Standard deviation of returns
GOOGLEFINANCE("TSE:H","price",DATE(2022,1,1),DATE(2022,12,31),"WEEKLY")
| Date | Close | Difference | Return | Logarithmic Return |
|---|---|---|---|---|
| 1/7/2022 16:00:00 | 31.99 | |||
| 1/14/2022 16:00:00 | 31.67 | -0.32 | -0.010003 | -0.010053 |
| 1/21/2022 16:00:00 | 31.87 | 0.20 | 0.006315 | 0.006295 |
| 1/28/2022 16:00:00 | 32.48 | 0.61 | 0.019140 | 0.018959 |
| 2/4/2022 16:00:00 | 32.68 | 0.20 | 0.006158 | 0.006139 |
| 2/11/2022 16:00:00 | 32.29 | -0.39 | -0.011934 | -0.012006 |
| 2/18/2022 16:00:00 | 31.27 | -1.02 | -0.031589 | -0.032098 |
| 2/25/2022 16:00:00 | 31.24 | -0.03 | -0.000959 | -0.000960 |
| 3/4/2022 16:00:00 | 32.63 | 1.39 | 0.044494 | 0.043533 |
| 3/11/2022 16:00:00 | 32.79 | 0.16 | 0.004903 | 0.004891 |
| 3/18/2022 16:00:00 | 32.54 | -0.25 | -0.007624 | -0.007653 |
| 3/25/2022 16:00:00 | 32.68 | 0.14 | 0.004302 | 0.004293 |
| 4/1/2022 16:00:00 | 34.20 | 1.52 | 0.046512 | 0.045462 |
| 4/8/2022 16:00:00 | 35.43 | 1.23 | 0.035965 | 0.035333 |
| 4/14/2022 16:00:00 | 34.71 | -0.72 | -0.020322 | -0.020531 |
| 4/22/2022 16:00:00 | 35.68 | 0.97 | 0.027946 | 0.027562 |
| 4/29/2022 16:00:00 | 34.73 | -0.95 | -0.026626 | -0.026986 |
| 5/6/2022 16:00:00 | 34.90 | 0.17 | 0.004895 | 0.004883 |
| 5/13/2022 16:00:00 | 35.49 | 0.59 | 0.016905 | 0.016764 |
| 5/20/2022 16:00:00 | 35.46 | -0.03 | -0.000845 | -0.000846 |
| 5/27/2022 16:00:00 | 35.32 | -0.14 | -0.003948 | -0.003956 |
| 6/3/2022 16:00:00 | 35.40 | 0.08 | 0.002265 | 0.002262 |
| 6/10/2022 16:00:00 | 34.51 | -0.89 | -0.025141 | -0.025463 |
| 6/17/2022 16:00:00 | 32.64 | -1.87 | -0.054187 | -0.055711 |
| 6/24/2022 16:00:00 | 33.87 | 1.23 | 0.037684 | 0.036991 |
| 6/30/2022 16:00:00 | 34.61 | 0.74 | 0.021848 | 0.021613 |
| 7/8/2022 16:00:00 | 34.05 | -0.56 | -0.016180 | -0.016313 |
| 7/15/2022 16:00:00 | 35.07 | 1.02 | 0.029956 | 0.029516 |
| 7/22/2022 16:00:00 | 34.86 | -0.21 | -0.005988 | -0.006006 |
| 7/29/2022 16:00:00 | 35.75 | 0.89 | 0.025531 | 0.025210 |
| 8/5/2022 16:00:00 | 35.62 | -0.13 | -0.003636 | -0.003643 |
| 8/12/2022 16:00:00 | 35.29 | -0.33 | -0.009264 | -0.009308 |
| 8/19/2022 16:00:00 | 36.05 | 0.76 | 0.021536 | 0.021307 |
| 8/26/2022 16:00:00 | 35.36 | -0.69 | -0.019140 | -0.019326 |
| 9/2/2022 16:00:00 | 35.40 | 0.04 | 0.001131 | 0.001131 |
| 9/9/2022 16:00:00 | 35.48 | 0.08 | 0.002260 | 0.002257 |
| 9/16/2022 16:00:00 | 34.66 | -0.82 | -0.023112 | -0.023383 |
| 9/23/2022 16:00:00 | 34.78 | 0.12 | 0.003462 | 0.003456 |
| 9/30/2022 16:00:00 | 33.78 | -1.00 | -0.028752 | -0.029174 |
| 10/7/2022 16:00:00 | 32.51 | -1.27 | -0.037596 | -0.038321 |
| 10/14/2022 16:00:00 | 31.01 | -1.50 | -0.046140 | -0.047238 |
| 10/21/2022 16:00:00 | 31.95 | 0.94 | 0.030313 | 0.029862 |
| 10/28/2022 16:00:00 | 34.04 | 2.09 | 0.065415 | 0.063364 |
| 11/4/2022 16:00:00 | 33.86 | -0.18 | -0.005288 | -0.005302 |
