Std. Dev (Volatility) Annualized 11.2% 17.3% 10.0% 30.4% Std. Dev (Volatility) Annualized 10.8%
Market Beta 1.00 1.34 -0.05 0.94
ØBeta and R-Squared do not depend on the frequency (daily, weekly, monthly, or whatever)  
ØAll that matters is that the same time period is used consistently       STANDARD DEVIATION (annualized)  
Ø252 trading days in a year              
 
             
Ø52 weeks in a year                              
Ø12 months in a year                              
Where,              
BETA                
 
          = Greek letter sigma used to refer to standard deviation the square of which is variance  
          TR i = Monthly total return at time I          
         
 
=  Average monthly total return over n periods        
Where,         n= Number of periods            
         
*
i= beta of fund i
       
This Spreadsheet shows:
1. How to calculate Volatility (Standard Deviation of Returns)
2. …using
daily as well as weekly returns (over same year=2004)
3…also how to calculate a market model
BETA (note: with ^XAU = Gold Index, you see that a higher volatility does not mean a higher BETA...investor is paid for exposure to systematic not diversilfiable risk)
4. A
scattergram and a histogram of SPY returns
Covij= covariance between i (the fund) and j (the index)
j2= variance of the index
       
         
Use XL's SLOPE or LINEST function to Calculate Beta
Download XL File
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