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I want to calculate annual excess returns on portfolios using monthly returns for a CAPM (for the assets in the portfolio as well as for the benchmark), in order to have more information on the correlations, more precise betas.

Some instruments end trading during these years, or start only later. Those betas should be adjusted somehow to acknowledge less information about them? Or the point estimate is just the point estimate?

Full disclosure: This breaks down my longer question into specifics. Please bear with me. From: annual excess returns from CAPM on monthly total returns

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