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-----Original Message-----
From: Chuck Rademacher [mailto:chuck_rademacher@xxxxxxxxxx]
Subject: [amibroker] Beta function added to AmiBroker Library
> I have just uploaded a function to calculate beta.
> Here is the description that I provided with that function:
[snip]
Chuck,
Thank you for you work.
Is it true that beta of a risky asset is calculated as bellow?
beta(i) = cov(i,M) / std.dev(M)^2 = corr(i,M) x (std.dev(i)/std.dev(M)
where:
cov(i,M) - covariance between stock i and the market portfolio (== index)
std.dev(i) - standard deviation of stock i
std.dev(M) - standard deviation of the market portfolio
corr(i,M) - correlation coefficient between stock i and the market portfolio
If it is true then beta can be calculated using pure AFL functions. Right?
Do we get the same results or there is a difference somewhere?
Regards,
Marek
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