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Yahoo Finance calculates beta from monthly prices over a time of three years. The S&P500 is used as the benchmark You need 37 monthly prices (so you can get 36 returns) on the first trading day of each month. The final price should be on the first trading day of the previous month. The first price should be on the first trading day of the month 36 ...
You might be interested in this link: https://www.dukascopy.com/swiss/english/marketwatch/historical/ It's not as good as Reuters or Bloomberg data, but it's free.
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