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Knowledge guide to beta values

Beta values (often described as 'Beta coefficients' or 'Beta relatives') are used by some investors to measure the movement of a share and to help assess the risk involved when putting together an investment portfolio.

What's on this page?

  • Calculating and interpreting Beta values
  • Publications with Beta values
  • Databases with Beta values
  • Further sources

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Calculating and interpreting Beta values

The value of beta is calculated using historic share price and market index data - providing an indication of the past sensitivity of a share to market falls and rises.

The book 'How to use Company Refs' by Jim Slater (Hemmington Scott, 1994) provides a simple explanation for the interpretation of a given value: 'The market's Beta coefficient is one; shares with a Beta larger than one are more volatile than the market and shares with Beta of under one are less risky.'

Our collection includes a number of articles and books on stock market investment which explain the use of beta values in greater depth. One example is 'An introduction to stock exchange investment' by Janette Rutterford (Palgrave, 2007) which includes a section explaining how the beta values from the Risk Measurement Service can be used to analyse portfolio performance.

Sources for Beta values

Publications

Beta values are published in a number of company directories across the world using a variety of different formulas, values and reference share indices. It is inadvisable to make comparisons between sources without first establishing the degree of difference in the way these values have been compiled.

Two sources of beta values held by the ICAEW Library & Information Service (in printed form only) are Company REFs and the Risk Measurement Service.

The enquiry service will provide this information for qualified users of the service only (non qualified users can visit the Library to consult our sources themselves on payment of our daily access fee - see Who can use the Library? for further details). The enquiry team can be contacted by telephone on +44(0)20 7920 8620 or by email at library@icaew.com.

Company REFs

The ICAEW Library & Information Service holds the latest print editions of the quarterly reference publication Company REFs from Hemscott which includes Beta Relative figures for fully listed companies (FTSE100, 250, 350, SmallCap, All-Share, Fledgling and All-Small) and AIM listed companies.

Risk Measurement Service (LBS)

The London Business School maintain their own database of beta values and publish the quarterly publication 'Risk Measurement Service' which provides beta values, various risk measures and other key data for '3,000 UK shares, including every UK stock with a full listing on the London Stock Exchange and all AIM listed stocks'. The listings of companies are arranged alphabetically and by sector, with highlight tables which include 'Highest and lowest beta'.

The ICAEW Library & Information Service holds copies of the quarterly printed edition of Risk Measurement Service from the issue for the January-March 2008 quarter onwards.

To find out more about this product and further information on subscriptions to the electronic service please see the Risk Measurement Service (RMS) section of the London Business School website.

Databases

Financial Analysis Made Easy (FAME)

The Financial Analysis Made Easy (FAME) database from Bureau van Dijk (BVD) includes beta values for most, but not all, publicly listed companies. The database provides the option to view beta values for an individual company or for a range of companies.

The formula used by BVD to calculate the the beta value is explained in the FAME user guide (see Security and price information: Beta).

Members and students can access the FAME database in person through the public access computers in the Library & Information Centre using the steps outlined here:

To view the data on beta values for an individual company using FAME

1. Select the company using the Search options in FAME.
2. Use the Company report option to load the standard report.
3. Use the Stock data: security and price information and Weekly pricing series options to view the data available.

To view the data on beta values for a range of companies using FAME

1. Select a range of companies using the Search options in FAME.
2. Use the List option to view the list of companies.
3. Use the format options for beta values (listed under Stock data) to display the beta values, correlation coefficients and reference index that you require.

The enquiry team at the ICAEW Library & Information Service can also search the FAME database on behalf of members and students. To find out more about this service please contact the enquiry team at library@icaew.com

Further sources

The FT website includes beta values for UK and international equities listed on its Companies research page. A separate Global equity screener search tool allows users to identify companies based on a range of criteria, including beta value.

The Library at the London Business School produces a guide to obtaining betas which lists a range of further subscription services which provide data on beta values. This guide also includes a useful table which compares the formulas, values and indices used by each source.

Every effort has been made to ensure that the information given in this Knowledge Guide is correct. However, the content of sites changes frequently and members should satisfy themselves that the information they contain is suitable for the purposes they wish to use it for. We would be grateful to receive notification of any links that do not work at the library email address above.