What Beta in Portfolio Management? How is it computed? What is market Beta and Security Beta?
472034
a useless lesson you learn in business school that has no real bearing on how to successfully invest money.
398175
take historical closing prices from the stock you want to calculate the beta depending on your time frame of work. then take the historical closing price of the S&P 500 in the same period. Download it to a spreadsheet or excel.\nCalculatethe daily return (price 2-price 1)/price 1 on the stock and the S&P. Go to excel and execute a linear regression between the two subset of values.\nVoila you will have a equation stock return = alpha + beta(s&p return).\n\nIf you want to make it more complicated you can go to the CPM model and use the risk-free interest rate, but there is little use about it. At the end, you believe whatever Valueline, bloomberg is telling you.
131849
"Beta is the slope of the best fit line obtained when excess return on the portfolio (or asset) over the risk-free rate is regressed against the excess of return of the market over the risk-free rate."\nIf the risk-free for a given period is 5% and an asset has a return of 12%, it has an excess of return of that asset over the risk-free rate is 12%-5% = 7%.\nSo a beta = 1 value would indicate that the stock "tends" to folow the market. A beta = 2 value would indicate that the stock "tends" to folow the market´s direction, but with movements twice as large. Negative betas indicate tendencies to move in the inverse direction of the market: when the market goes up the asset goes down and vice-versa. Beta does not measure the correlation though, meaning that this relation may be very tight or loose.\nBeta = 0 does not mean that the asset has low volatility, it simply means there is no linear relation between the asset and the market.
103348
h. a variety of ways.\n1.  If a stock becomes overvalued, I replace it.\n2.  If, upon periodic evaluation, I can show that a better opportunity in terms of likely long term return exists with less risk.\n3.  If the portfolio undergoes a singularity, I check to determine if the portfolio is still holding the best priced low risk stocks.  The measure of which tends to exceed my patience with writing a post.  That would actually be a technical measure since it has to do with price curves rather than fundamentals.  They occur very infrequently but tend to last quite a while.\n4. I use Kaizen as a method of process improvement, so I also update the portfolio if I can show a process in use is inferior to other processes and then remove securities purchased under the inferior process.\n\nI happen to participate in a stock picking game and it mimicks my real portfolio.  You can decide if one should use fundamentals or not.  It is at http://www.marketocracy.com/cgi-bin/WebObjects/Portfolio.woa/ps/FundPublicPage/source=CaHiHdImDlIfEbAoMaKiAbOa
382089
VaR, with the parameters: holding period x days; confidence level y%, measures what will be the maximum loss (i. e. decrease in portfolio market value) over x days, if one assumes that the x-days period will not be one of the (100 − y)% x-days periods that are the worst under normal conditions. One can also define VaR as a lower y% quantile of a profit/loss probability distribution, i.e., it is a best outcome from a set of bad outcomes on a bad day.\n\nYes
839630
The beta can be calculated using the Capital Asset Pricing Model.\nReq RoR = Rf +b(mkt premium)  So, just plug in the numbers you have, and solve for b, beta.\n\n.13 = .05 + b (.10)\n\nSo, b = .8
593259
beta means "before final". It means the program is a work in progress. They allow you to download it and use it in hopes that you will report any errors you recieve while using it so they can work it out before they actually sell/market the software.
108492
Assuming you are talking about standard deviation...\n\nSigma is the square root of variance.  If you need to add sigma's together, they are added by taking the square room of the sum of squares.
1156062
That is like asking "why are we here" or "how do i measure volatility in options?"  It is a famous question which is examined in every finance class and probably will be till the end of time.\n\nAn excellent question. Some use expected return and combine it with likelihood of occurance, some use CAPM, which gets into diversifiable and nondiversifiable risk. Some use short time periods, others use longer periods. Some assume efficient market theory, some don't. There are many many ways to measure risk...ask 20 people, i am guessing you get 20 answers...each equally correct....
413697
There are two types of risk to be concerned about when investing.  One is nonsystematic risk or the risk that is specific to an individual security.  The other type is systematic risk or market risk.  This is risk that comes from economic changes that affect the whole market.  Nonsystematic risk can be eliminated by diversification.  It's the market risk that you're left with.  A stock's beta tells you how reactive it is to changes in the market.
1137120
www.morningstar.com might have some stuff. \nother then that... im a stock retard and i got a D in Econ. when i gratuated haha
766349
i've based my answer on a probability tree i've drawn.\n(i may not be right!)\n\nProbability both stocks go up\n= 17/25 x 10/17\n=2/5\n\nProbability neither stock goes up\n=8/25 X 6/8\n=6/25\n\ni'm not too sure about the following answers (haven't learnt conditional probability):\n\nIf Gateway goes up, what is the conditional probability Micron goes up?\n=(10/17) / (17/25)\n=250/289\n\nIf Micron goes up, what is the conditional probability Gateway goes up?\n=114/272 x 17/25\n=57/200\n\nIf Micron does not go up, what is the conditional probability Gateway will go up?\n=155/272 x 17/25\n=31/80\n\n\nAgain i may not be right!
281407
In general you can't find out that info. I recall one fund manager mentioned that he was going to give frequent updates on portfolio positions. However I don't remember who it was.\n\nSince most fund managers fail to beat the indexes over time, the truth is it does not matter what they are doing. But the index funds for bullish positions, buy the double inverse Rydex or Profunds when in bear mode.
967432
I don't know how to show a tree diagram here on Yahoo, but you just do two branches (Gateway) showing 17/25 on one branch and 8/25 on the other.  Then draw two more from the top branch showing 11/17 and 8/17.  From the bottom branch draw two more showing 4/8 (1/2, of course) on both.\n\nBoth stocks went up on 11 of the 25 days, and on 4 of the 25 days neither went up.  (Notice I'm not quite saying the answer!)\n\nConditional prob can be tricky, but I think the Gateway/Micron one is just the prob on that branch of the tree.\nFor Micron/Gateway, do you know the formula\nprob(M and G) = prob(M)*conditional prob(G if M) ?\n\nWe know  prob(M and G) -- first answer.  We know prob(M) because we know Micron went up 15 of the 25 days, so this formula gives the required conditional prob.
590336
http://dhvrm.blogspot.com/2006/04/what-is-beta-testing.html
129018
Beta is a measure of the market's risk measured by randomness of data. Correlation is whether stocks lose or gain value with each other. Similarity is that a risky stock is more likely to be uncorrelated with the market.
561508
No. Because it is based upon assumptions or I should say assumptions of assumptions. 1. risk free rate of return 2. beta (which is calculated based on historical data not what is likely to happen in the future) and 3. expected market return (just a guess). \n\nA usefull tool for Ph. D. to write about and that is about it.