Beta (CAPM)

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Sensitivity of an asset's returns to market returns: β = Cov(R_a, R_m) / Var(R_m).

Details

• category: Portfolio Theory
• formula: β = Cov(R_a, R_m) / Var(R_m)
• formula latex: \beta = \dfrac{\text{Cov}(R_a, R_m)}{\text{Var}(R_m)}
• related terms: beta, alpha, capm, regression

Formula

β = Cov(R_a, R_m) / Var(R_m)