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How is the Beta calculated?

Calculate Beta, calculation, formula, date and period, monthly, yearly, weekly observations, 2 to 5 years, index, indices, Blume

Updated over a week ago

Valutico is running its Beta calculations which are methodologically comparable to CapitalIQ's Beta calculation approach.
Our default approach is a regression of stock and the index returns to arrive at the raw equity beta, using 5 years of monthly returns. We are not applying any adjustments to these raw Betas. This calculation is performed in real-time as of the valuation date and is always up-to-date.
With regards to indices used, we are following CapitalIQ's approach: The benchmarks are the S&P 500 for all U.S. stocks, S&P/TSX Composite for the Canadian stocks, MSCI EAFE (Developed Markets), and MSCI Emerging Markets for all other international stocks. In that sense, for all stocks except for US and Canadian ones, it's neither a local nor a global Beta, but rather a combination that best reflects most investors' perspective.
When it comes to unlevering, we are using the textbook Modigliani/ Miller formula to arrive at unlevered asset betas.

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