# Questions tagged [beta]

The beta of an investment strategy corresponds to its relation with the systematic moves of the prices, i.e. the one driven by very common factors. Typically market indexes are benchmarks used to measure the beta against.

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### Producing hedge ratios via regression via returns and not price

I'm a quant student and I need someone to clearly and plainly explain to me better than my professor did about this topic. Please be patient if my question seems very basic. to find hedge ratios or ...
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### Some questions about beta hedging

Sorry if this is obvious to you. I've got my brain spinning for a while and think I should seek some insights. Question 1: What's the definition of $\beta$ between a stock and hedger/market portfolio, ...
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### Should I convert monthly data into yearly for CAPM?

I am trying to use the CAPM. I gathered monthly data on German government bonds and DAX40 (it's an index that contains top 40 German firm). Then based on only one company like Volkswagen monthly stock ...
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### Simple Beta Neutral Intuition in Pairs of Two Assets

I'm having trouble understanding the intuition of a simple beta hedge using a linear regression. Assuming an asset has a beta of 0.5 against the market. That implies for a percent move in the market, ...
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1 vote
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### What is the meaning of Beta of an individual asset in relation to a portfolio, not the market?

Assume I've got a portfolio "A" with an expected return of 14% and a volatility of 20% and my broker suggests to add a new share "H" to my portfolio which has an expected return of ...
1 vote
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### Why stock beta is not equal to its index weight?

Index is a linear combination of stock prices with known weights. In case index is equally weighted, the weights are fixed. Beta measures stock sensitivity to index - by how much stock moves when ...
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### Supervised metric including beta?

I am working in a supervised ML framework. I'd like to define one metric to evaluate a strategy. Naturally I was initially enclined towards overall returns or sharpe ratio. I'd like to implement a ...
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### Definition of Market-Neutral

I'm reading Qian, Hua and Sorensen's Quantitative Equity Portfolio Management and one part in section 2.3.2 (page 44) states that: "For a long-only portfolio managed against a benchmark, the ...
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### Why reduce number of short contracts to reduce beta, and take long positions to increase it?

My question is about chapter 3 in the ninth edition of "Options, futures and other derivatives" by John C. Hull, subchapter 5 under the heading "Changing the Beta of a Portfolio". ...
125 views

### How to calculate the ex-ante beta of a portfolio between several rebalancing?

I have a portfolio composed of $N$ assets. I know the one-year beta of these assets, I also know the past (ex-post) beta ($\beta$) of my portfolio. My portfolio changes allocation every month. So I ...
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### Why is the efficient portfolio assumption necessary for the CAPM model?

One of the main assumption in the CAPM model is that all the investors are rational and they hold the most efficient portfolio for a given level of risk. What difference does this assumption make? ...
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### What is the intuition of CAPM model with Intercept at 0?

I only have a very general theory-based knowledge on Jensen's Alpha. I'm very curious about Capital Asset Pricing Model with intercept at 0. May I know what is the intuition behind this? What does it ...
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