On 7 November 2016, FTSE Russell, the global index provider, announced the creation of a new index, the FTSE All-World Ex CW Climate Balanced Factor Index, the first to combine a smart beta factor
approach alongside climate change considerations.
Positive significant reaction has been found for a whole sample consisting of 95 announcements, the same result was found when company implementing ICT has beta factor higher than 0.
Higher beta factor signifies higher gain potential.
The CAPM Assumptions The CAPM is a single-index model because systemic risk is prescribed entirely by one factor, the beta factor
To determine the beta factor
in estimating their cost of equity, nearly two-thirds of companies use Bloomberg data.
Since no beta factor
yet exists for this, let's use a proxy figure based on the plastics industry to approximate the risk and hence (using the capital asset pricing model) the adjusted cost of equity of the new project.
In testimony, the IRS's expert had admitted that the beta factor
that the IRS used in both the original determination and the revised determination was incorrect (the beta factor
measures the tendency of a security's price to respond to market swings).
For the equally weighted case in Table 5, the risk-premium from the CAPM beta factor
A positive alpha indicates that a fund has performed well, given its beta factor
The db x-trackers Equity Low Beta Factor
UCITS ETF (DR) uses the low-beta strategy.
The formula includes a beta factor
, or premium, used to create a high confidence level, which can result in a higher capital charge than if the asset concerned had simply continued to be held on balance sheet.
Oliver Schupp, head of Beta Strategies, went on to say, "Institutional investors demand a detailed understanding of the return sources in their portfolios and are willing to substitute alternative beta factors
through cost-effective replication strategies.