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Beta

A measure of the volatility of a stock relative to the overall market. A beta of less than one indicates lower risk than the market, a beta of more than one indicates higher risk than the market.

Measures the sensitivity of a company to movements in its local market. A Company with a beta of 1 tends to move in line with the local market index, while one with a beta of 1.5 would tend to change by 1.5% for each 1% move in the local index.

We have calculated beta using historic data for 750 trading days prior to the end of last quarter. (this is the equivalent of 3 calendar years where possible) or fewer observations (with a minimum of 50 days) ending at day t. Only days on which traded volume are recorded for a stock (trading days) are included in the regression. Days without any traded volume (non-trading days) are excluded in order to minimise the impact of thin trading on beta.

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Glossary Definition