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Sharpe ratio

  • 1 Sharpe ratio

    Sharpe ratio ECON, FIN Sharpe-Ratio f, Sharpe-Maß n, Überschussrendite f pro Risikoeinheit (risikobereinigte relative Performancekennzahl: die über die sichere Anlage –risikoloser Zins– hinausgehende Rendite –Überrendite, excess return – dividiert durch die Volatilität der erwirtschafteten Portefeuillerendite, excess return for taking a risk, divided by the volatility of portfolio return)

    Englisch-Deutsch Fachwörterbuch der Wirtschaft > Sharpe ratio

  • 2 Sharpe ratio

    Ratio Sharpe

    Investor's Forget-me-Nots Dictionary > Sharpe ratio

  • 3 Sharpe ratio

    фин. коэффициент Шарпа (показатель эффективности инвестиционного портфеля, который вычисляется как отношение ожидаемой избыточной доходности (превышения доходности над безрисковой ставкой) к стандартному отклонению от этого дохода)
    See:

    The new English-Russian dictionary of financial markets > Sharpe ratio

  • 4 Sharpe ratio

    Универсальный англо-русский словарь > Sharpe ratio

  • 5 sharpe ratio

    * * *
    . Показатель эффективности инвестиционного портфеля. Отношение избыточной доходности портфеля к его совокупной изменчивости. См. также treynor index (трейнор-индекс) . Инвестиционная деятельность .

    Англо-русский экономический словарь > sharpe ratio

  • 6 reward-to-variability ratio

    reward-to-variability ratio ECON, FIN Überschussrendite f pro Risikoeinheit; Sharpe-Ratio f, Sharpe-Maß n (excess return for taking a risk divided by the standard deviation of return, i.e. its volatility; risikobereinigte relative Performanzkennzahl: die über die sichere Anlage, den risikolosen Zins, hinausgehende Rendite –die Überrendite = excess return– wird dividiert durch die Volatilität der erwirtschafteten Portfoliorendite; reward-to-volatility ratio)

    Englisch-Deutsch Fachwörterbuch der Wirtschaft > reward-to-variability ratio

  • 7 risk-adjusted return on capital

    Fin
    return on capital calculated in a way that takes into account the risks associated with income.
    EXAMPLE
    Being able to compare a high-risk, potentially high-return investment with a low-risk, lower-return investment helps answer a key question that confronts every investor: is it worth the risk?
         There are several ways to calculate riskadjusted return. Each has its strengths and shortcomings. All require particular data, such as an investment’s rate of return, the risk-free return rate for a given period, and a market’s performance and its standard deviation.
         The choice of calculation depends on an investor’s focus: whether it is on upside gains or downside losses.
         Perhaps the most widely used is the Sharpe ratio. This measures the potential impact of return volatility on expected return and the amount of return earned per unit of risk. The higher a fund’s Sharpe ratio, the better its historical risk-adjusted performance, and the higher the number the greater the return per unit of risk. The formula is:
    (Portfolio return – Risk-free return)/Std deviation of portfolio return = Sharpe ratio
    Take, for example, two investments, one returning 54%, the other 26%. At first glance, the higher figure clearly looks like the better choice, but because of its high volatility it has a Sharpe ratio of 0.279, while the investment with a lower return has a ratio of 0.910. On a risk-adjusted basis the latter would be the wiser choice.
         The Treynor ratio also measures the excess of return per unit of risk. Its formula is:
    (Portfolio return – Risk-free return)/ Portfolio’s beta = Treynor ratio
    In this formula (and others that follow), beta is a separately calculated figure that describes the tendency of an investment to respond to marketplace swings. The higher beta the greater the volatility, and vice versa.
         A third formula, Jensen’s measure, is often used to rate a money manager’s performance against a market index, and whether or not a investment’s risk was worth its reward. The formula is:
    (Portfolio return – Risk-free return) – Portfolio beta × (Benchmark return – Riskfree return) = Jensen’s measure

