Page 10 - FINAL CFA I SLIDES JUNE 2019 DAY 12
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Session Unit 12:
42. Portfolio Risk and Return: Part II
LOS 42.e: Calculate and interpret beta., p.156
Beta measures the sensitivity of an asset’s return to the return on the market index in the context
of the market model; it is a standardized measure of the covariance of the asset’s return with the
market return.
tanties
The beta of a stock is its correlation coefficient with the market times the
ratio of its standard deviation to the standard deviation of the average
returns in the market!
