Thanks to all of the people who responded.  What I was trying to do is to
turn my matrix or frame containing index level returns and stock returns
into a matrix of "betas".  I don't really need to worry about risk-free
interest rates.  I just need to be able to come up with a number that shows
the expected index correlation.  

 

I was able finally to figure out how to use cor() to get what I think is an
R^2 value.  But, I'm trying to also figure out the ratio of correlation.
For example, some stocks correlate very well and cor() returns a value of
.92.  But, how do you then figure out if the stock should have a 1.5:1
correlation? 

 

The way I would do it by hand is to turn the closes into daily returns and
then get the mean() return for each stock against the index by day.  I can't
find an example as hard as I look, but this must be very common.

 

Thanks,

 

Josh


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