Metric: Beta¶

Overview¶

Beta is a measure of volatility, or systematic risk, of a security or portfolio in comparison to the market as a whole [Capture from BYU Lib¹].

Methodolgy¶

The progress to calculate metric:

flowchart LR
    crit[Criteria for eligible basket] -- construct --> eligible[Eligible Basket]
    eligible --> mapping[Mapping relative metadata] -- calculate --> raw[Raw Beta] -- exclude outlier --> represented_beta[Represented Beta]

included: Relative metadata is mapping with relative underlying market data based on the trading platform

Component¶

Eligible Criteria¶

Criteria required for eligible basket:

[1] Financial Instrument Type: Common Stock, Fund Certificate, Future, covered warrant, ETF
[2] Exist information of the exchange
[3] Available range: greater than 20 trading days

Note: There are different criterias selected by provider (See Troubleshooting).

The table of eligible will be:

Column	Type	Description
ticker	string[Restricted]	Primary Key. The symbol of security
financial_instrument_type	string[Category]	Asset class
trading_status	string[Category]	Trading Status of security. One of [ACTIVE, INACTIVE]
exchange_code	string[Category]	The exchange that the
underlying_relative_index	string[Category]	The relative index code for the security
available_range	string[YYYYMMDD-YYYYMMDD]	From - Date in YYYYMMDD format
number_trading_day	int	The total trading day
is_eligible	boolean	The status of eligible. True mean satify all criterias
last_updated_at	timestamp	Timestamp of last eligible process has been take place

Relative metadata¶

The mapping progress to detect the relative information required to calculate

a) The target relative index

Market	Relative Index Code
HSX	VNINDEX
HNX	HNX
UPCOM	UPCOM

The index required following the index profile handle by INNO

b) The range of calculation: 6 months. The lower range the more volatility

c) The date type: Trading Date.

Calculation Method¶

Following the algorithm below:

\[ \beta={\frac {Covariance(R_{i},R_{m})} {Variance(R_{m})}} \]

included:

return (denoted by \(R\)): \(R={({\frac {P_{1}} {P_{t}} - 1}) * 100 }\)
i: represented for security
m: represented for market

The covariance calculated following the wikipedia²

Represented beta¶

After calculated the raw-beta from the information, the following filter will be applied to exclude the outlier

Market	Outlier
Common Stock	range [-3, 3]
Fund Certificate	range [-3, 3]
Future	range [-3, 3]
covered warrant	range [-3, 3]
ETF	range [-3, 3]

Rounding: to 5 after comma.

Finding beta of security¶

Get the beta from Pluto

Pluto version 1.0.0Pluto previous version 1.0.0

Path: profile

curl -X 'GET' \
    'https://dapi.innotech.vn/profile/?symbol=VCB&offset=0&limit=10' \
    -H 'accept: application/json'

Path: stocks/detail

curl -X 'GET' \
    'https://dapi.innotech.vn/stocks/detail?symbol=VCB&offset=0&limit=1' \
    -H 'accept: application/json'

Or can get the metadata within an array by using awk and jq to get:

declare ticker=("VCB" "HPG" "NT2")
for tick in ${ticker[@]};
do
    curl -sX 'GET' \
        "https://dapi.innotech.vn/profile/?symbol=$tick&offset=0&limit=10" \
        -H 'accept: application/json' | jq '.data[0].beta' | echo "$tick --> beta:$(awk '{print $1}')"
done;
# VCB --> beta:0.82731
# HPG --> beta:1.62381
# NT2 --> beta:0.72777

Troubleshooting¶

Question

When evaluating the different options for finding beta, you may be wondering: Which one is right?

It depends on the declaration of calculation method, which different between providers (E.g: VietStock or CafeF). If different by the eligible criteria and the filter the outlier.

Kind	Vietstock	CafeF
Methodology	Non exist	Methodology listed in the website Beta
Different	Non exist	Period Calculate (Relative 100 trading day) Type of Date (trading day)
Detail	Non exist	Divide into 3 category by trading day (denoted by TD) [1] If TD < 30: beta = NULL [2] 30 <= TD < 100: beta in active date [3] TD > 100: beta (100) Trading Day

The different: Timerange, Relative Index, Calculation Method

Question

How to calculate the step-by-step beta method from the guidance

Following the instruction of Wallstreet Mojo at [tutorial]²

Question

Is the underlying of index is the same in the life cycle of the securities

Based on the action of the corporate, the companies has a lot of action affect the choosen relative index.

Delisted
Transfer between trading platform

Question

The problem of long-distance of OHLCV

The problem has been declare below:

The securities has a trading OHLCV in a long-distance between the trading.

flowchart LR
    1[1] -- 15D --> 2[2] -- 5D --> 3[3] -- 3D --> 4[4]

It's different with a normal case

flowchart LR
    1[1] -- 1D --> 2[2] -- 1D --> 3[3] -- 1D --> 4[4]

Currently, not control this

Question

The beta range calculation

This will calculate the beta range since the last-trading day of the market

Question

Do we need to exclude non-trading ticker (inactive)

/_ We can excluded output by select Active/Non-active case _/

Metric: Beta¶

Overview¶

Methodolgy¶

Component¶

Eligible Criteria¶

Relative metadata¶

Calculation Method¶

Represented beta¶

Finding beta of security¶

Troubleshooting¶

Source Reference¶