Beta

The Beta indicator, sometimes called "Beta Coefficient", allows measuring the risk taken with a security. It characterizes the correlation of a security relative to the market as a whole.

• By principle, the market has a Beta = 100%
• The Beta of a security relative to this market ranges from -100% to +100%.
• The closer the Beta is to 100%, the stronger the correlation between the security and the market.
• A negative Beta means that the security moves in opposition to the market.

Calculation Method

Beta = Covariance(security, market) / Variance(market)

Variance and Covariance are calculated over a configurable period P.
The "market" is represented by an index, e.g., CAC 40, etc.

Example