Finance & Investment · Risk & Portfolio
Beta & Correlation Calculator
Paste a stock's or fund's periodic returns next to the market index's returns to calculate beta (sensitivity to the market), correlation, R-squared, and Jensen's alpha — the return beyond what its market risk explains.
Your inputs
Quick start — try a typical case
Same periods for both, in %, oldest first.
Your result Live
Beta
1.15
A 1 % market move has come with about 1.15 % in this investment — moves roughly with the market
- Correlation with the Market
- 0.997
- R-squared
- 99.4% of its moves explained by the market
- Jensen's Alpha (yearly)
- 0.42%
- Return (annualised)
- 8.51% vs market 7.89%
- Volatility (annualised)
- 7.91% vs market 6.89%
How this is calculated
β = Cov(asset, market) ÷ Var(market) · ρ = Cov ÷ (σₐ σₘ) · α = Rₐ − [R_f + β (Rₘ − R_f)]
- Rₐ, Rₘ
- Annualised returns of the investment and the market
- R_f
- Risk-free rate
Beta measures how much an investment tends to move when the market moves: 1.0 moves with the market, 1.5 swings 50 % more, 0.5 half as much. R-squared says how much of its movement the market explains — beta is only meaningful when R-squared is reasonably high. Alpha is the return left over after accounting for market risk (CAPM).
Assumptions & sources
- Sample covariance and variance (n − 1); returns in % for matching periods.
- Alpha uses compounded annual returns and the CAPM expected return.
- 1Capital Asset Prices: A Theory of Market Equilibrium (Sharpe, 1964) — Journal of Finance
- 2Investments (Bodie, Kane & Marcus), chapters on returns, compounding and the time value of money — McGraw-Hill
Calculator ID FIN-RISK-BETA-001 · version 1.0.0
Common questions
How many data points do I need?
At least 24–36 monthly returns for a stable beta; with fewer, one unusual month can move it a lot.
Which market index should I use?
The one that best represents the investment's market — e.g. Nifty 50 or Sensex for large Indian stocks, a broader index for mid and small caps.