Beta Calculator (Stock Volatility)

OLS regression beta is computed as the slope from regressing stock returns on market returns. Numerically this equals Cov(stock, market) divided by Var(market) when both series use the same return frequency and sample.

The levered/unlevered conversion uses the standard tax-adjusted adjustment (Hamada-style): unlevered_beta = levered_beta / (1 + (1 - tax_rate) * D/E), and the reverse to relever. Use market values for equity and debt where possible.

Portfolio beta is a weighted average of constituent betas: portfolio_beta = Σ weight_i × beta_i. Ensure weights are in decimal form and that the same beta definitions (levered/unlevered) are used across holdings.

Select the method that matches the data you have. For time-series-based OLS, ensure consistent return frequency and matching sample periods. For capital structure adjustments, use market-value D/E and a recent marginal tax rate.

All outputs are estimates. Validate with out-of-sample checks, multiple lookback periods, and sensitivity analysis before acting on results.

Example 1: Given covariance = 0.0005 and market variance = 0.0004, regression beta = 0.0005 / 0.0004 = 1.25.

Example 2: For a levered beta of 1.2, D/E = 0.5 and tax rate 21%: unlevered = 1.2 / (1 + 0.79*0.5) ≈ 0.94.

Example 3: Portfolio with weights [0.5,0.5] and betas [1.1,0.9] yields portfolio beta = 0.5*1.1 + 0.5*0.9 = 1.0.