Beta

Risk Metrics

A measure of an investment's systematic risk—how much it moves relative to a benchmark index. A beta of 1.0 means the investment moves exactly with the benchmark. Beta > 1.0 indicates higher volatility than the benchmark (amplified market movements), while beta < 1.0 indicates lower volatility (dampened market movements). Beta of 0 or negative indicates the investment is uncorrelated or inversely correlated with the market—the hallmark of a true hedge.

Mentioned in this definition

BenchmarkHedgeSystematic RiskVolatility

More in Risk Metrics

Bear MarketBull MarketCalmar RatioCorrelationDrawdownMaximum DrawdownSharpe RatioSortino RatioVaR (Value at Risk)

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