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A metric that measures the sensitivity or systematic risk of an asset relative to the overall market.
A metric that measures the sensitivity or systematic risk of an asset relative to the overall market.
Beta quantifies how much an asset's price moves relative to a benchmark index. A beta of 1.0 indicates that the asset moves in tandem with the market. A beta greater than 1.0 indicates higher volatility than the market, while a beta less than 1.0 indicates lower market sensitivity.
Measures systematic, non-diversifiable market exposure.
Quant funds often seek 'Beta Neutral' or 'Delta Neutral' portfolios to isolate true Alpha.
Negative beta assets move inversely to the market index.
Portfolio optimization is the construction of an asset allocation that maximises risk-adjusted return subject to investor constraints. The classical framework is mean-variance optimisation (Markowitz, 1952); the modern framework is factor-based, with the portfolio constructed to express a target set of factor exposures and to harvest the corresponding risk premia.
Quantitative risk management is the measurement, monitoring, and control of financial risk across a firm. It spans market risk (the risk of losses from price movements), credit risk (the risk of a counterparty defaulting), operational risk (the risk of failures of internal processes, people, and systems), and regulatory risk (the risk of failing to comply with capital and reporting requirements).