LoadingLoading
Beta is a measure of market risk. Unleveraged beta (or asset beta) measures a company's market risk without the impact of debt. A "delevered" beta eliminates the financial impact of leverage, thereby isolating only the risk posed by the company's assets.
Beta is a measure of market risk. Unleveraged beta (or asset beta) measures a company's market risk without the impact of debt.
A "delevered" beta eliminates the financial impact of leverage, thereby isolating only the risk posed by the company's assets. In other words, how much a company's equity contributes to its risk profile.
Beta is the slope of the coefficient of a stock's regression relative to a benchmark market index, such as the Standard & Poor's (S&P) 500 Index. A key determinant of beta is leverage, which measures a company's debt-to-equity ratio. Leverage beta measures a company's risk relative to market volatility if it includes debt and equity in its capital structure. Another type of beta is called unlevered beta.
"De-leveraged" beta eliminates any favorable or unfavorable effects gained by adding debt to a company's capital structure. Comparing a company's unlevered beta can give investors a clear idea of the risk profile they're taking on when buying a stock.
<!-- @@@ -->Consider, for example, a company that adds debt, thus increasing its debt-to-equity ratio. This will result in a greater proportion of earnings being used to pay down debt, increasing investor uncertainty about future earnings streams. As a result, the company's stock is considered increasingly risky, but this risk does not stem from market risk.
TIP: Isolating and eliminating the debt component of overall risk results in unlevered beta.
The level of debt a company has can affect its performance, making it more sensitive to changes in its share price. Note that the companies analyzed include debt in their financial statements, but Unleveraged Beta treats them as if they have no debt, stripping out any debt in the calculation. Because companies have different capital structures and debt levels, analysts can calculate unlevered beta to effectively compare them to each other or to the market. This way, only the sensitivity of the company's assets (equity) to the market is taken into account.
To "de-leverage" beta, one must know the company's leverage beta in addition to its debt-to-equity ratio and corporate tax rate.
Systemic risk is a type of risk caused by factors outside a company's control. This risk cannot be eliminated through diversification. Examples of systemic risks include natural disasters, political elections, inflation, and war. Beta is a measure of the systemic risk or volatility level of a stock or portfolio.
Beta is a statistical measure used to compare the volatility of a stock's price to the volatility of the broader market. If a stock's volatility (measured by beta) is high, the stock is considered high risk. If a stock's volatility is low, the stock is considered less risky.
A beta value of 1 equates to the risk of the broader market. That is, a company with a beta of 1 has the same systemic risk as the broader market. A beta of 2 means the company is twice as volatile as the broader market, but a beta of less than 1 means the company is less volatile and less risky than the broader market.
For example, calculate the unlevered beta of Tesla Inc. (as of November 2017):
Unlevered beta is almost always equal to or lower than leveraged beta because debt is usually zero or a positive number. (In rare cases, if the company's debt component is negative, such as if the company is hoarding cash, the unlevered beta may be higher than the leveraged beta.)
If the unlevered beta is positive, investors will invest in the company's stock in anticipation of an increase in price. A negative unlevered beta will prompt investors to invest in the stock in anticipation of a price decline.
Unlevered beta eliminates any favorable or adverse effects gained by adding debt to a company's capital structure. Comparing a company's unlevered beta can give investors a clear idea of the risk profile they're taking on when buying a stock. Because companies have different capital structures and debt levels, investors can calculate unlevered beta to effectively compare them to each other or to the market. This way, only the sensitivity of the company's assets (equity) to the market is taken into account.
Simply put, Beta (ß) is a measure of market risk. More precisely, it is a measure of the volatility (or systemic risk) of a security or portfolio relative to the market as a whole. In statistical terms, it is the slope of the coefficient of a regression of a security (stock) against a benchmark market index (S&P 500). Each data point represents an individual stock's return compared to the overall market return. Therefore, beta effectively describes the activity of a security's returns in response to market fluctuations.
Leverage beta measures a company's risk relative to market volatility given the inclusion of debt and equity in its capital structure. A key determinant of beta is leverage, which measures a company's debt-to-equity ratio. Therefore, the leveraged beta of a publicly traded security measures the sensitivity of that security relative to the performance of the overall market. A leveraged beta greater than positive 1 or less than negative 1 means it is more volatile than the market. A leveraged beta between negative 1 and positive 1 means it is less volatile than the market.
