"The Relationship between Risk and Return is Conditional upon the Sign of the Excess Market ReturnEmpirical studies including the sign of the excess market return when examining the beta- return relationship.Portfolios of Turkish equitiesThis Studydiscussesthe existence of anorganized relation between beta and excess market return.In the structure, no arranged relation is found between beta and real portfolio excess return.However, the study ensures to find anefficient relation betweenbeta and portfolio excessreturn,accustomed upon the symbol of realized market-portfolio excess-return. Moreover, theefficient relation is found between excess portfolio return and beta, accustomed not only uponthe indication, but also the extent of realized market portfolio excess return, with the assessmentof the security market plane (SMP) model. The study has numerous useful inferences forportfolio managers. Firstly, the experimentaldiscoveries strongly recommend that employment of the SMP modelmay produce more accurate estimates of expected return asset. It islinked with the directuse ofthe capital asset pricing model (CAPM). The superiorcorrectness of expected asset return, inturn, may lead to more accurate assessments of asset value, resulting in more profitableinvestment prospects and decisions.The SMP model may lead to improved efficient-portfolio by leading to structure of portfolioswith better expected-return along with quantifiable-riskThis study conducts an empirical analysisconcerning the probablebeing of a systematic relationbetween beta and excess return of portfolios.7 The Relationship between Risk and Return is Conditional upon the Sign of the Excess Market ReturnDuring thestudy, Cross-equity-market authorization of the SMP empirical model is therebyprovided. It is noted that there is no systematic relation is found between portfolio excess-returnand beta in an absolute sense.These findings have numerousvaluableinferences for portfolio managers and investors. To startwith, the empirical analysis strongly recommends that employment of the SMP model mayproduce more accurate estimations of expected asset-return, given the finding of no systematicrelation between return value of asset and beta, in an absolute sense Our suggestion shows that the estimation of return and beta without distinguishing positive andnegative market excess returns provides a smooth unconditional relationship between return andbeta. Capital Asset Pricing Model, CAPM Includes Black, 1972; Lintner, 1965; Sharpe, 1964) statedthat the beta is the orderly risk is the one pertinent risk degree for investment and a positivetrade-off between beta and predictable returns should occur.Return on any asset is thoroughlylinked to its market beta, with beta being well-defined as theconnection of the covariance of each asset with the market to the variance of the marketportfolio.In US stock market data for the period in 1936 to 1990, they initiate a noteworthypositiverelationship between beta and recognized returns when excess market returns are affirmative anda substantialadverse relationship between beta and recognized returns when market excessreturns are negative.8 The Relationship between Risk and Return is Conditional upon the Sign of the Excess Market ReturnPettengill, Sundaram and Mathur (1995)It is explaining the conditional relation concerning about beta and return.Their empiricaloutcomes provision the hypothesis that there is a positive and important relationship betweenbeta and returns.A positive relation is continuously forecast between beta and expected returns, but this relation isconditional on the market excess returns when returns are used for tests. In this study, which contemplates the affirmative relation between beta and returns duringupward and downward during both the nature of markets.Hence,stockshaving high betas must have more returns, when the market risk premium isaffirmative. Further, lesser returns when the market risk premium is adverse. In the method, the security market plane (SMP) modelmay lead to improved efficient-portfoliodevelopment, by foremost to the structure of portfolios with better expected-return, for a givenclass of quantifiable-risk.Further,Security market plane (SMP) model of Bollen (2010Bolle)the security market planeof Pettengill, Sundaram, and Mathur1995and Fama& French 1992. These all are consideredwith Turkish equity market data. The SMP is resultant from the market model of Sharpe (Sharpe, W. F. (1964). Capital assetprices: The theory of market equilibrium under situations of risk, Where? Valuation of risk assets and the variety of risky investments in stock groups.9 "