Finding Beta in specific timeframes?

Discussion in 'Automated Trading' started by xburbx, Jan 21, 2010.

  1. xburbx


    Anyone know an easier way to determine and quickly find beta for different symbols over specified timeframes?

    i am trying to calculate beta for 50 different symbols in 3 different periods.

    an example would be DOW from dec1 99- June 1 2000.

    How would I do this another way besides using the monthly closes off yahoo historical data and plug it into an excel sheet?
  2. p.narayan


    Bloomberg have this function with other variables when working out a Beta like frequency of returns - if you want to know more about the in and outs of Beta calculation i would suggest reading a paper called estimating the cost of capital (I think) by Aswath Damodaran.

  3. You can still do it in excel, just set up a macro that will automatically pull the data from yahoo, and then run the regression analysis for you. All you're after is the regression X-variable.