Beta calculation

Infront uses a simple beta calculation comparing the stock to its local country index.

The calculation divided the covariance of the stock return with the market return by the variance of the market return.

Beta = cov(ri,rm) / var(rm)

Where

Stock return

r_i = (stock price at time w / stock price at time (w-1))-1

r_m = (index at time w / index at time (w-1))-1

Market return

E(r_m) = arithmetic mean of stock returns
E(r_i) = arithmetic mean of market returns

Covariance (stock return, market return)

cov(r_i,r_m) = sum[(r_i-E(r_i))*(r_m-E(r_m))]/count(r_i-E(r_i))*count(r_m-E(r_m))

Variance (market return)

var(r_m) = sum[(r_m-E(r_m))^2]/count(r_m-E(r_m))^2

Periods

Beta values are taken weekly, using the first close price available each week for the stock in question.

Periods are defined as follows: