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タグ:ベータ ( 1 ) タグの人気記事

About β (BEC / USCPA)

Saturday February 4, 2006

【11:30】

下記の日本語要約

・投資リスクには、個別銘柄(or 銘柄群)に特有のUnsystematic Risk(UR)と、個別銘柄の動向に関係なく、市場自体の性質に起因するSystematic Risk(SR)がある。

・URはいろんな銘柄に分散投資してヘッジできる。

・SRはβ値(当該株式の市場連動性の高さを表す指標)の高いもの低いものを組み合わせればヘッジできる。

・換言すれば、いくらいろんな銘柄買ってUR分散を図っても、それら銘柄のβ値が全て高ければ、ライブドアショックなんかがあったときに、全ての保有銘柄がガクンとオチ手しまう。

。。。といったことを、書いたのが下記です。


When you consider whether or not to buy Stock X as an investment instrument, you have to consider the risk of the investment.


The risk consists of

1) Unsystematic Risk (UR)
This is the risk which is unique to the Company X or to the industry which Company X belongs to.
e.g.
The price of IT industry stock investment
→ when new technology is developed, the price goes up, but it can later easily go down when the technology is fake or not as innovative as is expected.

2) Systematic Risk (SR)
This risk relates to the financial market factors which cannot be attributed to any specific companies or industries whose shares are in the market.
e.g.
Stock market
→ Tokyo Stock Exchange Market is strongly affected by JGB market. When the price of JGB goes up, the holder (investor) of JGB become rich and can afford investing more money in Stock market especially when the interest rate gets lower in such a situation, and vice versa.

In theory, investors can eliminate UR by having a balanced portfolio.

But, what can they do to eliminate SR? It was βthat was formulated to answer this question.

------------------------------------------------------------------
beta=
(covariance of Stock X’s return & the Market’s total return) ÷variance of the Market’s total return
------------------------------------------------------------------

Don’t worry nor be intimidated by such a formula. I’m a typical bunkei person (awkward in anything mathematical) and so have no idea about the formula above!

According to my textbook, β is an index that indicates how sensitive Stock X is to the whole market, or how strong the relation between Stock X and the whole market is.
CASE1: βof Stock X is 2.0
→when the whole market goes down (or up) by 10%, the price of the Stock X goes down (or up) by 20%.
CASE2: βof Stock X is 0.5
→when the whole market goes down (or up) by 10%, the price of the Stock X goes down (or up) only by 5%.

So if you want to eliminate SR, then you can make a portfolio in which high βstocks and low βstocks are well balanced.
[PR]
by nn_77 | 2006-02-04 11:32 | >BEC


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