Beta & Alpha Calculator
Estimate beta, Jensen's alpha, R² and correlation from your own asset and market returns. Educational only, not trading or investment advice.
Quick answer
Beta is an asset's sensitivity to the market: covariance of asset and market returns divided by market variance. Jensen's alpha is the average return in excess of what beta and the risk-free rate predict.
Beta & Alpha Calculator
Separate with commas, spaces or new lines.
Same number of values as the asset.
Same period as the returns.
12 monthly, 52 weekly, 252 daily.
Beta
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Jensen's Alpha (annualised)
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Alpha per Period
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R²
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Correlation
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Observations
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Educational only. This is not trading or investment advice, and past returns do not predict future returns.
Return Pairs
| # | Asset (%) | Market (%) | Asset excess (%) | Market excess (%) |
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Assumptions & method
- Beta = Cov(asset, market) ÷ Var(market), using sample (n − 1) statistics on the raw periodic returns.
- Jensen's alpha per period = mean(asset − rf) − β × mean(market − rf). Annualised alpha = alpha per period × periods per year (simple scaling, no compounding).
- Correlation is the Pearson coefficient; R² = correlation². Returns are simple periodic percentages, one pair per period, with a constant risk-free rate.
- At least 3 pairs are required and the market returns must not all be equal. Up to 500 pairs are accepted.
- Not included: standard errors or significance tests, costs, taxes or non-linear effects. Results describe your sample only and are not trading or investment advice.
Results are estimates based on the figures you enter. They are not guarantees and not financial advice.
Beta and alpha from a return history
Beta measures how strongly an asset has moved with the market; alpha measures what it earned beyond that. Paste matching periodic returns for the asset and the market and the calculator computes beta as covariance divided by market variance, then Jensen's alpha from the average excess returns, using the risk-free rate you enter for each period. Alpha is annualised by multiplying by the number of periods per year. R² and correlation show how well the market explains the asset. All of this describes the past sample you supply, and estimates from short samples can be very unstable.