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DATE S&P HD

20010131 3.46% 5.50%


20010228 -9.23% -11.83%
20010330 -6.42% 1.51%
20010430 7.68% 9.28%
20010531 0.51% 4.65%
20010629 -2.50% -5.48%
20010731 -1.08% 8.21%
20010831 -6.41% -8.70%
20010928 -8.17% -16.50%
20011031 1.81% -0.37%
20011130 7.52% 22.16%
20011231 0.76% 9.35%
20020131 -1.56% -1.80%
20020228 -2.08% -0.18%
20020328 3.67% -2.68%
20020430 -6.14% -4.61%
20020531 -0.91% -10.09%
20020628 -7.25% -11.78%
20020731 -7.90% -15.93%
20020830 0.49% 6.64%
20020930 -11.00% -20.59%
20021031 8.64% 10.65%
20021129 5.71% -8.59%
20021231 -6.03% -8.79%
20030131 -2.74% -12.99%
20030228 -1.70% 12.20%
20030331 0.84% 4.14%
20030430 8.10% 15.48%
20030530 5.09% 15.50%
20030630 1.13% 2.12%
20030731 1.62% -5.80%
20030829 1.79% 3.08%
20030930 -1.19% -0.75%
20031031 5.50% 16.39%
20031128 0.71% -0.84%
20031231 5.08% -3.26%
20040130 1.73% -0.06%
20040227 1.22% 2.37%
20040331 -1.64% 3.09%
20040430 -1.68% -5.81%
20040528 1.21% 2.07%
20040630 1.80% -1.77%
20040730 -3.43% -4.21%
20040831 0.23% 8.67%
20040930 0.94% 7.22%
20041029 1.40% 4.80%
20041130 3.86% 1.84%
20041231 3.25% 2.37%
20050131 -2.53% -3.46%
20050228 1.89% -3.01%
20050331 -1.91% -4.20%
20050429 -2.01% -7.51%
20050531 3.00% 11.25%
20050630 -0.01% -0.89%
20050729 3.60% 11.85%
20050831 -1.12% -7.10%
20050930 0.70% -5.41%
20051031 -1.77% 7.60%
20051130 3.52% 2.05%
20051230 -0.10% -3.11%

Std.Dev. 0.0426 0.0861


Variance 0.0018 0.0074
Covariance 0.0026
Correlation 0.7151
Beta 144.38%
Excel Instructions:
There are four ways that you can calculate a Beta using Excel. The first
is to use the "=slope" formula. In this formula, the X variable series is the
return on the market and the Y variable series if the return on HD.
This gives:
1.4438

A second alternative is to calculate the Beta directly as the covariance


between the two return series, divided by the variance of market returns.
Using the summary statistics at the bottom of the page, this gives:
1.4438

A third method is to use the full regression procedure in Excel. Go to


"Tools" - "Data Analysis" - "Regression" and click OK. Again, enter the
market return series as the X variable and the HD return series as the
Y variable. When you click OK, you should get full regression output
similar to that shown in the worksheet labelled "HD Regr Output".

Finally, you can create a regression Beta in Excel using the chart functions.
Remember that Beta is just the slope in a regression where market returns
are on the X axis and security returns (HD returns) are on the Y axis.
To create this type of graph, highlight the two columns of data, with market
returns on the left. After highlighting the return series, click on the chart
wizard icon (or choose "Insert" - "Chart"). Under chart types, select
"X-Y scatterplot" and click Next. Click Next twice more to get to step 4 of 4.
In step 4, select "as new sheet" and click finish. When the new chart
comes up, select the "Chart" tab at the top of the page, and then select
"Add Trendline". Select the "Options" tab, and click the buttons for
"display equation" and "display R square", then click OK. This should add
both a regression line and a regression equation to your chart. The results
should look similar to those shown in the worksheet labelled "HD Chart".
SUMMARY OUTPUT FOR HOME DEPOT
Regression Statistics
Multiple R 0.72
R Square 0.51
Adjusted R Square 0.5
Standard Error 0.06
Observations 60

ANOVA
df SS MS F Significance F
Regression 1 0.23 0.23 60.69 0
Residual 58 0.22 0
Total 59 0.44

Coefficients Standard Error t Stat P-value Lower 95.0% Upper 95.0%


Intercept 0 0.01 0.3 0.77 -0.01 0.02
X Variable 1 1.44 0.19 7.79 0 1.07 1.81

SUMMARY OUTPUT FOR HOME DEPOT:


(S&P Index, 60 months of data)

Regression Statistics
R Square 0.5113
Observations 60

Coefficients Standard Error t Stat P-value Lower 95.0% Upper 95.0%


Intercept 0.0023 0.0079 0.2969 0.7676 -0.0135 0.0182
Beta 1.4438 0.1853 7.7903 0.0000 1.0728 1.8148
Home Depot Beta Regression
25.00%

20.00%

15.00%
f(x) = 1.44x + 0
10.00% R² = 0.51

5.00%

0.00%

-5.00%

-10.00%

-15.00%

-20.00%

-25.00%
-15.00% -10.00% -5.00% 0.00% 5.00% 10.00%