Portfolio beta
The sensitivity of a whole portfolio to market moves: the betas of its holdings weighted by their shares.
Formula
\beta_p = \sum_{i} w_i \beta_iWeights are position shares by market value; betas come from one window and one benchmark. Betas taken from different sources or windows are not comparable and must not be mixed.
How to read the number
It says how much of an index move the portfolio will repeat. A value above one means both directions are amplified, not only the upward one.
When the metric lies
It is stable only on a calm market. In a sharp move low-beta names fall with everything else, and the sensitivity computed in advance turns out lower than the one that arrives.
Also known as: weighted portfolio beta