Deutsche Fassung
Benchmark & factors

Beta

Beta measures how strongly a portfolio follows the moves of its benchmark. At 1.0 it moves in lockstep, at 0.5 only half as hard, at 1.3 a third harder, in both directions. It describes sensitivity, not quality.

How tied to the market are you?1.05beta
Markedly defensive
The portfolio follows market moves only in muted form. Typical with a large bond, gold or money market allocation. Upswings are correspondingly left partly untaken.
Slightly defensive
A little calmer than the index. Common for portfolios weighted towards dividend payers or low-volatility names.
Market-like
The portfolio moves practically like the index. The normal case for broadly diversified equity portfolios against a fitting benchmark.
More aggressive
Swings land harder than the market, up and down alike. Common with technology, small-cap or crypto concentrations.

How it is calculated

β = covariance( portfolio, benchmark ) / variance( benchmark )

A beta of 1.3 does not mean "30 % more return" but 30 % harder swings. That cuts both ways, and the loss side weighs more, because a decline needs proportionally more recovery.

Index +10 %
+13 %
Index −10 %
−13 %
Index −20 %
−26 %
Beta
1.30

What the number does not tell you

  • Without R-squared, beta is worthless. Beta assumes the portfolio tracks the index at all. Below an R-squared of roughly 0.5, the index explains less than half the movement, and beta describes a relationship that barely exists.
  • The wrong index gives the wrong number. A portfolio of German small caps measured against the MSCI World produces a beta that mostly reflects the currency and region gap. The benchmark has to fit the portfolio.
  • It assumes a straight line. Beta is one value covering both up and down phases. Whether a portfolio falls harder in crashes than it rises in rallies only shows in the comparison of up capture and down capture.
  • It is not stable. Beta shifts with the window and the market phase. A value of 1.1 measured over three years can read 0.8 the next year without anything changing in the portfolio.

Related metrics

AlphaThe part of return that market movement does not explain.Correlation and diversificationHow closely two assets move together, from −1 to +1.Factor investingRecurring patterns that explain return differences between stocks.VolatilityHow widely the portfolio value swings, in percent per year.

How Evergrova calculates it

Beta sits in the metric band on Performance & Risk alongside alpha and the chosen benchmark. The detail section adds correlation, R-squared, and up and down capture, which reveal whether the sensitivity is symmetric.

Calculation: covariance divided by variance of the daily returns of portfolio and benchmark over the common window.

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Common questions

Is a low beta better?

No, it is different. A low beta dampens setbacks and upswings alike. Whether that suits you depends solely on how much movement you can hold through over your horizon.

What does a beta above 1 mean?

That your portfolio swings harder than the benchmark. At 1.3, an index decline of 20 % implies a calculated loss of 26 %. That is a sensitivity figure, not a return expectation.

Beta or volatility?

Volatility measures a portfolio total movement on its own. Beta measures only the part that comes from the market. A portfolio can have high volatility and low beta when its movement is mostly its own.

Last reviewed: 2026-08-08

This text is general information. It is neither investment advice nor a recommendation. Metrics describe past periods and allow no conclusion about future performance.