Beta
Beta merupakan indikator volatilitas dari harga saham dibandingkan dengan pasar (IHSG), sebagai benchmark, atau dengan kata lain indikator yang menunjukkan berapa sensitive pergerakan harga saham dibandingkan dengan pasar . Tingkat volatilitas ini menggambarkan risk dari saham tersebut.
Jika Beta 1 menunjukkan bahwa harga saham lebih fluktuatif (volatile) dibandingkan dengan pasar, sedangkan bila Beta 1 menggambarkan harga saham kurang fluktuatif.
Sebagai contoh, Jika Beta dari suatu saham = 1.5, artinya harga saham 50% lebih volatile dibandingkan dengan pasar. Bila pasar turun 10% maka harga saham akan turun 15%, sedangkan jika pasar bergerak naik 10% maka saham ini akan bergerak naik 15%.
Alpha
Alpha adalah indicator yang menunjukan kelebihan (excess) atau selisih returns dari suatu saham terhadap returns dari pasar (IHSG), sebagai benchmark, untuk level resiko (Beta) tertentu.
Nilai Alpha positif menggambarkan bahwa returns dari suatu saham mempunyai performance lebih baik daripada pasar, sedangkan nilai Alpha negatif menunjukan kondisi sebaliknya.
R-Squared
R-Squared adalah indicator yang menunjukkan apakah ada korelasi pergerakan harga saham terhadap pergerakan pasar (IHSG). Nilai R-Squared mempunyai range 0 – 100.
R-Squared tinggi (85 – 100) menggambarkan adanya korelasi yang kuat (valid) antara pergerakan harga suatu saham dengan pasar.
R-Squared rendah ( 70) menggambarkan tidak ada korelasi yang valid antara pergerakan harga suatu saham dengan pasar, atau dengan kata lain nilai Beta dan Alpha bisa diabaikan.
Guidelines
Berikut adalah guidelines yang dikutip dari tulisan Anthony Faragasso mengenai penggunaan Alpha dan Beta dalam trading:
1. For very short-term trading, stocks with Beta 1.5 can be regarded as high Beta stocks.
2. Absolute values of Alpha depend on time span of data, and period over which the change is recorded. What is more relevant is the change in Alpha.
3. A stock with high Beta moves up fast when the Index goes up, but also moves down fast with the Index, unless it has a high Alpha value in which case, the Alpha value acts as a support.
4. A stock with high Alpha, but not necessarily high Beta, can move up fast when the Index moves up, if the circumstances for the high Alpha are still present or have increased in influence. This can be depicted as a moving up of the whole regression line, resulting in a higher point of intercept with the Y-axis.
5. Therefore the way to select stocks is to look for changes in Alpha or Beta rather than values of Alpha and Beta. The absolute Alpha and Beta values only show the status quo. To add an element of prediction, the change in Alpha would be more useful.
6. It is better to choose stocks with increasing Alpha rather than increasing Beta. High Beta stocks with low Alpha values require great alertness and usually intra-day trading strategies.
7. The most potentially rewarding stocks are those that have a high Beta as well as a high Alpha; with the added conditions that these values have not peaked,or are already on the way down. This can be confirmed by graphing the Alpha and Beta values.
8. When Alpha and Beta values are graphed, and put on a split screen together with the stock's price line chart, they are seen to be in waves each having a span of between 3-5 days. These waves reflect the inevitable profit taking. But trends and patterns in the waves can also be seen, and these can be analysed using traditional technical analysis concepts of trend, support, resistance and divergence.
9. Generally, a stock is "in play" when the amplitude of its alpha waves are getting bigger while its alpha value is also trending up.
10. Trading short-term with Alpha assumes a trending and reasonably volatile market. In a sideway market, Alpha would not be useful. The determination of market direction and whether it is in a trending stage can be by means of indicators like the ADX and Moving Averages.
11. In a down-trending market, you could either buy stocks with consistently high Alphas for the market's rebound, or,if short-selling is allowed, choose stocks with high Beta and low Alpha.
12. By scanning several markets and seeing which have more stocks with Alpha values at the higher end of the market range, it is possible to select which market to participate in.(A frequency histogram of markets will show which side the values of Alpha are skewed towards).
