FastBeta

Description

The Fast Beta coefficient is another version of the Beta study: it measures the systematic risk of a security, sensitivity of security's returns to market returns. As the benchmark of this measurement, the market is defined of having a beta of 1.0.

In mathematical sense, Fast Beta is the ratio of modified covariance between ROC of the security and that of the market to modified variance of the latter. The only difference between modified and standard versions of variance and covariance is that the former uses a Weighted Moving Average instead of simple.

 

Securities having Fast Beta greater than 1.0 are more volatile than the market; securities with lower Fast Beta are less volatile. Securities with Fast Beta equal to 1.0 are said to move along with the market.

Input Parameters

Parameter Description
index The benchmark index against which the Fast Beta is calculated: SPX, Nasdaq Composite, NDX, Dow30, or Russell 2000.
returnlength The number of bars used to calculate the rate of change.
length The number of bars used in calculation of variance and covariance.
default value Default value of Fast Beta; used when data for calculation is not available.

Plots

Plot Description
FastBeta The Fast Beta plot.

Example*

*For illustrative purposes only. Not a recommendation of a specific security or investment strategy.

  Past performance is no guarantee of future performance.

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