How this calculator works
Estimate an asset's sensitivity to a benchmark by regressing aligned simple returns, with an intercept. Enter at least three positive price observations for each series, oldest first and on identical dates. Use prices adjusted consistently for dividends and splits if estimating total-return beta. A return table helps inspect the observations used.
Formula
Return at interval t = price(t) / price(t - 1) - 1. Beta = sum[(market return - market mean) × (asset return - asset mean)] / sum[(market return - market mean)^2]. Intercept = mean asset return - beta × mean market return.
Worked example
Benchmark prices 100, 110, 115.5 and 109.725 give returns 10%, 5% and -5%. Asset prices 100, 120, 132 and 118.8 give 20%, 10% and -10%, so beta is 2 and intercept is zero. A constant asset price against those varying benchmark returns gives beta 0.
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Frequently asked questions
How many prices can I enter?
Up to 500 aligned observations per list. Prices must be positive and the two lists must have equal length.
Does beta measure total risk?
No. It is sensitivity to this benchmark over this sample. A high R-squared means the linear fit explains more of the observed return variation.
Why do constant benchmark returns fail?
Without variation in the explanatory variable, the regression slope cannot be identified. Constant asset returns are allowed and have beta zero.