BetaBeta , also known as the Beta coefficient, is a measure that compares the volatility of an individual underlying or portfolio to the volatility of the entire market, typically represented by a market index like the S&P 500 or an investible product such as the SPY ETF (SPDR S&P 500 ETF Trust). A Beta value provides insight into how an asset's returns are expected to respond to market swings.
Interpretation of Beta Values
Beta = 1: The asset's volatility is in line with the market. If the market rises or falls, the asset is expected to move correspondingly.
Beta > 1: The asset is more volatile than the market. If the market rises or falls, the asset's price is expected to rise or fall more significantly.
Beta < 1 but > 0: The asset is less volatile than the market. It still moves in the same direction as the market but with less magnitude.
Beta = 0: The asset's returns are not correlated with the market's returns.
Beta < 0: The asset moves in the opposite direction to the market.
Example
A beta of 1.20 relative to the S&P 500 Index or SPY implies that if the S&P's return increases by 1%, the portfolio is expected to increase by 12.0%.
A beta of -0.10 relative to the S&P 500 Index or SPY implies that if the S&P's return increases by 1%, the portfolio is expected to decrease by 0.1%. In practical terms, this implies that the portfolio is expected to be predominantly 'market neutral' .
Calculation & Default Values
The Beta of an asset is calculated by dividing the covariance of the asset's returns with the market's returns by the variance of the market's returns over a certain period (standard period: 1 years, 250 trading days). Hint: It's noteworthy to mention that Beta can also be derived through linear regression analysis, although this technique is not employed in this Beta Indicator.
Formula: Beta = Covariance(Asset Returns, Market Returns) / Variance(Market Returns)
Reference Market: Essentially any reference market index or product can be used. The default reference is the SPY (SPDR S&P 500 ETF Trust), primarily due to its investable nature and broad representation of the market. However, it's crucial to note that Beta can also be calculated by comparing specific underlyings, such as two different stocks or commodities, instead of comparing an asset to the broader market. This flexibility allows for a more tailored analysis of volatility and correlation, depending on the user's specific trading or investment focus.
Look-back Period: The standard look-back period is typically 1-5 years (250-1250 trading days), but this can be adjusted based on the user's preference and the specifics of the trading strategy. For robust estimations, use at least 250 trading days.
Option Delta: An optional feature in the Beta Indicator is the ability to select a specific Delta value if options are written on the underlying asset with Deltas less than 1, providing an estimation of the beta-weighted delta of the position. It involves multiplying the beta of the underlying asset by the delta of the option. This addition allows for a more precise assessment of the underlying asset's correspondence with the overall market in case you are an options trader. The default Delta value is set to 1, representing scenarios where no options on the underlying asset are being analyzed. This default setting aligns with analyzing the direct relationship between the asset itself and the market, without the layer of complexity introduced by options.
Calculation: Simple or Log Returns: In the calculation of Beta, users have the option to choose between using simple returns or log returns for both the asset and the market. The default setting is 'Simple Returns'.
Advantages of Using Beta
Risk Management: Beta provides a clear metric for understanding and managing the risk of a portfolio in relation to market movements.
Portfolio Diversification: By knowing the beta of various assets, investors can create a balanced portfolio that aligns with their risk tolerance and investment goals.
Performance Benchmarking: Beta allows investors to compare an asset's risk-adjusted performance against the market or other benchmarks.
Beta-Weighted Deltas for Options Traders
For options traders, understanding the beta-weighted delta is crucial. It involves multiplying the beta of the underlying asset by the delta of the option. This provides a more nuanced view of the option's risk relative to the overall market. However, it's important to note that the delta of an option is dynamic, changing with the asset's price, time to expiration, and other factors.
Portfolio-allocation
Dividend Calendar (Zeiierman)█ Overview
The Dividend Calendar is a financial tool designed for investors and analysts in the stock market. Its primary function is to provide a schedule of expected dividend payouts from various companies.
Dividends, which are portions of a company's earnings distributed to shareholders, represent a return on their investment. This calendar is particularly crucial for investors who prioritize dividend income, as it enables them to plan and manage their investment strategies with greater effectiveness. By offering a comprehensive overview of when dividends are due, the Dividend Calendar aids in informed decision-making, allowing investors to time their purchases and sales of stocks to optimize their dividend income. Additionally, it can be a valuable tool for forecasting cash flow and assessing the financial health and dividend-paying consistency of different companies.
█ How to Use
Dividend Yield Analysis:
By tracking dividend growth and payouts, traders can identify stocks with attractive dividend yields. This is particularly useful for income-focused investors who prioritize steady cash flow from their investments.
Income Planning:
For those relying on dividends as a source of income, the calendar helps in forecasting income.
Trend Identification:
Analyzing the growth rates of dividends helps in identifying long-term trends in a company's financial health. Consistently increasing dividends can be a sign of a company's strong financial position, while decreasing dividends might signal potential issues.
Portfolio Diversification:
The tool can assist in diversifying a portfolio by identifying a range of dividend-paying stocks across different sectors. This can help mitigate risk as different sectors may react differently to market conditions.
Timing Investments:
For those who follow a dividend capture strategy, this indicator can be invaluable. It can help in timing the buying and selling of stocks around their ex-dividend dates to maximize dividend income.
