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Is a diversified portfolio with a beta of 2 twice as volatile as the market portfolio?

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Answer:

Yes. That's what it means. The "beta of 2" is a comparison to the market portfolio. The volatility measure is usually annualized standard deviation and the "market portfolio" is commonly the S&P 500 Index, but should be a broad index that is similar to the securities in the portfolio. The market portfolio used for a portfolio of international securities could be the MSCI EAFE Index, for example.

First answer by ID0213099681. Last edit by Dgoldie. Contributor trust: 36 [recommend contributor ]. Question popularity: 155 [recommend question].

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