Beta calculator
Beta calculator: paste paired asset and market return series, or supply the correlation and standard deviations, to get beta, Jensen’s alpha, the correlation, R², covariance and annualised idiosyncratic volatility.
Runs in your browserEvery computation happens in your browser — your data never leaves this device.
Return series and parameters
Returns are entered as percentages (2 means 2%). Standard deviations and covariances use the sample convention (divide by n − 1) and daily data is annualised over 252 periods.
Beta and alpha
40.511.96%23.57%0.68030.46290.0001500.0002921.29%1.71%4.47%5.92%3.28%42.00%33.00%What this tool does
- Measure a stock’s beta against an index to see whether it is more aggressive or more defensive than the market.
- Read beta together with R²: a high beta with a low R² means the swings come from company news rather than the market.
- Add Jensen’s alpha to check whether the stock earns anything beyond the return its systematic risk deserves.
- When a report only gives you a correlation and standard deviations, use the statistics mode to back out the beta.
Example
Input
Asset returns 2, 3, 5, 4 (%) and market returns 1, 2, 3, 5 (%), monthly, annual risk-free rate 3%
Output
Beta 0.51, alpha per period 1.96%, annualised alpha 23.57%, correlation 0.6803, R² 0.4629, covariance 0.000150, asset annualised volatility 4.47%
Beta = covariance 0.000150 ÷ market variance 0.000292 ≈ 0.51, so a 1% market move implies roughly a 0.51% move in this asset on average.
Frequently asked questions
What do betas above and below 1 mean?
Beta measures sensitivity to market moves: above 1 is more aggressive (it amplifies the market), below 1 is more defensive, and 1 tracks the index. A negative beta means it moves against the market, which usually points to hedges or counter-cyclical businesses.
Why look at R² as well?
Beta is only meaningful when the market explains the asset’s variation. R² = ρ² is the share of that variation explained by the market. When R² is 0.1, a beta of 0.8 is mostly fitting noise and is a poor basis for risk forecasts.
Does a positive Jensen’s alpha prove skill?
No. Alpha is what remains after subtracting the risk-free rate and the market return the beta earns you, and over a short window it can come from luck, sector exposure or risk factors the model ignores. Judging skill needs longer samples, multi-factor models and significance tests.
Which sample window and frequency should I use?
Practitioners often estimate beta from two to five years of monthly data: too short is noisy, too long mixes in a business that has since changed. Daily data gives more points but is dominated by short-term liquidity effects and amplifies noise. Whatever you pick, compare assets on the same frequency and window.
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