| 11/11/2022 16:00:00 | 33.96 | 0.10 | 0.002953 | 0.002949 |
| 11/18/2022 16:00:00 | 35.51 | 1.55 | 0.045642 | 0.044631 |
| 11/25/2022 16:00:00 | 36.83 | 1.32 | 0.037173 | 0.036498 |
| 12/2/2022 16:00:00 | 37.81 | 0.98 | 0.026609 | 0.026261 |
| 12/9/2022 16:00:00 | 37.28 | -0.53 | -0.014017 | -0.014117 |
| 12/16/2022 16:00:00 | 37.02 | -0.26 | -0.006974 | -0.006999 |
| 12/23/2022 16:00:00 | 36.65 | -0.37 | -0.009995 | -0.010045 |
| 12/30/2022 16:00:00 | 36.27 | -0.38 | -0.010368 | -0.010422 |
Standard deviation of weekly returns of TSE:H is 0.025332
Annualized standard deviation of TSE:H is
\[\sigma_{\textrm{TSE:H}}= 0.025332 \cdot \sqrt{52} = 0.182675\]GOOGLEFINANCE("OSPTX","price",DATE(2022,1,1),DATE(2022,12,31),"WEEKLY")
| Date | Close | Difference | Return | Logarithmic Return |
|---|---|---|---|---|
| 1/7/2022 16:00:00 | 21084.45 | |||
| 1/14/2022 16:00:00 | 21357.56 | 273.11 | 0.012953 | 0.012870 |
| 1/21/2022 16:00:00 | 20621.39 | -736.17 | -0.034469 | -0.035077 |
| 1/28/2022 16:00:00 | 20741.75 | 120.36 | 0.005837 | 0.005820 |
| 2/4/2022 16:00:00 | 21271.85 | 530.10 | 0.025557 | 0.025236 |
| 2/11/2022 16:00:00 | 21548.84 | 276.99 | 0.013021 | 0.012937 |
| 2/18/2022 16:00:00 | 21008.20 | -540.64 | -0.025089 | -0.025409 |
| 2/25/2022 16:00:00 | 21106.00 | 97.80 | 0.004655 | 0.004645 |
| 3/4/2022 16:00:00 | 21402.43 | 296.43 | 0.014045 | 0.013947 |
| 3/11/2022 16:00:00 | 21461.83 | 59.40 | 0.002775 | 0.002772 |
| 3/18/2022 16:00:00 | 21818.47 | 356.64 | 0.016617 | 0.016481 |
| 3/25/2022 16:00:00 | 22005.94 | 187.47 | 0.008592 | 0.008556 |
| 4/1/2022 16:00:00 | 21952.95 | -52.99 | -0.002408 | -0.002411 |
| 4/8/2022 16:00:00 | 21874.35 | -78.60 | -0.003580 | -0.003587 |
| 4/14/2022 16:00:00 | 21855.70 | -18.65 | -0.000853 | -0.000853 |
| 4/22/2022 16:00:00 | 21186.38 | -669.32 | -0.030625 | -0.031103 |
| 4/29/2022 16:00:00 | 20762.00 | -424.38 | -0.020031 | -0.020234 |
| 5/6/2022 16:00:00 | 20633.28 | -128.72 | -0.006200 | -0.006219 |
| 5/13/2022 16:00:00 | 20099.81 | -533.47 | -0.025855 | -0.026195 |
| 5/20/2022 16:00:00 | 20197.61 | 97.80 | 0.004866 | 0.004854 |
| 5/27/2022 16:00:00 | 20748.58 | 550.97 | 0.027279 | 0.026914 |
| 6/3/2022 16:00:00 | 20790.73 | 42.15 | 0.002031 | 0.002029 |
| 6/10/2022 16:00:00 | 20274.82 | -515.91 | -0.024814 | -0.025127 |
| 6/17/2022 16:00:00 | 18930.48 | -1344.34 | -0.066306 | -0.068606 |
| 6/24/2022 16:00:00 | 19062.91 | 132.43 | 0.006996 | 0.006971 |
| 6/30/2022 16:00:00 | 18861.36 | -201.55 | -0.010573 | -0.010629 |
| 7/8/2022 16:00:00 | 19022.86 | 161.50 | 0.008562 | 0.008526 |
| 7/15/2022 16:00:00 | 18394.45 | -628.41 | -0.033034 | -0.033592 |
| 7/22/2022 16:00:00 | 18982.92 | 588.47 | 0.031992 | 0.031491 |
| 7/29/2022 16:00:00 | 19692.92 | 710.00 | 0.037402 | 0.036720 |
| 8/5/2022 16:00:00 | 19620.13 | -72.79 | -0.003696 | -0.003703 |
| 8/12/2022 16:00:00 | 20179.81 | 559.68 | 0.028526 | 0.028127 |
