
beetta (finance)

dhanakaaryathil, mothatthilulla ohari vipani vardhikkukayo kurayukayo cheyyumbol oru vyakthigatha aasthi engane (sharashari) neengunnu ennathinte alavukolaanu beetta (β allengil maarkkat beetta allengil beetta coffificient). athinaal, cheria alavil cherkkumbol maarkkat portfoliyoyude apakadasaadhyathaykk oru vyakthigatha swathinte sambhavanayude upayogapradamaaya alavukolaanu beetta. athinaal, beettaye oru aasthiyude vaividhyavalkkarikkaanaavathaatha risk, athinte chittayaya risk, maarkkat risk allengil hedge anupatham ennu vilikkunnu. beetta ennathu "allah" ennathu oru prathyeka apakadasaadhyathayude alavukolaanu.
moolyangalude vyaakhyaanam.
nirvachanamanusarichu, moolya-bharamullah vipani soochikayumaayi bandhappett nikshepikkaavunna ellah aasthikaludeyum vipani-bettakalude moolya-bharamullah sharashari 1 aanu. oru aasthiyude beetta 1 nuu mukalilaanenkil (thaazhe), athu soochippikkunnathu vipani-portfoliyoyude varumaanathode athinte varumanam sharashari 1 muthal 1 vare kooduthal (kuravu) neengunnu ennaanu. praayogikamaayi, kurachu oharikalkku negatteevu beettakalund (vipani thaazhumbol uyaran pravanatha kaanikkunnu). mikka oharikalilum 0 num 3 num edayilulla beettakalund.
treasury billukalkkum (mikka sthira varumaana upakaranangal pole) charakkukalkkum kuranjatho poojyamo aaya beettakal undu, kooll oopshanukalkku uyarnna beettakal undu (adisthaana stokkumaayi thaarathamyappeduthumbol polum), koodaathe puttu oopshanukalum short positionukalum, chila vipareeta eiii. tii. efukalkku negatteevu beettakalund.
apakadasaadhyathayude alavukol enna nilayil praadhaanyam.
ohari vipaniyumaayi bandhappett oru nikshepathinte hedge anupaathamaan beetta. udaaharanathinu, 2-nte maarkkat beettayulla oru stokkinte vipani apakadasaadhyathaye prathirodhikkaan, oru nikshepakan stokkil nikshepicha oro 1,000 dollarinum stokku maarkkattil 2,000 dollar kuraykkum. angane inshwar cheytha, mothatthilulla ohari vipaniyude chalanagal sharashari samyojitha sthaanathe baadikkunnilla.
vaividhyavalkkaranathiloode kurayaatha vipani portfoliyoyude apakadasaadhyathaykk oru vyakthigatha nikshepathinte sambhavana beetta alakkunnu. oru nikshepam ottaykku nadathumbol athu apakadasaadhyatha alakkunnilla.
saankethika vashangal.
ganithashaasthraparamaaya nirvachanam.
formula 3 avasarangalil nireekshicha oru asattu formula 2-nte maarkkat beetta formula _ 1, 
asattu formula _ 2-nte ritten formula _ 4-nte oru leanier regression (athiloode ettavum nannayi nedukayum cheiyunnu) nirvachikkunnu.
(saadhaaranayaayi moolyamulla) stokku maarkkat soochika formula _ 7-nte ritten formula _ 6-nte nirakkil
ivide formula _ 9 ennathu oru pakshapatharahitha pishak padamaanu, athinte square pishak kuraykkendathaanu. 
gunakam soothravaakyam _ 10 palappozhum alfa ennu vilikkunnu.
saadhaarana ettavum kuranja chathurangalude pariharam
ivide formula _ 12 umm formula _ 13 umm covarians, variance oopparettarmaaraanu. vyathyastha vipani soochikakalumaayi bandhappett beettakal thaarathamyappeduthaanaavilla.
swantham apakadasaadhyathayum beetta apakadasaadhyathayum thammilulla bandham.
