The formula we used to calculate the beta (β) for companies has changed. The 5-year quarterly beta (20 observations) have been replaced by a weekly 2-year beta. (104 observations)
Changes were made for the following reasons:
- 2-year beta is widely used across the industry.
- 2-year beta includes more observations, therefore reducing estimation errors.
- 2-year beta reflects fundamental changes of a company more accurately and relevant to today’s price.
This results in a small adjustment to the SP scores. (-/+ 1 or 2 points)
The previous definition of the “5Y beta on quarterly prices” will be replaced to reflect the new formula.
If you have any questions or concerns, feel free to contact Anthony Menard: Amenard@Inovestor.com.