| 8/19/2022 16:00:00 | 20111.38 | -68.43 | -0.003391 | -0.003397 |
| 8/26/2022 16:00:00 | 19873.29 | -238.09 | -0.011839 | -0.011909 |
| 9/2/2022 16:00:00 | 19270.85 | -602.44 | -0.030314 | -0.030783 |
| 9/9/2022 16:00:00 | 19773.34 | 502.49 | 0.026075 | 0.025741 |
| 9/16/2022 16:00:00 | 19385.88 | -387.46 | -0.019595 | -0.019790 |
| 9/23/2022 16:00:00 | 18480.98 | -904.90 | -0.046678 | -0.047803 |
| 9/30/2022 16:00:00 | 18444.22 | -36.76 | -0.001989 | -0.001991 |
| 10/7/2022 16:00:00 | 18583.13 | 138.91 | 0.007531 | 0.007503 |
| 10/14/2022 16:00:00 | 18326.35 | -256.78 | -0.013818 | -0.013914 |
| 10/21/2022 16:00:00 | 18860.95 | 534.60 | 0.029171 | 0.028754 |
| 10/28/2022 16:00:00 | 19471.19 | 610.24 | 0.032355 | 0.031842 |
| 11/4/2022 16:00:00 | 19449.81 | -21.38 | -0.001098 | -0.001099 |
| 11/11/2022 16:00:00 | 20111.51 | 661.70 | 0.034021 | 0.033455 |
| 11/18/2022 16:00:00 | 19980.91 | -130.60 | -0.006494 | -0.006515 |
| 11/25/2022 16:00:00 | 20383.77 | 402.86 | 0.020162 | 0.019962 |
| 12/2/2022 16:00:00 | 20485.66 | 101.89 | 0.004999 | 0.004986 |
| 12/9/2022 16:00:00 | 19947.07 | -538.59 | -0.026291 | -0.026643 |
| 12/16/2022 16:00:00 | 19443.28 | -503.79 | -0.025256 | -0.025581 |
| 12/23/2022 16:00:00 | 19506.65 | 63.37 | 0.003259 | 0.003254 |
| 12/30/2022 16:00:00 | 19384.92 | -121.73 | -0.006240 | -0.006260 |
Standard deviation of weekly returns of OSPTX is 0.022458
Annualized standard deviation of OSPTX is
\[\sigma_{\textrm{OSPTX}}= 0.022458 \cdot \sqrt{52} = 0.161945\]GOOGLEFINANCE("INDEXSP:.INX","price",DATE(2022,1,1),DATE(2022,12,31),"WEEKLY")
| Date | Close | Difference | Return | Logarithmic Return |
|---|---|---|---|---|
| 1/7/2022 16:00:00 | 4677.03 | |||
| 1/14/2022 16:00:00 | 4662.85 | -14.18 | -0.003032 | -0.003036 |
| 1/21/2022 16:00:00 | 4397.94 | -264.91 | -0.056813 | -0.058491 |
| 1/28/2022 16:00:00 | 4431.85 | 33.91 | 0.007710 | 0.007681 |
| 2/4/2022 16:00:00 | 4500.53 | 68.68 | 0.015497 | 0.015378 |
| 2/11/2022 16:00:00 | 4418.64 | -81.89 | -0.018196 | -0.018363 |
| 2/18/2022 16:00:00 | 4348.87 | -69.77 | -0.015790 | -0.015916 |
| 2/25/2022 16:00:00 | 4384.65 | 35.78 | 0.008227 | 0.008194 |
| 3/4/2022 16:00:00 | 4328.87 | -55.78 | -0.012722 | -0.012803 |
| 3/11/2022 16:00:00 | 4204.31 | -124.56 | -0.028774 | -0.029196 |
| 3/18/2022 16:00:00 | 4463.12 | 258.81 | 0.061558 | 0.059738 |
| 3/25/2022 16:00:00 | 4543.06 | 79.94 | 0.017911 | 0.017753 |
| 4/1/2022 16:00:00 | 4545.86 | 2.80 | 0.000616 | 0.000616 |
| 4/8/2022 16:00:00 | 4488.28 | -57.58 | -0.012666 | -0.012747 |
| 4/14/2022 16:00:00 | 4392.59 | -95.69 | -0.021320 | -0.021551 |
| 4/22/2022 16:00:00 | 4271.78 | -120.81 | -0.027503 | -0.027888 |
| 4/29/2022 16:00:00 | 4131.93 | -139.85 | -0.032738 | -0.033286 |
| 5/6/2022 16:00:00 | 4123.34 | -8.59 | -0.002079 | -0.002081 |
| 5/13/2022 16:00:00 | 4023.89 | -99.45 | -0.024119 | -0.024414 |
