Alphas and Betas
This guide was prepared by Harvard Business School librarians for the HBS community. These resources have been selected as excellent starting points for finding current and historical alpha and beta stock information. For further research assistance, please contact Baker Library.
Alpha
Alpha (Coefficient) Definition: The calculation of a (alpha in Greek) in the formula for the slope of a line: a + bx = y. If b (beta in Greek) is set at zero, thereby eliminating market price volatility, alpha will measure the investment return for a particular security when compared to the baseline of the S&P Index. Alpha measurements that are positive (e.g., plus 10) mean that the particular stock will yield dividend returns 10 percent greater than the average of the S&P. An alpha of zero is equal to the S&P dividend return; and alpha of minus 5 is 5 percent lower that the S&P. Thus, alpha measures investment return and beta measures price volatility of individual stocks versus a commonly accepted baseline.
(Source: The Complete Words of Wall Street Irwin, 1991)
Current & Historical Alphas
O'Neil Database
William O'Neil & Co., published weekly
Ref. HG4916 .O45 In print in Baker Library
Quarterly data. Baker keeps last quarter annually back to 1983.
Thomson ONE Banker
Published quarterly
In depth company and security information. See How do I find a Security's Alpha?
Mutual Fund Alphas & Betas
Morningstar Mutual Funds
Morningstar, Inc., published biweekly
Ref. HG4530 .M85 In print in Baker Library
Updated every 20 weeks. Also available on Morningstar Direct.
Beta
Beta Definition: A measure of a stock's sensitivity to the movement of the general market (S&P 500), in either direction over the last five years. A beta of 1.6 means that over the past five years, the stock has moved 60 percent greater than the S&P 500, both up and down.
(Source: Dictionary of Investing)
Value Line Beta Definition: The VL beta is derived from a regression analysis between weekly percent changes in the price of a stock and weekly percent changes in the New York Stock Exchange Composite Index over a period of five years. The Betas are adjusted for their long-term tendency to converge toward 1.00.
(Source: How to Use the Value Line Investment Survey)
Current Betas
Bloomberg Academic or Bloomberg Professional
(Dedicated library workstations)
Type the ticker symbol (IBM, for example) then click on equity, type "beta," then click on Go.
Tip:
For historical average, change date range. To change default index, change mnemonic for index.
Capital IQ
Data on public and private companies.
From the company summary page, select the "Tearsheet" link in the left side navigation bar.
OneSource Global Business Browser
A range of public and private company and industry information.
From the company profile page, select the "Ratio Comparisons" link in the navigation bar to view company, industry, and sector betas.
Tip:
To screen by beta, Mouse over Companies and select "Global Public", then expand the "Stock Information" option.
Historical Betas
Compustat Research Insight
(Dedicated library workstation)
Five years of monthly betas are available.
O'Neil Database
William O'Neil & Co., published weekly
Ref. HG4916 .O45 In print in Baker Library
Quarterly data. Baker keeps last quarter annually back to 1983.
Value Line
On Campus only
Backfile of the Investment Survey in microfilm from 1969.
One page profiles of companies include the Beta. Ten years of Historical Reports are available in the online version.
Worldscope
Disclosure Inc., published quarterly, Historical only, 1992-2006.
In CD-ROM in Baker Library
CD-ROM of basic financial information on public companies worldwide.
More current betas are available on Datastream and Thomson ONE Banker.
Industry Betas
Cost of Capital
Ibbottson Associates, published annually
Ref. HG4028 .B2 C687 In print in Baker Library
Provides industry ratios by SIC code. Also includes market capitalization, margins, equity valuation, and cost of capital by SIC.