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I'm running a valuation of a multinational company listed on the AEX (Amsterdam Eurononext). The company has operations in Europe (70%), US (25%) and other (5%). I have historic stock data until from 2000.

In order to determine a risk profile I ran a regression of its returns against the AEX. As expected this yielded a beta <1.0 and an R-squared of < 0.5.

What would be a better index to run my regression against? Data does need to run back until at least 2000.

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If you want to use a more global index for your regression, you should consider these two:

EDIT: You might consider using global indices by other providers, for example, the S&P Global 1200. You can get 10 years of data from the link.

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  • $\begingroup$ Thanks, I was also thinking of MSCI World, but could not find time series data dating back to 2000. Any ideas? $\endgroup$ – Matthias Jan 29 '17 at 21:17
  • $\begingroup$ @Matthias, not sure if there is anything freeling available in the public domain. The closest thing I could find was the prices of some tracker ETFs, for e.g. quandl.com/data/LSE/…. However, most of these go back ~5 years only. $\endgroup$ – Comp_Warrior Jan 29 '17 at 22:43
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Matthias, I would create a bespoke index weighted on the percentages you mentioned above.

In that way you can be sure of capturing risk at the appropriate levels without overexposing your valuation to only one or if you use a global index, multiple markets with zero importance.

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