Definition
Systematic risk (market risk) affects the entire market or economy and cannot be eliminated through diversification. Sources include interest rate changes, inflation, recessions, political events, and global crises. Beta measures a stock's sensitivity to systematic risk. Since systematic risk cannot be diversified away, investors require compensation (the equity risk premium) for bearing it. The Capital Asset Pricing Model suggests only systematic risk should be priced in expected returns.
Formula
Example
During the 2008 financial crisis, nearly all stocks declined regardless of individual company fundamentals. This was systematic risk in action - diversification within stocks couldn't protect against the market-wide selloff.
FAQ
What is Systematic Risk?
Market-wide risk that cannot be diversified away, affecting all securities.
How do you calculate Systematic Risk?
A common formula for Systematic Risk is: 总风险 = 系统性风险 + 非系统性风险
Why is Systematic Risk important?
Systematic Risk helps investors evaluate risk metrics and make more informed decisions.