Beta factor analysis
Module "Portfolio Service Extended Portfolio Analysis"
You can find the beta factor analysis in the workspace of holders, portfolios or groups on the worksheet "Risk", "Beta factor analysis".
The beta factor analysis is a kind of counterpart to the duration analysis for the security type "shares". In the capital asset pricing model, the beta factor is the measure of the systematic risk assumed with a capital investment. For details, please refer to the relevant literature, e.g. Steiner, Manfred, Bruns, Christoph and Stöckl Stefan: Securities management; 10th edition.
The key variables in this evaluation are the beta factor for the individual positions and the portfolio beta as the average value of the individual betas of the shares in the portfolio weighted by the share price.
Only shares to which a benchmark has been assigned in the master data can be included in the analysis. You can assign a (common) benchmark to all shares for the duration of the evaluation via the parameters.
The details of the most important columns and rows of the beta factor analysis can be found in the following table:
Column | Description |
|---|---|
Beta factor [x days] | The beta indicates whether a security has performed better or worse than another - usually an index. A beta factor of 1 means that both securities have developed in the same way. A beta factor higher than 1 indicates that the security has outperformed the index, while a lower beta factor indicates that the share's performance was below average. The number of (working) days that you specify using the "Beta period" parameter is shown in brackets. To determine the beta, the volatility of the share is divided by the volatility of the benchmark and multiplied by the correlation between the two securities. |
Beta area | You define the limits of the intervals in this column using the Beta range 1 to 4 parameters. |
Benchmark | The comparison value assigned to the security via the master data. You can use the "Benchmark" parameter to define a benchmark for all securities (only for the evaluation). |