Systematic Risk

Risk Metrics

The component of volatility that cannot be eliminated through diversification because it is driven by broad market factors. Also called 'market risk' or beta risk. Examples include interest rate changes, inflation, or geopolitical events that affect all securities. Systematic risk is compensated through positive expected returns, while unsystematic (idiosyncratic) risk should be diversified away.

Mentioned in this definition

BetaDiversificationVolatility

More in Risk Metrics

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

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