Sep-27-2020, 09:45 PM
Figured it out....
def beta(individual, market, period): returns = individual.join(market).dropna() returns = returns.pct_change().dropna() cov = returns.iloc[0:,0].rolling(period).cov(returns.iloc[0:,1]) market_var = returns.iloc[0:,1].rolling(period).var() individual_beta = cov / market_var return individual_beta