{"repo":"sammuharem/beta-calculator","free":true,"listed":false,"github":"https://github.com/sammuharem/beta-calculator","clone":"git clone https://github.com/sammuharem/beta-calculator.git","description":"Python beta calculator that retrieves stock and market data and provides linear regressions.","language":"Python","stars":14,"topics":["finance","python","beta","capm","risk-analysis","stocks","stock-market","stock-data","international"],"license":null,"category":"trading","readme_excerpt":"Stock and Index Beta Calculator # Python script that calculates the beta (β) of a stock against the chosen index. The script retrieves the data and resamples it to provide the beta for 6 different timeframes and frequencies. The beta is calculated boy using both a formula and linear regression. The betas calculated are: Monthly 5 Years Weekly 5 Years Monthly 3 Years Weekly 3 Years Weekly 1 Year Daily 1 Year Background ## The beta of a stock measures the volatility of its price in relation to the market or index. The return on a stock with a beta of 2.0 would generate a return twice that of the market - if the market goes up 2%, the stock price would be expected to increase by 4%. This measure of volatiltiy is also called systematic risk, undiversifiable risk or market risk. Some major uses of beta are: Measuring the risk of a portfolio to the market Measuring the volatiltiy of an industry compared to the market Estimating the required return on equity of stock in the Capital Asset Pricing Model (CAPM) or Weighted-Average Cost of Captial (WACC) Estimating the effects of debt on a company's volatility (beta re-levering) Process ## There are two methods used to calculated beta. 1. Using the formala, β = Cov(ri, rm)/σ^2m i.e. the covariance between the returns of the stock and the market divided by the volatility of the market. 2. Running a linear regression of the returns of the market against the returns of the stock, the slope of the regression line is the calculated beta. The","default_branch":null,"files":null,"tree":[],"storefront":"/r/sammuharem","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/sammuharem/beta-calculator/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}