beta error

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Related to Beta Risk: Alpha Risk

beta error

n. Statistics
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The size, B/M and beta risk portfolios are ranked on the year-end information, considering the values of December of each year.
The requirement is to build capital growth and increase the value of the $1 million dollars whilst maintaining the initially identified (stated) Beta Risk level.
The surviving entity would continue to be called Beta Risk Management Authority, or BetaRMA.
public pension plan investments in managed futures have surged recently: these funds are adding commodity trading advisors to their Absolute Return Portfolios for many reasons, but mainly to reduce the beta risk from the equity side of the portfolio.
Managing a short book, as opposed to simply hedging beta risk with ETFs, is a substantially different skill set from what most long-only managers bring to the table.
The integration helps firms using Black Diamond who subscribe to HiddenLevers to access their account positions within the HiddenLevers cloud-based application, giving them the ability to visualize market beta risk, showcase hedging options, and provide an interactive experience for clients, all from the same HiddenLevers toolkit.
McKenzie, "Time-varying beta risk of australian industry portfolios: a comparison of modelling techniques," Australian Journal of Management, vol.
where [R.sub.F] is the risk-free rate, [R.sub.M] is the expected return rate on the market, [[rho].sub.ven], M is the correlation between venture returns and market returns, [[sigma].sup.inv.sub.ven] and [[sigma].sub.M] is the standard deviation of venture returns and the standard deviation of market returns and [[beta].sub.ven] is the venture's beta risk. Equation (1) assumes that the investor does not require any further/additional return for the venture's expected cash flows which is eventually higher than that of the market portfolio.
The coefficient [[lambda].sub.1] is the premium associated with beta risk and an intercept term [[lambda].sub.0] has been added in the equation.
A higher Beta risk is associated with a higher expected payoff and a lower Beta risk is associated with a lower expected payoff.
ASG offer a range of active volatility management (beta risk overlay) strategies, which allow investors to evaluate and manage correlations in their current portfolios and utilise beta replication techniques towards reducing draw downs, smoothing volatility, improving risk transparency, and boosting liquidity, in a capital- efficient manner.
Alternatively, it is possible to manage the beta risk of the portfolio through an absolute-return-oriented strategy that is negatively correlated to the portfolio and managers, he adds.