beta~=1.16, rho~=0.71, vol ratio ~=1.65...

来源: 于 2025-08-18 15:48:43 [博客] [旧帖] [给我悄悄话] 本文已被阅读：次
  Cov 0.002534
  Var_s 0.005917
  Var_m 0.002175
  beta 1.165059
  rho 0.706338
annualized  sigma_s 26.65%
annualized  sigma_m 16.15%
  vol ratio 1.649435

 

5年月回报率数据，我懒了点没用dividend adjust