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Calculated Betas, Alphas and R²

The data calculated within the BAR² Model is based on data for August 2024.

The BAR² Model calculates/regresses JSE listed security price movements (plus dividend yields): 

• against the ALSI movements (plus dividend yields) for Main Board listed companies; and

• against the AltX Index (plus dividend yields) for AltX listed companies.

The BAR² Model calculates 30 Betas, Alphas and R² per listed security on the following basis:

Time series – includes the last 5 years – provided there is data for each year – where a security has not been listed for all 5 years there is a black insert in the cells concerned;

Interval measurement – the following are separately calculated/regressed for each of the 5 years that have data:

• Normal Daily (unshaded) = each trading day is used irrespective of whether the security is traded or not;

• Shaded Daily = each trading day is used provided the security is traded on that day i.e. non-trading days are excluded;

• Weekly = calculated using every 5th trading day;

• Monthly = calculated using (roughly) every 21st trading day;

• Weekly VWAP = as per weekly but using the security’s “week VWAP” as the security price measure; and

• Monthly VWAP = as per monthly but using the security’s “month VWAP” as the security price measure.

The Betas and R² are the “normal” statistical types and do not need explanation.

The Alphas calculated and provided are the “normal” intercept Alphas – but have been multiplied by the number of observations in the particular time series interval measurement i.e. 5-year daily unshaded = Alpha multiplied by 1252 (no. of observations), weekly = Alpha multiplied by 250 (no. of observations), monthly = Alpha multiplied by 12 (no. of observations). The multiplication has been done to show the “grossed up” Alpha over the whole of the relevant time series period. A positive Alpha means that the security outperformed the index over the particular time series period and vice versa.

If you require the detailed workings for any particular security, they can be purchased for R100 + VAT per security. Send an email to kerry-ann@karpres.co.za and we will send you an invoice – you are then required to make payment. We will then organise for the workings to be sent to you after payment has been received.

Disclaimer

While every effort has been made to ensure that the information provided in the BAR² Model is correct, KAR Presentations will not be held accountable, responsible or liable for any errors or omissions in the information provided in the BAR² Model, or from the use of or reliance placed on any results obtained from the use of the BAR² Model. Accordingly, all information from the BAR² Model on this website is provided “as is”, with no guarantee or warranty, either express or implied, of completeness, accuracy, usefulness, timeliness or of the results obtained from the use of the BAR² Model.