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That's right. For calculation purposes, the beta is calculated as the
covariance of the return on the market portfolio and the return on the
specific security. Of course, calculating a covariance requires
assumptions about time frame, number of observations etc.
Nick
> -----Original Message-----
> From: steven poser [SMTP:swp@xxxxxxxxxx]
> Sent: Thursday, October 22, 1998 9:36 AM
> To: RealTraders Discussion Group
> Subject: Re: GEN/MKT: What is this called?
>
> UG -
>
> That is exactly what beta means. If a stock has a beta of -2 to the
> market and the market rallies 1%, the stock is expected to fall 2%. I
> know, I worked on the Merrill Lynch Beta System in a previous life
> when
> I was a computer programmer.
>
> Steve
>
> UG wrote:
> >
> > Is there an indicator that measures movement with respect to the
> market?
> > Not Beta; that's volatility. I'm looking for something that would
> vary
> > in value from a negative number to a positive one; a value of 1
> would
> > indicate the security rises in price when the market rises in price,
> and
> > about the same amount. A value of -2 would indicate the security
> drops
> > in price when the market rises (and vice versa), and about double
> the
> > amount.
> >
> > Does such an indicator exist?
> >
> > --
> >
> ======================================================================
> ==
> > If God had meant us to be naked, we would have been born that way
> > http://www.unixgeek.com/cgi-bin/motd.pl - PGP email preferred
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