Calculate a stock's beta coefficient, alpha, R-squared, and correlation from historical returns. Includes unlevered beta and CAPM expected return.
Beta is one of the most important metrics in finance. It measures a stock's sensitivity to market movements — how much a stock tends to move for every 1% change in the overall market. A beta of 1.0 means the stock moves roughly in lockstep with the market. A beta above 1.0 indicates higher volatility (and potentially higher returns), while a beta below 1.0 suggests lower volatility.
Understanding beta is essential for portfolio construction, risk management, and valuation. Investors use beta to determine expected returns through the Capital Asset Pricing Model (CAPM), assess diversification benefits, and gauge whether individual stocks align with their risk tolerance.
This calculator computes beta from raw return data by performing a covariance/variance regression against a market benchmark. It also calculates alpha (outperformance), correlation, R-squared, and the unlevered beta for companies with debt. The return-pair table and risk gauge visualize the relationship between the stock and the market.
Beta is widely quoted but often misunderstood. This calculator lets you compute beta from your own data rather than relying on third-party providers. You can verify reported betas, analyze different time periods, and understand the statistical strength of the relationship through R-squared and correlation. Keep these notes focused on your operational context.
β = Cov(Rₛ, Rₘ) / Var(Rₘ) α = R̄ₛ − [Rf + β × (R̄ₘ − Rf)] Unlevered β = β / [1 + (1 − Tax) × D/E] CAPM Expected Return = Rf + β × Market Risk Premium
Result: β ≈ 1.22
The stock has a beta of about 1.22, meaning it moves ~22% more than the market. With a risk-free rate of 3% and market premium of 7%, the CAPM expected return is 3% + 1.22 × 7% = 11.54%.
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A beta of 1 means the stock moves in line with the market. If the market goes up 10%, the stock is expected to go up about 10%.
Neither inherently. High beta means more volatility, which means higher potential returns but also larger drawdowns. It depends on your risk tolerance.
Unlevered beta removes the effect of financial leverage (debt). It reflects the business risk alone, making it useful for comparing companies with different capital structures.
Generally, 30+ monthly returns (2.5 years) give a statistically meaningful beta. Fewer points increase estimation error.
R-squared tells you what percentage of the stock's variance is explained by market movements. A low R-squared means beta is a weak predictor of the stock's behavior.
Yes. A negative beta means the stock tends to move opposite to the market. Gold stocks and some hedge fund strategies sometimes exhibit negative beta.