Finding beta values for companies and sectors

The ICAEW Library has compiled this guide to help everyone to find the beta values they need.

The Library enquiry service can also provide beta values to ICAEW members, ACA students and other entitled users.

Non-members can consult our resources in person on payment of our daily access fee – see who can use the Library for further details.

Put simply, a beta value measures a stock's risk of volatility relative to the market as a whole. In one of his books, Jim Slater, the Chartered Accountant who founded Company REFS (Really Essential Financial Statistics), provided the following advice for interpreting a value: "The market's Beta coefficient is 1; shares with a Beta larger than 1 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 beta values in greater depth. An Introduction to Stock Exchange Investment by Janette Rutterford includes a section explaining how the beta values from the Risk Measurement Service can be used to analyse portfolio performance.

Beta values are calculated using historical share price and market index data, which indicate the past sensitivity of a share to market falls and rises. That said, the precise methodology and reference data used in these calculations varies from source-to-source. It is therefore important to consider what type of beta is best suited to your needs.

Beta values are published in a number of sources. The formulas, values and reference share indices used by one source may be different from those used by another.

The beta values provided in our most popular resource, the Risk Measurement Service, are equity betas (also known as levered or geared betas). Equity betas reflect the total systematic risk of a given company — consisting of both business risk (ie, risk which is inherent in its business operations, and how these interact with the external economic environment) and financial risk (ie, risk that arises from taking on debt).

By contrast, a company’s asset beta (also known as unlevered or ungeared beta) represents only its business risk.

It is possible to use equations to calculate an unlevered beta from a levered beta, or to adjust an existing beta to reflect the impact of taking on additional debt. There are several methods of calculation, which differ somewhat in their specifics. Potential methods are discussed in a number of books in our collection, including An Introduction to Stock Exchange Investment by Janette Rutterford (3rd ed., pp.242-246) and Corporate Finance: Principles and Practice by Denzil Watson and Antony Head (8th ed., pp.282-283). The latter title is available to ICAEW members, students and other entitled users online, through our collection of eBooks.

It is also worth noting that the time period covered can vary between sources — the Risk Measurement Service, for example, uses monthly returns for the past 60 months, whilst other sources use between 24 and 36 months.

Before making comparisons between beta values, you should first establish the degree of difference in the way these values have been calculated and compiled.

The London Business School publish the quarterly 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 company tables are arranged alphabetically and by sector, with separate tables for the FTSE 100, FT 30 and sector leaders. An additional table highlights the companies with the highest and lowest beta.

The industry tables feature beta values for industry groupings (using FTSE-ICB sectors) and the market as a whole.

The Library holds print issues of the Risk Measurement Service from 2008 onwards. ICAEW members, ACA students and other entitled users may refer to these in person in the Business Centre at Chartered Accountants’ Hall. Alternatively, our enquiry team can consult them on your behalf — please get in touch.

The 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.

ICAEW members and ACA students can access FAME within the Library. In addition, the Library enquiry team can search the database on behalf of members and ACA students. Contact us by phone on +44 (0)20 7920 8620 or by email at library@icaew.com for help or more information.

The formula used by BVD to calculate the beta value is explained in a help guide which is available to users logged in to the FAME platform. Once you are logged in to FAME, click on the ? icon in the top right-hand corner of the screen to load the help menu, then enter 'beta values' in the search box. This should return an article entitled 'Beta and Price Volatility'. (If you are logged in to FAME, the link Beta and price volatility: guide may take you directly to this article.)

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

1. Select the company using the Search options in FAME, which will load a report.
2. Use the 'Beta and price volatility' option (located under 'Stock data') 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. Click on the 'View results' option to view the list of companies.
3. Use the 'add/remove columns' options to select Stock data > Security and price information > Beta, in order to display the beta values, correlation coefficients and reference index data that you require.

The FT website includes beta values for equities listed on its Markets data: Equities page. The Global equity screener allows users to identify companies based on a range of criteria, including beta values.

An explanation of the beta figure used was previously available in the FT's Lexicon; an archived version may be accessed via the Wayback Machine. If referring to this, please note that the details given may now be out-of-date.

In addition to the above sources, beta values can also be found in various other databases, such as:

• Bloomberg
• Datastream
• Wharton Research Data Services (WRDS)