessions of daily returns against the benchmark's; needs at least 60.
Charts · Compare. A least-squares fit of each series' daily returns on the benchmark series chosen beside the table.
Charts · Correlation. On Pairwise: the least-squares slope of the second instrument's returns on the first's over the lookback, with its standard error. Swap the two and the slope is a different number.
Investing · company. The data vendor's published beta, shown as is.
Charts · Superchart. A rolling beta over the last 60 bars the chart and the benchmark (SPY unless chosen) share — a missing day is never filled with a zero return. Lines at 0 and 1.
Also called: beta, portfolio beta, beta (1y).