The db x-trackers Equity Low Beta Factor
UCITS ETF (DR) uses the low-beta strategy.
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 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.