The following additional information about data availability and calculation methodologies is provided for reference.
Beta Calculation Data Availability
CalculateBeta™ calculates betas for covered securities for dates after December 31, 1999. Coverage includes most companies traded on the NYSE (including the former AMEX companies), NASDAQ and OTCBB markets.
Risk-free Rate and Other Economic Data Availability
Risk-free rate (monthly), GDP growth and inflation data are available beginning in late 1953. When a too-early date is specified, the earliest available data will be provided. Daily risk-free rate data is available beginning in late 1993 for 20-year Treasuries, and in early 1962 for 10-year Treasuries.
You can request risk-free rate and other data as recently as yesterday. However, sometimes recent daily data lags by a day or two, and the most recent available monthly or quarterly data may lag longer. You can retrieve the most recent data available by backing up your request date a little.
For example, if on January 14th, 2017 you requested data as of that date, no GDP data would be returned, because fourth quarter 2016 data was not yet published. But if you backed up your "as of" date to December 31st of 2016, then September 30, 2016 data, the most recent available, would be returned. (A little later in 2017, of course, a January 14th, 2017 "as of" request would return fourth quarter 2016 data).
Daily risk-free rate data is not available for holidays, Saturdays or Sundays.
Market Equity Premium Data Availability
When you Calculate Equity Premiums, market equity premiums are calculable over any date range beginning in April 1954 and ending, approximately, yesterday. The beginning and end of the date range must be more than one year apart. Note that the variability of year-to-year equity risk premiums (ERPs) is high, and longer-running averages will, all else equal, usually be preferable. ERPs are computed using annual returns calculated based on the month-end preceding the ending date you provide, i.e., they are calculable based on any month-end, not just December-to-December.
Please see the additional detailed notes at Calculate Equity Risk Premiums for further information (available to registered users).
Fundamental Financial Data Availability, and Unlevered Betas
Fundamental financial data is available for most companies for as-of dates within the most recent five years preceding today's date. Unlevered betas are therefore available within this time frame as well.
CalculateBeta does not provide fundamental financial data, or attempt to unlever betas, for certain companies such as, for example, commercial banks, REITS, and other companies in the financial and real estate sectors, due to the particular characteristics of their balance sheets. CalculateBeta also does not provide fundamental financial data or attempt to unlever betas for certain other securities, such as American Depositary Receipts (ADRs).
Note that if you create a beta case where some companies lack fundamental financial data and others have it, only the available unlevered betas are used in calculating the peer group median unlevered beta and the CAPM cost of equity. When no companies included in a beta case include fundamental financial data, CalculateBeta will not display a Cost of Equity tab.
Some fundamental financial data is not included in downloadable spreadsheets due to licensing restrictions. We regret the inconvenience. Market multiples are downloadable.
Please note that FactSet's reporting for some items may differ from a company's SEC filings. For example, FactSet may adjust unusual expenses, or reclassifications made from other comprehensive income, out of revenue and operating income. When fully understanding such items is important, financial research may be required.
More generally, note that CalculateBeta is dependent on our data sources (including FactSet). While these sources are widely used and relied on, if you seek to ensure that you fully understand any adjustments which may have been made and/or minimize any possibility of error, you may wish to examine original sources such as, for example, SEC filings. These are available via the SEC’s EDGAR service (subscribers can follow the links to company filings provided by CalculateBeta's Search by Company or Industry facility).
Limited Trading Histories
Occasionally you may include a company with a short trading history in a beta case. In such cases, CalculateBeta may return fewer prices and returns than you requested (i.e., because you inadvertently requested periods that don't exist for a given company). This will affect the data CalculateBeta returns for all companies in that beta case, as follows.
CalculateBeta uses "apple-to-apples" data for all companies in a beta case. Therefore, if some companies you've included lack a trading history over part of the time frame you've requested, the shortest trading history will determine the range of dates and data used for all companies. Available data may therefore be discarded for those companies which do have a complete trading history during the time period you've specified.
You can address such concerns, if necessary, by creating a new beta case and excluding the company with the short trading history. You can easily identify such companies by inspecting the prices and returns provided by CalculateBeta to ensure you got as many as expected. Also, the Beta Calculations tab of your cases includes a line providing counts of the “Number of Prices Returned” for each company. While the Underlying Prices tab provides the complete price history actually used in calculating betas (which may be less than requested if any company in the case had a short trading history), the counts given in the "Number of Prices Returned" tell you how many prices were available for each individual guideline company. If there are no short trading histories affecting any company in your case, the number of prices returned for each company will equal the number of returns you requested plus two (because, for example, the calculation of 30 returns requires 31 prices, and CalculateBeta retrieves one further price to calculate the additional lagged returns required for sum betas).
