The Imagine Marketplace

Asymmetric Beta

Imagine Software, Inc

Get a better understanding of a holding's or a portfolio's true correlation by calculating two different Betas: one for market up movements and one for market down movements.

The Asymmetric Beta app calculates different Betas for holdings in a portfolio relative to an index chosen by the user. The Betas are calculated by first segmenting the return series of prices into instances of the market going up and the market going down. Beta is then calculated for the vector of returns for each instance.

Current Derivatives.com users, click here for additional information on using Asymmetric Beta.