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

Cov_ij= covariance between _i (the fund) and _j (the index)

_j2= variance of the index

Use XL's SLOPE or LINEST function to Calculate Beta