Trading History Gaps
More exotic joint trading histories are possible, though rare. For example, it is possible that a security will have delisted and relisted during a calculation period you've specified. Or, it may be that two different securities in a single beta case will have different short trading histories within the look-back period.
Either of these circumstances may produce sets of joint returns that are not only short of your request, but which contain gaps. As with other short trading histories, CalculateBeta uses only the set of joint returns shared by all companies in a given case when calculating betas. Betas computed based on trading history gaps are likely problematic. Solutions may include addressing the companies with irregular trading histories in a separate beta case or cases, or discarding them (i.e, if their trading history is too irregular over the period of interest).
Irregular trading histories can cause other concerns. For example, if prices are unavailable for a company on your "as of" date, but fundamental financial data is available, a mismatch may result between the date of the fundamental data (including shares outstanding) and the price data.
We suggest you always check the number of prices returned for each company in a beta case to flag irregular trading histories. More generally, CalculateBeta provides detailed, replicable information with a high degree of transparency, rather than "black box" results, and provides ample data for common sense inspection of your beta cases. For example, in addition to the number of prices returned for each company, the dates of the prices and of the fundamental data used in calculations are provided for your reference on the several tabs.
The prices CalculateBeta provides on the Underlying Prices tab are adjusted through the present for splits and dividends. Therefore, returns computed based on these adjusted prices represent total returns.
The prices CalculateBeta shows in the Notes on the Financial Data tab are adjusted for splits but not dividends (and the shares outstanding shown on this tab are also split-adjusted). They are as-of date prices (provided the stock traded on your "as of" date), split adjusted through the present. Dividends are excluded from these calculations because these prices are used in computing the market value of equity and the market value of invested capital as of past dates. Using prices adjusted for dividends is less desirable for this purpose, since such prices may include downward adjustments to prior prices for dividends paid after the "as of" date.
Monthly Price Data
With one important exception, CalculateBeta normally selects monthly prices and calculates monthly returns by skipping backwards in time from your as of date by approximately 30.4 days at a time (365.25 divided by 12). Therefore, if you specify the 12th of a month, some prior monthly dates may be the 11th or the 10th etc., depending on the length of the months, etc.
The exception: if you request data as of the end of any month, then an alternative procedure is used, and the last day of all prior months will be employed in calculating returns - i.e., December 31, November 30, October 31, September 30, etc.
Multiple Classes of Common Shares and the Market Value of Equity
The "Shares Outstanding" figure retrieved by CalculateBeta provides the number of outstanding shares of all classes of a company's common stock. However, when retrieving prices, CalculateBeta uses the prices of the specific securities whose symbols you specify. Therefore, if a company has two or more classes of outstanding common stock with materially different prices, the market value of equity calculated by CalculateBeta may require manual adjustment for purposes of market multiple calculation.
You must enter at least one, and may include up to ten, valid and covered stock symbols in your cases. Covered companies are companies currently traded on the NYSE (including the former AMEX companies), NASDAQ and OTC markets.
You must specify an "as of" date between January 1, 2000 and yesterday. If you enter a weekend or holiday CalculateBeta will roll back to the most recent prior trading day. You must also specify a market index and a periodicity (these default to the S&P 500 Total Return index, and monthly data, respectively).
You must request at least 30 periods regardless of whether you select monthly, weekly or daily prices and returns. You can request up to six months of daily data, two and one-half years of weekly data and ten years of monthly data. Therefore, you can request up to 183 daily periods (note that daily look-back periods you enter are treated as calendar days, although naturally only trading day data is returned), no more than 130 weekly periods, and no more than 120 monthly periods.
The rationale behind these limits is that longer-periodicity returns are more often preferable to shorter-periodicity returns (i.e., monthly returns over weekly returns, and weekly returns over daily returns) as long as your selected look-back period includes a sufficient number of longer-periodicity returns. Requiring a request of at least 30 periods helps ensure that betas are distributed approximately normally. Other Frequent Questions articles discuss these issues in more detail; see, for example, What Choices Must I Make? (Required Inputs).