TheQuantHackers is a cutting-edge community composed of a group of people from the world's top universities and quantitative finance practitioners, dedicated to exploring the infinite possibilities in the fields of artificial intelligence (AI) and quantification (Quant). Our team members come from world-renowned universities such as the University of Cambridge, Oxford University, Harvard University, ETH Zurich, Peking University, and the University of Science and Technology of China. Our external consultants come from first-class companies such as Microsoft, HSBC, Citadel, Man Group, Citi, Jump Trading, and top domestic private equity companies.
以一家增加债务从而提高其债务权益比的公司为例。这将导致更大比例的收益用于偿还债务，从而加剧投资者对未来收益流的不确定性。因此，该公司的股票被认为风险越来越大，但这种风险并非源于市场风险。
提示： 隔离并消除整体风险中的债务部分会得到无杠杆Beta。
公司拥有的债务水平会影响其业绩，使其对股价变化更加敏感。请注意，被分析的公司在其财务报表中包含债务，但无杠杆Beta将其视为没有债务，从而在计算中剔除任何债务。由于公司具有不同的资本结构和债务水平，因此分析师可以计算无杠杆Beta，以有效地将它们彼此或与市场进行比较。这样，只会考虑公司资产（权益）对市场的敏感性。
要“去除杠杆”Beta，除了公司的债务权益比和公司税率外，还必须知道该公司的杠杆Beta。
系统性风险是由公司无法控制的因素引起的风险类型。这种风险无法通过分散投资来消除。系统性风险的例子包括自然灾害、政治选举、通货膨胀和战争。Beta用于衡量股票或投资组合的系统性风险或波动性水平。
Beta是一种统计指标，用于比较股票价格的波动性与更广泛市场的波动性。如果股票的波动性（以Beta衡量）较高，则该股票被认为是高风险的。如果股票的波动性较低，则该股票被认为风险较低。
Beta值为1相当于更广泛市场的风险。也就是说，Beta值为1的公司具有与更广泛市场相同的系统性风险。Beta值为2意味着该公司的波动性是整个市场的两倍，但Beta值小于1意味着该公司的波动性较小，并且比更广泛的市场风险更小。
例如，计算特斯拉公司（截至2017年11月）的无杠杆Beta：
无杠杆Beta几乎总是等于或低于杠杆Beta，因为债务通常为零或正数。（在极少数情况下，如果公司的债务部分为负数，例如公司囤积现金，那么无杠杆Beta可能会高于杠杆Beta。）
如果无杠杆Beta为正，投资者将在预期价格上涨时投资该公司的股票。负无杠杆Beta将促使投资者在预期价格下跌时投资该股票。
无杠杆Beta消除了通过向公司资本结构增加债务而获得的任何有利或不利影响。比较公司的无杠杆Beta可以使投资者清楚地了解购买股票时所承担的风险构成。由于公司具有不同的资本结构和债务水平，因此投资者可以计算无杠杆Beta，以有效地将它们彼此或与市场进行比较。这样，只会考虑公司资产（权益）对市场的敏感性。
简而言之, Beta (ß) 是一种衡量市场风险的指标。更准确地说, 它是衡量证券或投资组合相对于整个市场的波动性（或系统性风险）的指标。在统计术语中, 它是证券（股票）相对于基准市场指数（S&P 500）回归的系数斜率。每个数据点代表单个股票的回报与整个市场回报的对比。因此, Beta有效地描述了证券回报在响应市场波动时的活动。
杠杆Beta衡量的是公司在资本结构中包含债务和权益的情况下, 相对于市场波动性的风险。Beta的一个关键决定因素是杠杆, 它衡量了公司债务与权益的比率。因此, 公开交易证券的杠杆Beta衡量的是该证券相对于整体市场表现的敏感性。杠杆Beta大于正1或小于负1意味着它比市场具有更大的波动性。杠杆Beta介于负1和正1之间意味着其波动性小于市场。
TheQuantHackers是由一群来自世界顶尖高校和量化金融从业人员组成的前沿社区，致力于探索人工智能（AI）与量化（Quant）领域的无限可能。我们的团队成员来自剑桥大学、牛津大学、哈佛大学、苏黎世联邦理工学院、北京大学、中科大等世界知名高校，外部顾问来自Microsoft、HSBC、Citadel、Man Group、Citi、Jump Trading、国内顶尖私募等一流企业。
Upgrade to unlock all institutional-grade algorithms, derivative pricing engines, factor backtesting frameworks, and live QuantLab execution.
Explore Membership Access
Pre-order · £490Quantitative analytics platform
Waitlist closed — signal locked. Pre-order TQH TERMINAL now at £490 with launch-day delivery.