Market model: index and stock returns generator

dt 0.083333
Expected return 8% Alpha 6% 10%
Standard deviation 20% TrueBeta 0.50 1.50
StDevRes 10% 20%
StDev 14.14% 36.06%
EstBeta 0.41 1.69

Date Rm RA RB
1 -1.39% 1.63% -5.91%
2 -9.25% -2.76% -15.38%
3 -1.65% 2.90% -3.42%
4 4.00% 2.88% 16.63%
5 1.57% 1.05% -8.74%
6 5.55% 3.60% 3.32%
7 7.90% 3.90% 8.33%
8 -2.01% -4.17% -4.47%
9 -0.08% 1.11% 6.61%
10 -5.68% -2.02% -16.32%
11 -7.42% -0.33% -17.30%
12 2.25% 4.12% -1.46%
 A B C D E F G H I
1 Beta Calculation - monthly data
2 Market A B
3 Mean -0.06% 0.46% 0.42% D3. =AVERAGE(D12:D23)
4 StDev 6.32% 4.57% 11.26% D4. =STDEV(D12:D23)
5 Correl 85.58% 72.71% D5. =CORREL(D12:D23,$B$12:$B$23)
6 R² 73.24% 52.87% D6. =D5^2
7 Beta 1 0.62 1.29 D7. =SLOPE(D12:D23,$B$12:$B$23)
8 Intercept 0 0.50% 0.50% D8. =INTERCEPT(D12:D23,$B$12:$B$23)
9
10 Data
11 Date Rm RA RB
12 1 -0.77% 1.36% 2.89%
13 2 -0.17% -0.03% 7.90%
14 3 -14.53% -8.21% -23.78%
15 4 2.20% 4.83% 14.69%
16 5 9.17% 4.80% 7.94%
17 6 0.33% 0.93% -0.25%
18 7 0.93% 0.28% -6.63%
19 8 5.38% 6.23% 3.58%
20 9 2.91% 3.27% 4.28%
21 10 2.80% 2.84% -8.31%
22 11 -9.62% -5.26% -11.54%
23 12 0.61% -5.53% 14.25%
 A

25.00%

20.00%

15.00%

10.00%
Return on Stock A

5.00%

0.00%
-20.00% -15.00% -10.00% -5.00% 0.00% 5.00% 10.00% 15.00%

-5.00%

-10.00%

-15.00%

Return on Market Portfolio

 B

20.00%

15.00%

10.00%

5.00%
Return on Stock B

0.00%
-20.00% -15.00% -10.00% -5.00% 0.00% 5.00% 10.00% 15.00%

-5.00%

-10.00%

-15.00%

-20.00%

-25.00%

-30.00%

Return on Market Portfolio