Volatility vs systematic risk
Three numbers, two different ideas. Standard deviation and the High-Low range both measure volatility — total risk. CAPM beta measures systematic risk — sensitivity to the market. Beta is not a volatility measure. Push the volatility slider and watch σ move while beta barely flinches.
Annualised volatility σ (close-to-close)0.3%
Volatility · total risk
σ, std dev (ann.)0.3%
σ, High-Low (ann.)0.4%
Both proxy the size of the swings (close-to-close σ and the Parkinson 1/(4 ln 2) range). Driven by the volatility slider.
Systematic risk · market sensitivity
CAPM beta β0.87
Slope of stock-vs-market excess returns. β = Cov(Ri,Rm)/Var(Rm). Systematic share R² = 13%. Driven by the beta slider.
Daily σ 2.0%High-Low daily σ 2.3%Stock–market corr 0.36
Firm-specific volatility (σ target, ann.)25%
Market beta β (true loading)1.1
σ (std dev) and the High-Low range track the size of the swings; beta tracks co-movement with the market. Move the volatility slider and σ changes while beta stays put. That is why listing CAPM beta as a volatility proxy is a category error.
Try this: load the meme-stock preset. Total σ rockets but beta sits near zero, the GameStop lesson: extreme volatility, almost no systematic risk.