Dual-Beta

Dual-beta is a risk measure that calculates how a stock or portfolio performs in both up and down markets. It provides two separate beta values: one for upward market movements and one for downward market movements. This approach helps investors understand how an asset behaves differently in bullish and bearish conditions, offering more detailed insight into its risk profile compared to traditional single-beta measures. Investors use dual-beta to identify investments that may perform well during market upturns but are less sensitive to downturns, which can help manage risk in a volatile market environment.

Example

A stock with a dual-beta of 1.2 in up markets and 0.8 in down markets tends to outperform the market during rallies but falls less during declines.