█ How it Works
This script is a comprehensive tool for tracking and analyzing stock dividend data. It calculates growth rates, monthly and yearly totals, and allows for custom date handling. Structured to be visually informative, it provides tables and alerts for the easy monitoring of dividend-paying stocks.
Data Retrieval and Estimation: It fetches dividend payout times and amounts for a list of stocks. The script also estimates future values based on historical data.
Growth Analysis: It calculates the average growth rate of dividend payments for each stock, providing insights into dividend consistency and growth over time.
Summation and Aggregation: The script sums up dividends on a monthly and yearly basis, allowing for a clear view of total payouts.
Customization and Alerts: Users can input custom months for dividend tracking. The script also generates alerts for upcoming or current dividend payouts.
Visualization: It produces various tables and visual representations, including full calendar views and income tables, to display the dividend data in an easily understandable format.
█ Settings
Overview:
Currency:
Description: This setting allows the user to specify the currency in which dividend values are displayed. By default, it's set to USD, but users can change it to their local currency.
Impact: Changing this value alters the currency denomination for all dividend values displayed by the script.
Ex-Date or Pay-Date:
Description: Users can select whether to show the Ex-dividend day or the Actual Payout day.
Impact: This changes the reference date for dividend data, affecting the timing of when dividends are shown as due or paid.
Estimate Forward:
Description: Enables traders to predict future dividends based on historical data.
Impact: When enabled, the script estimates future dividend payments, providing a forward-looking view of potential income.
Dividend Table Design:
Description: Choose between viewing the full dividend calendar, just the cumulative monthly dividend, or a summary view.
Impact: This alters the format and extent of the dividend data displayed, catering to different levels of detail a user might require.
Show Dividend Growth:
Description: Users can enable dividend growth tracking over a specified number of years.
Impact: When enabled, the script displays the growth rate of dividends over the selected number of years, providing insight into dividend trends.
Customize Stocks & User Inputs:
This setting allows users to customize the stocks they track, the number of shares they hold, the dividend payout amount, and the payout months.
Impact: Users can tailor the script to their specific portfolio, making the dividend data more relevant and personalized to their investments.
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Disclaimer
The information contained in my Scripts/Indicators/Ideas/Algos/Systems does not constitute financial advice or a solicitation to buy or sell any securities of any type. I will not accept liability for any loss or damage, including without limitation any loss of profit, which may arise directly or indirectly from the use of or reliance on such information.
All investments involve risk, and the past performance of a security, industry, sector, market, financial product, trading strategy, backtest, or individual's trading does not guarantee future results or returns. Investors are fully responsible for any investment decisions they make. Such decisions should be based solely on an evaluation of their financial circumstances, investment objectives, risk tolerance, and liquidity needs.
My Scripts/Indicators/Ideas/Algos/Systems are only for educational purposes!
Portfolio Tracker For Stocks & CryptoThis is a portfolio tracker that will track individual, overall and daily profit/loss for up to 12 assets. You can set the size of your buys and price of your buys for accurate, up to date profit and loss data right on your chart. It works on all markets and timeframes.
HOW TO USE
Go into the indicator settings and you will see all of the available settings. The first is the ability to turn the tracker info table on or off from the chart, so it saves your portfolio info but let’s you remove it from the chart while trading. Second is the option to move the position of the info table to suit your preference.
Next we get into setting up your portfolio tickers, order size and price. Each ticker lets you set which stock/crypto you bought, then set how much you purchased and then what price you purchased them at.
Go through and set up all of your assets and then turn off any tickers that you don’t need. Once that is all done, your portfolio will be shown on the chart with all the data.
FEATURES
Top Section
The portfolio tracker has 2 sections. The top section shows each ticker in your portfolio individually with the following data:
- Ticker Name
- Weight of that asset compared to your total portfolio in %
- Current value of that position in $
- Profit or loss value from purchase price in %
- Todays change in value from yesterday’s close in %
The $ Value, PnL % and Today % will all change colors from green to red depending if they are in profit or not.
Bottom Section
The bottom section of the tracker will give you info for your portfolio as a whole. It has the following data:
- Total cost of your entire portfolio in $
- Current value of your entire portfolio in $
- Current profit or loss of your entire portfolio in $
- Current profit or loss of your entire portfolio in %
- Todays change of your entire portfolio value compared to yesterday’s close in %
The $ Value, PnL $, PnL % and Today % will all change colors from green to red depending if they are in profit or not.
Portfolio PerformanceThis indicators will help you to compute portfolio performance and display results with a stats table and a nice monthly chart.
In this script you can do following:
Compose portfolio with up to 15 instruments
Change Initial capital / date range / rebalancing period
Compare portfolio performance with a benchmark
Compute basic stats
Compute instruments contribution
Display monthly performance of portfolio and benchmark
Change style for almost everything you see on your chart
Hope it will be useful for you!
Thanks to @MUQWISHI for helping me coding it.
Disclaimer
Please remember that past performance may not be indicative of future results.
Due to various factors, including changing market conditions, the strategy may no longer perform as well as in historical backtesting.
This post and the script don’t provide any financial advice.
