Beta
en.wikipedia.org/wiki/Beta_(finance)
Beta is a measure of the risk arising from exposure to general market movements as opposed to idiosyncratic factors.
The market portfolio of all investable assets has a beta of exactly 1 (here the S&P500). A beta below 1 can indicate either an investment with lower volatility than the market, or a volatile investment whose price movements are not highly correlated with the market
Beta is a measure of the risk arising from exposure to general market movements as opposed to idiosyncratic factors.
The market portfolio of all investable assets has a beta of exactly 1 (here the S&P500). A beta below 1 can indicate either an investment with lower volatility than the market, or a volatile investment whose price movements are not highly correlated with the market
study(title="Beta", shorttitle="Beta") //by Niklaus //SHOULD BE USED TOGETHER WITH "Alpha" INDICATOR //beta (β or beta coefficient) of an investment indicates whether the investment is more or less volatile than the market. //In general, a beta less than 1 indicates that the investment is less volatile than the market, //while a beta more than 1 indicates that the investment is more volatile than the market. Volatility is measured as the fluctuation of the price around the mean. //Beta is a measure of the risk arising from exposure to general market movements as opposed to idiosyncratic factors. //The market portfolio of all investable assets has a beta of exactly 1 (here the S&P500). A beta below 1 can indicate either an investment with lower volatility than the market, //or a volatile investment whose price movements are not highly correlated with the market. //An example of the first is a treasury bill: the price does not go up or down a lot, so it has a low beta. //An example of the second is gold. The price of gold does go up and down a lot, but not in the same direction or at the same time as the market //https://en.wikipedia.org/wiki/Beta_(finance) sym = "SPX500", res=period, src = close, length = input(title = "Beta Window", defval=300, minval=1) ovr = security(sym, res, src) ret = ((close - close[1])/close) retb = ((ovr - ovr[1])/ovr) secd = stdev(ret, length), mktd = stdev(retb, length) Beta = correlation(ret, retb, length) * secd / mktd plot(Beta, color=blue, style=area, transp=40)