Identifying Systematic Risk Measure

Maria is a seasoned portfolio manager at an investment firm with a reputation for rigorous risk assessment practices. She has recently been analyzing the risk characteristics of a client’s equity-heavy investment portfolio. Maria is particularly focused on understanding the portfolio’s exposure to systematic risk, which could significantly impact performance during market downturns. To assist in this analysis, she is considering various measures of risk.

Among the options, she knows that the 'Beta' of a portfolio reflects its sensitivity to market movements, while 'Value at Risk (VaR)' quantifies potential losses over a set period at a specified confidence level. Additionally, 'Standard Deviation' offers insights into the dispersion of returns but may not solely capture the risk due to market movements.

With this understanding, Maria is determined to select the measure that best represents systematic risk exposure in the context of her evaluation.