Equities · Risk
Beta & regression
Regress a name against a benchmark — beta, alpha, R² and the risk decomposition.
1Y beta vs SPY
1.03
more volatile than market
Annualized alpha
+5.9%
regression intercept
R²
49%
variance explained by market
Correlation
0.70
1y · as of 2026-06-15
Daily return scatter · AAPL (y) vs SPY (x), 1y
Beta by window
| Window | β | α (ann.) | R² | ρ |
|---|---|---|---|---|
| 3M (63d) | 1.12 | -6.9% | 56% | 0.75 |
| 1Y (69d) | 1.03 | +5.9% | 49% | 0.70 |
| 2Y (69d) | 1.03 | +5.9% | 49% | 0.70 |
| 5Y (69d) | 1.03 | +5.9% | 49% | 0.70 |
Volatility decomposition (1y, annualized)
- AAPL total vol
- 32.6%
- SPY vol
- 22.2%
- Idiosyncratic (residual) vol
- 23.2%
OLS of daily returns: β = slope, α = intercept (annualized), R² = variance explained by the benchmark, ρ = correlation. Idiosyncratic vol is the residual (stock-specific) risk. Source: prices_daily. Educational.