Stock · Factor series
The rolling betas and realised volatility used in computing the residual return.
Factor coefficients and volatility
What it is: Lines for market beta, sector beta, USD/TRY beta and 21-day realised volatility.
What data feeds it: The return_daily table: beta_market, beta_sector, beta_fx and realized_vol. The betas are estimated with a 250-day window using only data up to t-1; then each day's residuals are orthogonalised cross-sectionally against the betas.
What it shows: It shows how the stock's sensitivity to the market, its own sector and the exchange rate changes over time. There is no beta in the first 250 days.
What can be concluded from it: A sudden jump in a beta usually means that a single large move has entered the window. Because the sources have no sector indices, the sector beta is relative to a factor derived from the average of the sector's members. Rolling betas absorbing the trend is the source of the "residual / raw return" gap on the Performance screen.
The investment information, comments and recommendations given here are not within the scope of investment advisory services. Investment advisory services are provided under an investment advisory agreement to be signed between a client and brokerage houses, portfolio management companies, or banks that do not accept deposits. The signals here are produced from historical data with statistical models, are shown the same to everyone and are not personalised; they may not suit your financial situation or your risk and return preferences. Therefore, making investment decisions based solely on the information given here may not produce results that meet your expectations.