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1 Sharpe-Ratio
Sharpe-Ratio f FIN, WIWI Sharpe ratio, reward-to-variability ratio, reward-to-volatility ratio, Sharpe ratio (risikobereinigte relative Performancekennzahl: die über die sichere Anlage (risikoloser Zins = risk-free interest) hinausgehende Rendite (Überrendite = excess return) dividiert durch die Volatilität der erwirtschafteten Portefeuillerendite, excess return on a portfolio for taking on risk, divided by its volatility; risk-free interest = risikoloser Zins) -
2 Sharpe Ratio
f <Finanz, Vw> Sharpe ratio, reward-to-variability ratio, reward-to-volatility ratio, Sharpe ratio (risikobereinigte relative Performancekennzahl: die über die sichere Anlage (risikoloser Zins) hinausgehende Rendite (Überrendite = excess return) dividiert durch die Volatilität der erwirtschafteten Portefeuillerendite, excess return on a portfolio for taking on risk, divided by its volatility) -
3 Sharpe-Maß
Sharpe-Maß n FIN, WIWI Sharpe ratio, reward-to-variability ratio (eine risikobereinigte relative Performancekennzahl; Definition: die über die sichere Anlage hinausgehende Rendite = Überrendite = excess return dividiert durch die Volatilität der erwirtschafteten Portefeuillerendite, excess return on a portfolio for taking on risk, divided by its volatility; risk-free interest = risikoloser Zins) -
4 Sharpe Maß
n <Finanz, Vw> Sharpe ratio, reward-to-variability ratio (risikobereinigte relative Performanzkennzahl: 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 standard deviation of return) -
5 risk-adjusted return on capital
Finreturn on capital calculated in a way that takes into account the risks associated with income.EXAMPLEBeing 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 ratioTake, 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 ratioIn 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 measureThe ultimate business dictionary > risk-adjusted return on capital
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6 Überschussrendite (f) pro Risikoeinheit
<Finanz, Vw> Sharpe Maß reward-to-variability ratio, reward-to-volatility ratio, Sharpe ratio (risikobereinigte relative Performancekennzahl, definiert als 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 its volatility)Business german-english dictionary > Überschussrendite (f) pro Risikoeinheit
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7 Überschussrendite pro Risikoeinheit
Überschussrendite f pro Risikoeinheit FIN, WIWI reward-to-variability ratio, reward-to-volatility ratio, Sharpe ratio (Synonym: Sharpe-Maß; risikobereinigte relative Performancekennzahl, definiert als 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 its volatility)Business german-english dictionary > Überschussrendite pro Risikoeinheit
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8 коэффициент Шарпа
Finances: Sharpe ratio (соотношение доходности и риска) -
9 erwarteter Verlust am Verteilungsrand
erwarteter Verlust m am Verteilungsrand FIN, STAT, WIWI expected tail loss (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)Business german-english dictionary > erwarteter Verlust am Verteilungsrand
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