    The ultimate business dictionary > risk-adjusted return on capital

  • 8 expected tail loss

    expected tail loss FIN, STAT erwarteter Verlust m am Verteilungsrand, erwarteter Verlust m am Rand der Verteilung (neueres Risikomaß, das gängige Risikomesskonzepte wie die Standardabweichung, die Sharpe-Ratio oder den Value at Risk = VaR ablösen bzw. ergänzen soll; macht auf Basis der fraktalen Mathematik = fractional mathematics Aussagen über den Verlust am – auch in den traditionellen Basel-II-Risikomesskonzepten ausgeblendeten – einprozentigen Rand der Verteilung)

    Englisch-Deutsch Fachwörterbuch der Wirtschaft > expected tail loss

  • 9 risk-adjusted return

    фин. отдача с учетом риска*, скорректированная на риск отдача* (отношение величины полученного от инвестиционного актива дохода к какой-л. характеристике риска (напр. к среднеквадратичному отклонению величины дохода); обычно оценивается с помощью коэффициента Шарпа)
    See:

    The new English-Russian dictionary of financial markets > risk-adjusted return

См. также в других словарях:

  • Sharpe ratio — The Sharpe ratio or Sharpe index or Sharpe measure or reward to variability ratio is a measure of the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk (and is a… …   Wikipedia

  • Sharpe Ratio — Die Sharpe Ratio, auch Reward to Variability Ratio genannt, ist eine Kennzahl und betrachtet die Überrendite einer Geldanlage in Abhängigkeit vom Risiko zu einer Benchmark (risikofreier Zinssatz). Namensgeber ist William F. Sharpe. Mit der Sharpe …   Deutsch Wikipedia

  • Sharpe-Ratio — Die Sharpe Ratio, auch Reward to Variability Ratio genannt, ist eine Kennzahl und betrachtet die Überrendite, also die Rendite einer Geldanlage, soweit sie den risikofreien Zinssatz übersteigt, in Abhängigkeit vom Risiko. Namensgeber ist William… …   Deutsch Wikipedia

  • Sharpe ratio — El Ratio de Sharpe es una medida del exceso de rendimiento por unidad de riesgo de una inversión. La cantidad se define como: , donde R es el rendimiento de la inversión en cuestión; Rf es el rendimiento de una inversión de referencia, como por… …   Wikipedia Español

  • Sharpe Ratio — A ratio developed by Nobel laureate William F. Sharpe to measure risk adjusted performance. The Sharpe ratio is calculated by subtracting the risk free rate such as that of the 10 year U.S. Treasury bond from the rate of return for a portfolio… …   Investment dictionary

  • Sharpe ratio — A measure of a portfolio s excess return relative to the total variability of the portfolio. Related: treynor index A ratio of reward to variability developed by William F. Sharpe to measure the performance of mutual funds without regard to their …   Financial and business terms

  • sharpe ratio —   Misura la ricompensa per aver preso dei rischi dove il rischio è misurato in temini di volatilità …   Glossario di economia e finanza

  • Sharpe ratio — …   Useful english dictionary

  • Modified Sharpe Ratio — A ratio used to calculate the risk adjusted performance of an asset or a business strategy. The modified Sharpe ratio is a version of the original Sharpe ratio amended to include skewed/abnormal data. It is calculated by dividing the excess… …   Investment dictionary

  • Sharpe (surname) — Sharpe is a surname, and may refer to:Fictional characters: * Miriam Sharpe, a fictional character, in the Marvel Comics universe * Richard Sharpe (fictional character), fictional central character in the novel and television series Sharpe People …   Wikipedia

  • Sharpe — ist: Sharpe, Originaltitel der Fernsehserie Die Scharfschützen Sharpe ist der Familienname folgender Personen: Claire Sharpe (* um 1955), kanadische Badmintonspielerin Cornelia Sharpe (* 1947), US amerikanische Schauspielerin D. Sharpe… …   Deutsch Wikipedia

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