staanderd deviation variance thammilulla bandham, formula _ 14 umm korileshan formula _ 15-nte nirvachanavum upayogichu maarkkat beettaye ingane ezhuthaam
ivide formula _ 17 ennathu rund rittenukalude paraspara bandhamaan, formula _ 18, formula _ 19 athath volattilidikalaanu. eee samavaakyam kaanikkunnath idiosynchratic risk (formula _ 18) maarkkat beettayumaayi bandhappettirikkunnavum palappozhum valare vyathyasthamaan. idiosynchratic risk 0 aanenkil (i.iii.ohari varumanam neengunnilla), athupole maarkkat-bettayum. nere marichalla oru coyin toss panthayatthinu seero beettayund, pakshe seero risk illa.
moonnu ghadaka gadakangalum vevvere kanakkakkaanulla sramangal nadannittundengilum ithu vipani-bettakalekkurichu mikacha kanakkukoottalukalilekku nayichilla.
vipani portfolioyilekku oru aasthi cherkkunnu.
oru nikshepakante muzhuvan panavum vipani soothravaakyathil undennum oru cheria thuka asattu klaas soothravaakyathilekku maattaan aagrahikkunnuvennum karuthuka.
vyathiyaanam ingane kanakkakkaam
formula _ 25-nte cheria moolyangalkku, formula _ 26-leeii padangal avaganikkaam,
formula _ 28-nte nirvachanam upayogichu ithu
ithu soochippikkunnathu, 1-ll kooduthal formula oru asattu portfolio vyathiyaanam vardhippikkunnu, athesamayam 1-ll kurravulla formula oru asattu cheria thukayil cherttha "iff" kuraykkunnu ennaanu.
oru leanier oopparettaraayi beetta.
maarkkat-beettaye bhaarappeduthaam, sharashari, cherkkaam muthalaayava. athaayath, oru portfoliyoyil 80 sathamaanam asattu eyum 20 sathamaanam asattu bii yum undengil, portfoliyoyude beetta asattu eyude beettayude 80 sathamaanavum asattu biyude beettayude 20 sathamaanavum aayirikkum.
vipani portfolio apakadasaadhyathayillaatha nirakkum thiranjedukkuka.
praayogikamaayi, soochikayude thiranjeduppu vyakthigatha aasthikalude vipani beettakalil thaarathamyena cheria vyathyaasamaan undaakkunnath, kaaranam vishalamaaya moolyamulla vipani soochikakal orumichu neengunnu.
aakarshakamaaya orumichukoodal savisheshathakalum capvumaayulla adutha bandhavum kaaranam moolyamulla vipani portfoliyoyil pravartthikkaan academic vidagdhar eshtappedunnu. stokku indux futuresumaayi chernnu pravarthikkaanulla eluppathilulla samaya labhyathayum labhyathayum kaaranam ezz & pii 500-ll pravartthikkaan praakteeshanarmaar eshtappedunnu.
yuu ennu nyayamaaya oru vaadam unnayikkaam.ezz. mattu aabhyanthara, anthardesheeya asattu klaasukale ozhivaakkikkond ohari vipani valare idungiyathaanu. athinaal emm. ezz. sii. aii. eef polulla anthaaraashtra soochikakalude upayogamayirikkum mattoru edaykkideyulla thiranjeduppu. ennirunnaalum, eee soochikakalkku polum ohari vipaniyumaayi athishayakaramaamvidham saamyamulla varumaanamund.
nikshepakan thiranjeduttha aasthikalkk samaanamaayi oru maanadandam polum thiranjedukkaam. udaaharanathinu, ezz & pii 500 soochika fandukalum swarnna baarukalum ulla oru vyakthiye sambandhichidatholam, soochika ezz & pii 500 umm swarnna vilayum samyojippikkum. ennirunnaalum, thathfalamaayundaakunna beetta inii eee padatthinte saadhaarana ardhathil oru maarkkat-beetayaayirikkilla.
vipani bettakal kanakkaakkunnathin munbu risk free nirakk (swantham varumaanathil ninnum vipani varumaana nirakkil ninnum) kuraykkanamo vendayo enna thiranjeduppu samaanamaayi aprasakthamaan. ithu cheyyumbol, saadhaaranayaayi oraal samaya edavelaykku thulyamaaya palisha nirakk thiranjedukkunnu (i.iii.oru divasathe allengil oru maasathe treasury palisha nirakk.)