| 5/20/2022 16:00:00 | 3901.36 | -122.53 | -0.030451 | -0.030924 |
| 5/27/2022 16:00:00 | 4158.24 | 256.88 | 0.065844 | 0.063767 |
| 6/3/2022 16:00:00 | 4108.54 | -49.70 | -0.011952 | -0.012024 |
| 6/10/2022 16:00:00 | 3900.86 | -207.68 | -0.050548 | -0.051871 |
| 6/17/2022 16:00:00 | 3674.84 | -226.02 | -0.057941 | -0.059687 |
| 6/24/2022 16:00:00 | 3911.74 | 236.90 | 0.064465 | 0.062473 |
| 7/1/2022 16:00:00 | 3825.33 | -86.41 | -0.022090 | -0.022338 |
| 7/8/2022 16:00:00 | 3899.38 | 74.05 | 0.019358 | 0.019173 |
| 7/15/2022 16:00:00 | 3863.16 | -36.22 | -0.009289 | -0.009332 |
| 7/22/2022 16:00:00 | 3961.63 | 98.47 | 0.025489 | 0.025170 |
| 7/29/2022 16:00:00 | 4130.29 | 168.66 | 0.042573 | 0.041692 |
| 8/5/2022 16:00:00 | 4145.19 | 14.90 | 0.003607 | 0.003601 |
| 8/12/2022 16:00:00 | 4280.15 | 134.96 | 0.032558 | 0.032039 |
| 8/19/2022 16:00:00 | 4228.48 | -51.67 | -0.012072 | -0.012145 |
| 8/26/2022 16:00:00 | 4057.66 | -170.82 | -0.040397 | -0.041236 |
| 9/2/2022 16:00:00 | 3924.26 | -133.40 | -0.032876 | -0.033429 |
| 9/9/2022 16:00:00 | 4067.36 | 143.10 | 0.036465 | 0.035816 |
| 9/16/2022 16:00:00 | 3873.33 | -194.03 | -0.047704 | -0.048880 |
| 9/23/2022 16:00:00 | 3693.23 | -180.10 | -0.046497 | -0.047613 |
| 9/30/2022 16:00:00 | 3585.62 | -107.61 | -0.029137 | -0.029570 |
| 10/7/2022 16:00:00 | 3639.66 | 54.04 | 0.015071 | 0.014959 |
| 10/14/2022 16:00:00 | 3583.07 | -56.59 | -0.015548 | -0.015670 |
| 10/21/2022 16:00:00 | 3752.75 | 169.68 | 0.047356 | 0.046269 |
| 10/28/2022 16:00:00 | 3901.06 | 148.31 | 0.039520 | 0.038759 |
| 11/4/2022 16:00:00 | 3770.55 | -130.51 | -0.033455 | -0.034027 |
| 11/11/2022 16:00:00 | 3992.93 | 222.38 | 0.058978 | 0.057304 |
| 11/18/2022 16:00:00 | 3965.34 | -27.59 | -0.006910 | -0.006934 |
| 11/25/2022 13:00:00 | 4026.12 | 60.78 | 0.015328 | 0.015212 |
| 12/2/2022 16:00:00 | 4071.70 | 45.58 | 0.011321 | 0.011257 |
| 12/9/2022 16:00:00 | 3934.38 | -137.32 | -0.033725 | -0.034307 |
| 12/16/2022 16:00:00 | 3852.36 | -82.02 | -0.020847 | -0.021067 |
| 12/23/2022 16:00:00 | 3844.82 | -7.54 | -0.001957 | -0.001959 |
| 12/30/2022 16:00:00 | 3839.50 | -5.32 | -0.001384 | -0.001385 |
Standard deviation of weekly returns of INDEXSP is 0.032259
Annualized standard deviation of INDEXSP is
\[\sigma_{\textrm{INDEXSP}}= 0.032259 \cdot \sqrt{52} = 0.232624\]Correlation of weekly returns of TSE:H and OSPTX is
\[\rho_{\textrm{TSE:H,OSPTX}} = 0.315180.\]Correlation of weekly returns of TSE:H and INDEXSP is
\[\rho_{\textrm{TSE:H,INDEXSP}} = 0.339743.\]Using OSPTX as the market,
\[\beta_{\textrm{TSE:H};\textrm{OSPTX}} = \dfrac{\sigma_{\textrm{TSE:H}} \cdot \rho_{\textrm{TSE:H,OSPTX}}}{\sigma_{\textrm{OSPTX}}} = 0.355525\]Using INDEXSP as the market,
\[\beta_{\textrm{TSE:H};\textrm{INDEXSP}} = \dfrac{\sigma_{\textrm{TSE:H}} \cdot \rho_{\textrm{TSE:H,INDEXSP}}}{\sigma_{\textrm{INDEXSP}}} = 0.266793\]