Commonwealth Bank of Australia

Australia Country flag Australia
Sector: Banks
Ticker: CBA
ISIN: AU000000CBA7
Factsheet Factsheet

Levered/Unlevered Beta of Commonwealth Bank of Australia ( CBA | AUS)

Beta is a statistical measure that compares the volatility of a stock against the volatility of the broader market, which is typically measured by a reference market index. Since the market is the benchmark, the market's beta is always 1. When a stock has a beta greater than 1, it means the stock is expected to increase by more than the market in up markets and decrease more than the market in down markets. Conversely, a stock with a beta lower than 1 is expected to rise less than the market when the market is moving up , but fall less than the market when the market is moving down. Despite being rare, a stock may have a negative beta, which means the stock moves opposite the general market trend.
Commonwealth Bank of Australia shows a Beta of 1.25.
This is higher than 1. The volatility of Commonwealth Bank of Australia according to this measure is higher than the market volatility.

Beta (Ref: S&P/ASX 200)
Levered betaUnlevered beta
1-Year1.25N/A
2-Year1.14N/A
3-Year1.12N/A
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Valuation
P/BookP/Earnings (e) 2024P/Earnings NTM
Commonwealth Bank of AustraliaFree trialFree trialFree trial
International PeersFree trialFree trialFree trial
Banks0.9710.769.94
S&P/ASX 2001.9917.4815.98
Australia1.3812.9512.72
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Stock Perf excl. Dividends (in AUD)
CBAS&P/ASX 200Rel. Perf.
Year-to-Date34.4%6.1%28.3%
1-Week-5.0%-2.7%-2.3%
1-Month-3.4%-3.2%-0.3%
1-Year35.4%6.9%28.5%
3-Year51.5%11.1%40.3%
5-Year84.9%19.2%65.7%
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International Peers - Commonwealth Bank of Australia
Company NameCtryMarket
Cap.
last (mUSD)
Commonwealth Bank of Au...AUS163 060
International Peers Median1.05
National Australia Bank...AUS72 383
Westpac Banking Corp.AUS70 562
Australia and New Zeala...AUS54 328
HSBC Holdings plcGBR175 326
Bank of Queensland Limi...AUS2 768
GPRV Analysis
Commonwealth Bank of...
Intl. Peers
U.S Patents No. 7,882,001 & 8,082,201
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Total Revenue Chart
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Quotes Chart

1-Year Rebased Stock Chart

  • Commonwealth Bank of Australia
  • S&P/ASX 200
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Beta calculation details
The calculation divides the covariance of the stock return with the market return by the variance of the market return
thus: beta = cov(ri.rm) / var(rm) where
stock return ri = (stock price at time w / stock price at time (w-1))-1
market return rm = (index at time w / index at time (w-1))-1
E(ri) = arithmetic mean of stock returns
E(rm) = arithmetic mean of market returns
covariance cov (ri,rm) = sum [ri-E(ri))*(rm-E(rm))]/count(ri-E(ri))*count(rm-E(rm))
variance var(rm) = sum[(rm-E(rm))^2]/count(rm-E(rm))^2

About Beta

Standard beta is co-called levered, which means that it reflects the capital structure of the company (including the financial risk linked to the debt level). Unlevered beta (or ungeared beta) compares the risk of an unlevered company (i.e. with no debt in the capital structure) to the risk of the market. Unlevered beta is useful when comparing companies with different capital structures as it focuses on the equity risk. Unlevered beta is generally lower than the levered beta. However, unlevered beta could be higher than levered beta when the net debt is negative (meaning that the company has more cash than debt).
Many different betas can be calculated for a given stock. The main common variables that affect beta calculations are the time period, the reference date, the sampling frequency for closing prices and the reference index.
The calculation divides the covariance of the stock return with the market return by the variance of the market return. Beta is used very often for company valuation using the Discounted Cash Flows (DCF) method. The discount rate is calculated using the Weighted Average Cost of Capital (WACC). The WACC is essentially a blend of the cost of equity and the after-tax cost of debt. The cost of equity is usually calculated using the capital asset pricing model (CAPM), which defines the cost of equity as follows: re = rf + β × (rm - rf)
Where:
rf = Risk-free rate
β = Beta (levered)
(rm - rf) = Market risk premium.