Portfolio beta
The portfolio beta is simply the beta of a portfolio rather than a single security. It is most often used as a measure of how risky a portfolio is, and as such is used in performance measurement, for example in the Treynor index.
Portfolio beta
Used in the context of general equities. The beta of a portfolio is the weighted sum of the individual asset betas, According to the proportions of the investments in the portfolio. E.g.
The desired portfolio beta (exposure to systematic risk) of a plan sponsor. For example, since the investment guideline for Wells Fargo stipulates an equity beta range of.9 to 1.
00,the portfolio beta is 1.50. Portfolio beta describes relative volatilityof an individual securities portfolio, taken as a whole, as measured by the individual stock betas of the securities making it up. A beta of 1.
(Portfolio return - Risk-free return) - Portfolio beta × (Benchmark return - Risk-free return) = Jensen's measure
Related definitions of "risk-adjusted return on capital"
Also called Jensen's measure, Treynor ratio ...
Jensen's alpha = Portfolio Return âˆ' [Risk Free Rate + Portfolio Beta * (Market Return âˆ' Risk Free Rate)] ...
Portfolio beta The relative volatility of returns earned from holding a specific portfolio of securities. Portfolio manager A person who is paid a fee to supervise the investment decisions of others.
 See also: Expected return, Expense, Funding, Yield curve, T-bill
  
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