CF LAB

Beta calculator

PSX · KSE-100 PR

For learning purposes only. Do not use this calculator or its data to make investment decisions. Results are simplified teaching examples, and company figures may be incomplete or out of date.

What is this?

Beta (β) measures how much a company’s share price tends to move when the whole market moves. Here the market is the KSE-100 Price Return index (KSE100PR) of the Pakistan Stock Exchange: the KSE-100 without dividends, so it compares like with like against share prices, which also exclude dividends. A beta of 1 means the share tends to move in line with the market; above 1 it reacts more strongly to market moves, below 1 less strongly. Beta measures sensitivity to the market, not all the risk of owning a share. Beta is the risk measure used in CAPM (see the SML calculator).

How to read the chart

  • Each dot is one day, week or month: how much the KSE-100 PR moved (across) and how much the company moved (up).
  • The blue line is the best-fit line through the dots. Its slope is beta.
  • The steeper the line, the more the share amplifies market moves.
  • Dots far from the line are moves the market doesn’t explain, often company-specific news.
Chart ↓
Beta
1.00
Correlation ρ
Explained by market R²
Data points
CAPM required return
What this means

Try this

Growth of PKR 100

What PKR 100 invested at the start of the period would have grown to in the company’s shares and in the KSE-100 PR index. Both are price-only: dividends are not included on either side.

How beta is calculated, step by step
About the data: sources and method

  • Prices: daily closing prices from the Pakistan Stock Exchange data portal, downloaded automatically every Saturday. The market is the KSE-100 Price Return index (KSE100PR), which, like share prices, leaves out dividends.
  • Returns: each daily, weekly or monthly return uses the last closing price in that day, week or month: price ÷ previous price − 1. For weekly and monthly data, the current, unfinished week or month is not used.
  • No price adjustments: prices are as PSX reports them, so bonus shares, splits and dividends make a share price drop. A day when a share fell more than 11% while the market moved less than 5% is treated as one of these events, and the day, week or month containing it is left out (listed above for each company).
  • Yearly figures: average return × 52 (weekly) or × 12 (monthly); volatility × √52 or × √12. These are simple averages, not compound growth. Variances and covariances divide by n − 1.
  • Not data: the risk-free rate and market risk premium are your assumptions.
The full calculation table