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Investing Glossary:
Portfolio beta
Copyright 2009,
Campbell R. Harvey. All Rights Reserved.
Do not reproduce without explicit permission.
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| Definition: |
| Used in the context of general equities. The Beta of a Portfolio is the weighted sum of the individual Asset betas, According to the proportions of the Investments in the portfolio. E.g., if 50% of the Money is in Stock A with a beta of 2.00, and 50% of the money is in stock B with a beta of 1.00,the Portfolio beta is 1.50. Portfolio beta describes relative volatilityof an individual securities portfolio, taken as a whole, as measured by the individual stock betas of the securities making it up. A beta of 1.05 relative to the S&P 500 implies that if the S&P`s excess Return increases by 10% the portfolio is expected to increase by 10.5%.
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