smartZebra | Beta Factors Module

Setting options for the beta factor

Feature 1

Daily data

You can select valuation dates from 2010 on a daily basis and, if required, we can also provide you with data on earlier reference dates.

Feature 2

Period and frequency of return calculation

Choose the best option for your valuation from various combinations of 1, 2, 3 or 5 years with daily, weekly, fortnightly or monthly return calculation. In addition, you can select whether the total return or the exchange rate return should be used for the calculation.

Feature 3

Benchmark index

The benchmark index is an important part of calculating the beta factor. There are various approaches to selecting the benchmark index, which is why SmartZebra allows you to choose from six different indices, which can be selected according to regional size and number of stocks in the index.

Feature 4

Raw Beta Adjustment and Total Beta

The “Adjustment” is a correction to the Raw Beta. This correction is intended to adjust historically measured beta factors so that these — starting from the reporting date — can be used as an expected value for future beta factors. Alternatively, the Total Beta can be used.

Feature 5

Gearing

The debt ratio describes the ratio between debt and equity and is used to calculate the unlevered beta. You can see the elements for calculating the debt ratio and make individual settings, for example to include the pension deficit or lease liabilities.

Feature 6

Tax Shield

The Tax Shield influences Unlevered Beta and describes the value contribution to the company's value that results from a tax advantage of the return flows from debt financing compared to equity financing. The Hamada formula is used for the secure Tax Shield, the Harris and Pringle formula for the unsafe Tax Shield.

Feature 7

Debt Beta

Debt beta is the beta factor for debt, which is calculated separately due to the (partial) assumption of business risk. This is particularly interesting at higher gearing levels. In addition, you can see information on the rating score, the rating indication, the credit spread and the risk premium.

Feature 8

Overview and quality filters

Compare beta factors using various settings for the time period and frequency of yield determination and other factors. You can filter the displayed data based on various quality criteria, including bid-ask spread, free float, coefficient of determination, t-test, Durbin-Watson test.

Feature 9

Time series of beta factor

An overview of the evolution of beta factors over different time periods. Plus the course of Raw Beta and Unlevered Beta of individual companies.

Feature 10

Trading and statistics

The quality of a beta factor can be assessed in various ways. From a statistical point of view, the regression data coefficient of determination,  t-test and f-test are very interesting. In addition, data on the trading volume and liquidity of stocks, such as the percentage of free float, the bid-ask spread and the number of trading days.

Feature 11

Documentation, Excel, Collaboration and Project Management

Record your findings in a PDF or Excel file and invite additional collaborators to join your project.

Feature 12

Monitor sector

Look at the risk of the companies in your peer group compared to the companies in the peer group and the sector or sub-sector.

Feature 13

Analysis

Detailed analyses for individual companies and time series on various data: regression diagram with the option to eliminate data points, time stability of the beta factor, daily raw beta including statistical quality.

Beta Factors module

Equity beta – Debt beta – Tax Shield – Full transparency – Daily updates