Questions / Quant research, Portfolio & factor risk
Aggregate factor exposures
A portfolio puts 60% in a beta-1.5 asset and 40% in a beta-0.5 asset. What is portfolio market beta?
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Answer: 1.1 beta (11/10)
- Portfolio beta is the weighted sum: 0.6×1.5 + 0.4×0.5 = 1.1.
Interview shortcut. Portfolio beta is the weighted average of betas.
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