Measure risk sensitivity and manager skill with confidence. Test returns against benchmarks using clear statistics. Visualize regression, export reports, and interpret results with ease.
| Period | Asset Return (%) | Market Return (%) |
|---|---|---|
| 1 | 1.8 | 1.2 |
| 2 | 2.4 | 1.9 |
| 3 | -0.6 | -0.4 |
| 4 | 3.1 | 2.4 |
| 5 | 1.2 | 0.9 |
| 6 | 2.0 | 1.5 |
| 7 | -1.1 | -0.8 |
| 8 | 2.8 | 2.1 |
This sample helps you test the calculator quickly before entering your own series.
Beta measures sensitivity to benchmark moves:
Beta = Covariance(Asset, Market) / Variance(Market)
Jensen Alpha measures risk-adjusted excess performance:
Alpha = Rp − [Rf + Beta × (Rm − Rf)]
Regression Intercept is the fitted constant from the return regression:
Intercept = Average Asset Return − Beta × Average Market Return
Correlation shows the strength of co-movement:
Correlation = Covariance(Asset, Market) / [StdDev(Asset) × StdDev(Market)]
R-Squared estimates how much asset variation the benchmark explains:
R² = Correlation²
In this calculator, risk-free rate is converted into a period rate by dividing the annual rate by the selected periods per year.
Beta estimates how strongly an asset reacts to benchmark movements. A beta above 1 suggests greater sensitivity, below 1 suggests lower sensitivity, and a negative beta suggests inverse movement.
Alpha is the return left after adjusting for benchmark risk and the risk-free rate. Positive alpha suggests outperformance beyond CAPM expectations, while negative alpha suggests underperformance.
Each asset return must match the same time period for the benchmark return. Misaligned data breaks covariance, beta, correlation, and alpha calculations.
Any frequency works if both series use the same periods. Set periods per year correctly so annualized values and period risk-free conversions remain meaningful.
Jensen alpha compares actual average return against the CAPM expected return. It focuses on skill or unexplained performance after adjusting for systematic market exposure.
Beta alone shows slope, not fit quality. Correlation and R-squared help you judge how tightly the asset historically tracked the benchmark relationship.
Not always. Higher beta means stronger market sensitivity, which can help in rising markets but can also deepen losses during declines. Suitability depends on strategy and risk tolerance.
Yes. After calculation, use the CSV button for spreadsheet analysis or the PDF button for a portable report you can save or share.
Important Note: All the Calculators listed in this site are for educational purpose only and we do not guarentee the accuracy of results. Please do consult with other sources as well.