anubhavaparamaya kanakk.
aasthikaludeyum vipaniyudeyum varumaana nirakk thammilulla yadhaartha prathekshikkunna bandhathe nirvachikkunna oru yadhaartha vipani-beettayum charitraparamaaya varumaana nirakkukale adisthaanamaakkiyullathum saadhyamaaya stokku ritten retailsationukalude koottatthil ninnu oru prathyeka charithrathe maathram prathinidheekarikkunna oru vipani-beettayum thammil verthirichariyunnathu pradhaanamaan. ananthamaaya niravadhi samanilakal nireekshikkaan kazhiyumenkil yadhaartha maarkkat-beettaye sharashari falamaayi kaanaan kazhiyum---ennaal onniladhikam samanilakal nireekshikkunnathu orikkalum karsanamaayi nadakkunnilla ennathinaal, yadhaartha maarkkat-beetta orikkalum "munkaala nireekshanatthil polum" nireekshikkaan kazhiyilla. vipani-beetta maathrame nireekshikkaan kazhiyoo. ennirunnaalum, "sharashari", vipani-beettayude ettavum mikacha pravachanam yadhaartha vipani-beettayude ettavum mikacha pravachanamaan.
maarkkat-beettayude kanakkaakkunnavarkk rund pradhana prasnangalumaayi malladikkendathundu
eee prasnangal undaayirunnittum, oru charitraparamaaya beetta esttimettar oru vyakthamaaya maanadanda pravachanamaayi thudarunnu. leanier lestt square esttimettaril ninnu gadippicha variyude charivayi ithu labikkum. 1 muthal 5 varsham vare prathidina, prathivaara allengil prathimasa stokku rittenukalil ools regression kanakkakkaam. beetta alaveduppinte krithyathayum (kooduthal samayaparidhi alakkunna samayavum kooduthal varshangalum kooduthal krithyamaaya phalangal nalkunnu) kaalakramena charitraparamaaya uracha beetta maattangalum (udaaharanathinu, vilppana uthppannangalo klayantukaloo maarunnath kaaranam) thammilulla edapaadine aasrayichirikkunnu.
mechappetta kanakkaakkal.
mattu beetta esttimettarukal saraashariyilekkulla regression (ritten nirakkukal pole) beettakalude pravanatha prathifalippikkunnu, ithu alaveduppil pishak mathramalla, yadhaartha beettayilum koodaathe/allengil charitraparamaaya kramarahithathayilum adisthaanaparamaaya mattangal moolavum prachodippikkappedunnu. (avabodhajanyamaayi, uyarnna varumaanamulla oru kambaniye nirddeshikkilla.jii.kazhinja varshavum oru marunnu kandethal [adutha varshavum athra uyarnna varumanam labikkum.atharam esttimettarukalil bloom/bloomberg beetta (pala saambathika websaittukalilum pradhaanamaayum upayogikkunnu), vassisec beetta, scholas-vilyams beetta, dimson beetta enniva ulppedunnu.
eee esttimettarmaar thalkshanam nilavilulla maarkkat-beettaye anaavaranam cheyyaan shramikkunnu. deerghakaala vipani-bettakal aavashyamullappol, deerghadoora chakravaalangalkk mukalilulla saraashariyilekkulla kooduthal pinvalikkal pariganikkanam.
santhulithamaaya upayogam apakadasaadhyathaykk nyayamaaya prathiphalam?
aadarshaparamaaya mooladhana asattu prising modalil (capm), beetta risk maathramaan nikshepakarkku risk free palisha nirakkinekkaal uyarnna varumanam labhikkenda oreyoru risk. cap lekhanathilum security maarkkat line lekhanathilum ithu charcha cheythittundu.
