

















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 RSquared 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 



































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






Cov_{ij}= covariance
between _{i} (the fund) and _{j} (the index) 




_{j}2= variance of the index 


















Use XL's
SLOPE or LINEST function to Calculate Beta 






























Download XL
File 

















www.AdvancedPortfolioSolutions.Com 
































































































