Indicators reflecting the market risk of portfolio include risk indicators based on return and variance, such as volatility, retracement and standard deviation of downside risk, and indicators based on the sensitivity of investment value to risk factors, such as β coefficient, duration and convexity.

β coefficient is an index to evaluate the systemic risk of securities or portfolio, which reflects the sensitivity of investment objects to market changes. β coefficient is a statistical index, which is calculated by regression method.

Calculation formula:

βp=Cov(r p, r m)/ market return variance