capminte pashchaathalatthil upayogikkumbol, beetta uchithamaaya prathekshikkunna varumaana nirakkinte alavukol aayi maarunnu. sthaapanathinte mothatthilulla varumaana nirakk athinte kadathinteyum ohari vihithathinteyum varumaana nirakkaanu enna vastutha kaaranam, mothatthilulla laabhamillaatha sthaapanathinte vipani-beetta sthaapanathinte dettu beettayudeyum (palappozhum 0 nuu aduthu) athinte livered ikvitti beettayudeyum sharashari aanu.
prakadana alavil upayogikkuka.
fund maanejmentil, vipaniyilekkulla exposurinaayi krameekarikkunnath fund maanejarmarkk vipaniyil avarude prathyeka exposure undayirunnathinaal labhikkenda gadakathe verthirikkunnu. udaaharanathinu, oru nischitha varshathil ohari vipani 20 sathamaanam uyarukayum oru maanejarkk 2-nte maarkkat-beettayulla oru portfolio undaayirikkukayum cheythaal, prathyeka stokku picking kazhivukalude abhaavathil eee portfolio 40 sathamaanam thirike nalkendathaayirunnu. beetta sthiratha kaivasham vachirikkunna maarkkat modelle aalfayaanu ithu alakkunnathu.
vipaniyallaatha beettakal.
idaykkide, maarkkat-bettakal ozhikeyulla mattu beettakal upayogikkunnu. arbitrage prising sidhaanthathinu (aft) athinte maathrkayil onniladhikam gadakangalundu, athinaal onniladhikam beettakal aavasyamaanu. (capminu oru risk ghadakam maathrameyulloo, athaayath mothatthilulla vipani, athinaal playin beatayil maathrame pravartthikkoo.) udaaharanathinu, ennavilayile mattangalumaayi bandhapetta oru beettaye chilappol vyathyasam vyakthamaakkunnathin "maarkkat-beetta" ennathinekkaal "oayil-beetta" ennu vilikkum.
myoochwal fund vishakalanagalil saadhaaranayaayi udharikkunna beettakal palappozhum mothatthilulla ohari vipaniyilekkaal oru prathyeka fund maanadandathilekkulla exposure alakkunnu. atharamoru beetta myoochwal fund benchmark portfoliyoyude udamaykku oru prathyeka fund cherkkunnathil ninnulla apakadasaadhyatha alakkum, pakaram vipaniyude oru portfolioyilekku fund cherkkunnathinulla apakadasaadhyatha.
prathyeka kesukal.
yoottility stokkukal saadhaaranayaayi kuranja beettayude udaaharanangalaayi kaanikkunnu. ivaykku bondukalumaayi chila samaanathakalund, avaa sthiramaaya labhavihitam nalkunna pravanatha kaanikkunnu, avayude saadhyathakal saambathika chakrangale shakthamayi aasrayikkunnilla. avaa ippozhum oharikalaanu, athinaal ithu ardhashoonyamaanengilum mothatthilulla ohari vipani pravanathakal vipani vilaye badhikkum.
videsha oharikal chila vaividyavalkkaranam nalkiyekkaam. ezz & pii global 100 polulla loka maanadandangalkku ezz & pii 100 polulla thaarathamyappeduthaavunna us-mathramulla maanadandangalekkaal alpam kuranja beettakalund. ennirunnaalum, eee prabhavam munbatheppole nallathalla; vividha vipanikal ippol nyayamaayum parasparabandhithamaan, prathyekichu us padinjaaran europe.
noonn-leanier asattukalude udaaharanangalaan derivateevukal. beetta oru leanier modaline aasrayichirikkunnu. oru outtu oof dhii munny oopshanu vyakthamaaya noonn-leanier prathiphalam undayirikkaam. adisthaana aasthiyude vilayile maattavumaayi thaarathamyappeduthumbol oru oopshante vilayile maattam (udaaharanathinu oru stokku) sthiramalla. udaaharanathinu, ezz & pii 500-ll oraal oru puttu oopshan vaangukayaanenkil, adisthaana soochikayude vila (yadhaarthathil asthiratha, kaalaharanappedanulla samayam, mattu gadakangal) maarunnathinanusarichu beetta vyathyaasappedum. (oopshanukal vilanirnayavum black-schole modalum kaanuka).