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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
20050531
20050630
20050729
20050831
20050930
20051031
20051130
20051230
Std.Dev.
Variance
Covariance
Correlation

-2.01%
3.00%
-0.01%
3.60%
-1.12%
0.70%
-1.77%
3.52%
-0.10%

-7.51%
11.25%
-0.89%
11.85%
-7.10%
-5.41%
7.60%
2.05%
-3.11%

0.0426
0.0018
0.0026
0.7151

0.0861
0.0074

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
0.715071612
R Square
0.51132741
Adjusted R Square 0.50290202
Standard Error
0.061222219
Observations
60
ANOVA
df
Regression
Residual
Total

Intercept
X Variable 1

1
58
59

SS
MS
F
Significance F
0.227471618 0.22747162 60.6888751 1.37675E-10
0.217393284 0.00374816
0.444864902

Coefficients Standard Error


t Stat
P-value
Lower 95.0% Upper 95.0%
0.002346955 0.007903755 0.29694172 0.76757185 -0.013474129 0.018168039
1.443782493 0.185330641 7.79030648 1.3768E-10 1.072802911 1.814762074

SUMMARY OUTPUT FOR HOME DEPOT:


(S&P Index, 60 months of data)
Regression Statistics
R Square
0.5113
Observations
60

Intercept
Beta

Coefficients Standard Error


0.0023
0.0079
1.4438
0.1853

t Stat
0.2969
7.7903

P-value
Lower 95.0% Upper 95.0%
0.7676
-0.0135
0.0182
0.0000
1.0728
1.8148

Home Depot Beta Regression


25.00%

y = 1.4438x + 0.0023
R = 0.5113

20.00%

15.00%

10.00%

5.00%

-15.00%

-10.00%

-5.00%

0.00%
0.00%
-5.00%

-10.00%

-15.00%

-20.00%

-25.00%

5.00%

10.00%