Beta Weighted Delta
March 18, 2019
Beta-weighting is a way that investors gauge their portfolio directional exposure (Delta) by normalizing it to a standard benchmark, in this case, the SPY (S&P 500 ETF).
Beta-weighting the portfolio Delta serves three purposes:
- Assess the total risk of a portfolio;
- Calculate a portfolio’s expected move;
- Compare relative risks between stocks.
Example
