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Financial Databases and Research - Datastream & BETA
Financial Databases and Research

Datastream & BETA

Posted in Datastream

 

One of the items that is often searched for in Datastream is the BETA. The BETA is defined as the measure of an asset's risk in relation to the market (for example, the S&P500) or to an alternative benchmark or factors. Roughly speaking, a security with a beta of 1.5, will have move, on average, 1.5 times the market return.

The item is for instance used in several calculations like the Capital Asset Pricing Model (CAPM). In Datastream only the last calculated BETA can be downloaded. Previously calculated BETA's are not available. Also, contrary to what you might expect the item can not be downloaded from Datastream using a Time Series Request but has to be downloaded using a Static Request.

 

To download a historical BETA from Datastream you can use the Calculation:

REGB#(LN#(X/LAG#(X,1M)),LN#(Y/LAG#(Y,1M)),60M)

 

In the formula above the BETA factor is calculated over a 5-year period using monthly observations. The logarithmic monthly changes are used, with X used for the index and Y for the equity (also set up as global expression 851E). This expression produces a “rolling” BETA ie each data point shows the BETA for the period up to that reading date.

 

Example:

REGB#(LN#(NLALSHR/LAG#(NLALSHR,1M)),LN#(H:AH/LAG#(H:AH,1M)),60M)     

 

Where:

X = market index NLALSHR
Y = equity H:AH

 

If you use this this equation and change the download frequency (using a Time Series Request) you get the first value of each quarter when you change the frequency to Quarterly, or the first value of the first quarter for each year when you change the frequency to Yearly.

 

 

Different frequencies can be used in the formula itself as well eg weekly over 3 years – in this case replace 1M by 1W and 60M by 156W. It is also possible to use a market index that you personally have created using the Datastream User Created Indices option.

 

Author information: LinkedIn

 

05:26 PM - 20 June 2009


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