**📅 Date:** ➤ ⌈ [[2025-09-06-Sat〚Calculation & Interpretation Of Beta〛]]⌋ **💭 What:** ➤[[💰 L063- 03 - Capital Asset Pricing Model (CAPM) - 资本资产定价模型 「公式」|CAPM 模型算法]] - CAPM 经过市场的影响下，return 有什么影响 **👀 Snap:** ➤ Nobel Prize 1990 : - **Markowitz** = diversification & Efficient Frontier - **Miller** = capital structure irrelevance (MM) - **Sharpe** = CAPM & Sharpe Ratio ⇩ 🅻🅸🅽🅺🆂 ⇩ **🏷️ Tags**: #💰/Economy **🗂 Menu**: ⌈[[✢ M O C ➣ 09 ⌈S E P - 2 0 2 5⌉ ✢|2025 - S E P - MOC]]⌋ ⌈[[✢ L O G ➢ 09 ⌈A U G - 2 0 2 5⌉ ✢|2025 - S E P - LOG]] ⌋ #👾/Private ➤ ⌈[[💰 L064 - 01 - Calculation & Interpretation Of Beta]]⌋ ➤ ⌈[[💰 L064 - 02 - 协方差 (Covariance), 方差 (Variance), 相关性 (Correlation)]]⌋ ➤ ⌈[[💰 L064 - 03 - Nobel Prize 1990 - Capital Asset Pricing Theory]]⌋ ➤ ⌈[[💰 L064 - 04 -Security Market Line (SML) - CAPM]]⌋ ➤ ⌈[[💰 L065- 01 Common Greek Letters]]⌋ ---- ## 📐 Calculation Methods ![[Screenshot 2025-09-06 at 07.32.16.png]] ![[Screenshot 2025-09-06 at 07.34.05.png]] Ri: 主要研究对象 Return of the market portfolio - return risk 研究the Risk of Return - The risk of volatility ## 📊 Interpretation of Beta - **β = 1.0** → Asset moves in line with the market. - **β > 1.0** → Asset is more volatile; amplifies market movements. - **β < 1.0** → Asset is less volatile; defensive. - **β < 0** → Asset moves opposite the market (e.g., gold, hedging assets). --- ## 📈 Example - Market up +10% - Asset A: β = 1.5 → expected +15% - Asset B: β = 0.7 → expected +7% - Asset C: β = −0.3 → expected −3% --- ## 🧠 Economics - **Systematic Risk (不可分散风险):** - Driven by macro shocks → recessions, interest rates, inflation, geopolitical risk. - Cannot be diversified away. - **Business Cycle Impact:** - High-beta sectors (tech, luxury) → highly cyclical. - Low-beta sectors (utilities, staples) → stable, less sensitive. - Negative-beta assets (gold) → countercyclical. --- ## ⚠️ Limitations - Beta is historical → may not reflect future risk. - Assumes linear relationship with market returns. - Ignores idiosyncratic factors (firm-specific shocks). --- ## 📝 Summary - **Calculation:** covariance/variance or regression slope. - **Meaning:** measures exposure to market/systematic risk. - **Use:** valuation, portfolio construction, risk control. - **Economic link:** connects asset performance to macro cycles.