Overview
Valutico's Beta calculations are methodologically comparable to CapitalIQ's Beta calculation approach. Our default method involves a regression of stock and index returns to determine the raw equity beta. This calculation uses 5 years of monthly returns and is performed in real time as of the valuation date to ensure up-to-date results.
Methodology
Raw Beta Calculation: Regression of stock and index returns using 5 years of monthly data (no adjustments applied to raw Betas).
Real-Time Processing: Beta calculations are always current as of the valuation date.
Default Index Benchmarks
Valutico follows CapitalIQ’s approach for index selection. The default benchmarks used are:
S&P 500 – for U.S. stocks
S&P/TSX Composite – for Canadian stocks
MSCI EAFE – for Developed Markets
MSCI Emerging Markets – for all other international stocks
Customisation Options
To allow flexibility and improve accuracy based on selected peers, users can customise Beta calculations by choosing a specific index for each peer. The following indexes are available for selection:
S&P Indexes
S&P
S&P 500
S&P/TSX Composite
S&P Latin America 40
S&P ASX 200
S&P Europe 350
S&P Asia 50
FTSE Indexes
FTSE 100
FTSE Latin America
MSCI Indexes
MSCI Asia Pacific
MSCI Brazil
MSCI EAFE
MSCI Emerging Markets
MSCI South Africa
Adjusting Time Horizons and Intervals
Users can modify the Time Horizon and Interval for Beta calculations. These settings are accessible at the Beta section in the Peer Selection screen.
To learn more about the settings for Beta features, click here for detailed information.
Available Time Horizons:
1 year
3 years
5 years
Available Intervals:
Daily
Weekly
Monthly
Note: The combination of 5-year Daily data is not available due to excessive data points, which may cause errors or slow platform performance.
Unlevered Beta Calculation
For unlevering Beta, Valutico applies the Modigliani-Miller formula to derive unlevered asset Betas.
To learn more about Unlevered Beta, click here for additional details.