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1 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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2 Risk-Adjusted Return on Capital
Finances: RAROCУниверсальный русско-английский словарь > Risk-Adjusted Return on Capital
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3 risikoadjustierte Eigenkapitalrendite
risikoadjustierte Eigenkapitalrendite f BANK, FIN, WIWI risk-adjusted return on capital, RAROC (Synonym: risikobereinigte Eigenkapitalrendite; durch risikoadäquate Kapitalallokation zur Mikro- und Makrosteuerung von Banken geeignete Renditekennzahl; efficiency ratio for risk-based capital allocation; RAROC = (Erträge - Standardrisikokosten - Verwaltungskosten): zugeordnetes ökonomisches Kapital)Business german-english dictionary > risikoadjustierte Eigenkapitalrendite
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4 risikobereinigte Eigenkapitalrendite
risikobereinigte Eigenkapitalrendite f BANK, FIN, WIWI risk adjusted return on capital, RAROC (Synonym: risikoadjustierte Eigenkapitalrendite; durch risikobasierende Kapitalallokation zur Mikro- und Makrosteuerung von Banken geeignete Renditekennzahl; efficiency ratio for risk-based capital allocation; RAROC = (Erträge - Standardrisikokosten - Verwaltungskosten): zugeordnetes ökonomisches Kapital)Business german-english dictionary > risikobereinigte Eigenkapitalrendite
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5 cкорректированный с учётом рисков доход от капитала, сопряжённого с риском
General subject: rarocar (risk adjusted return on capital at risk)Универсальный русско-английский словарь > cкорректированный с учётом рисков доход от капитала, сопряжённого с риском
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6 доходность капитала с @учётом риска
Finances: Risk-Adjusted Return on Capital (RAROC)Универсальный русско-английский словарь > доходность капитала с @учётом риска
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7 скорректированная риском доходность на капитал
Economy: Risk-Adjusted Return on CapitalУниверсальный русско-английский словарь > скорректированная риском доходность на капитал
См. также в других словарях:
Return On Risk-Adjusted Capital - RORAC — A rate of return used in financial analysis, whereby riskier projects and investments are evaluated based on the capital at risk. RORAC makes it easier to compare and contrast projects with different risk profiles. Allocated risk capital = the… … Investment dictionary
Risk adjusted return on capital — (RAROC) is a risk based profitability measurement framework for analysing risk adjusted financial performance and providing a consistent view of profitability across businesses. The concept was developed by Bankers Trust in the late 1970s. Note,… … Wikipedia
risk adjusted performance measure — RAPM Misura di redditività di un operazione, di un cliente, di un area di risultato o di un unità organizzativa. Per ottenere una misura RAP occorre mettere a confronto il margine economico ( al netto delle perdite attese ) associabile ad una … Glossario di economia e finanza
risk-adjusted return on capital — ( RAROC) An economic approach to measure unit and product profitability within a financial institution. Returns, adjusted to reflect normalized or expected losses, are divided by an amount of capital that is carefully quantified to reflect the… … Financial and business terms
Risk-Adjusted Return On Capital - RAROC — An adjustment to the return on an investment that accounts for the element of risk. Risk adjusted return on capital (RAROC) gives decision makers the ability to compare the returns on several different projects with varying risk levels. RAROC was … Investment dictionary
risk-adjusted return — The profit, often but not always expressed as a percentage rate of return on allocated capital, after recognizing applicable costs for credit risk, interest rate risk, liquidity risk and/or other financial risks. In some measures, risk costs are… … Financial and business terms
Risk Adjusted Return On Capital — Die RAROC Steuerung (Risk Adjusted Return on Capital) kennzeichnet ein wertschöpfungsorientiertes Zielsystem, welches in Kreditinstituten zur Anwendung kommt. Mit ihm lässt sich die Wertschöpfung (aus rein ökonomischer Sicht) auf verschiedenen… … Deutsch Wikipedia
Risk Adjusted Return on Capital — Die RAROC Steuerung (Risk Adjusted Return on Capital) kennzeichnet ein wertschöpfungsorientiertes Zielsystem, welches in Kreditinstituten zur Anwendung kommt. Mit ihm lässt sich die Wertschöpfung (aus rein ökonomischer Sicht) auf verschiedenen… … Deutsch Wikipedia
risk-adjusted rate of return — The profit, often but not always expressed as a percentage rate of return on allocated capital, after recognizing applicable costs for credit risk, interest rate risk, liquidity risk and/or other financial risks. In some measures, risk costs are… … Financial and business terms
risk-adjusted return on capital — RAROC A measure of the performance of units within a bank or financial organization, be they managerial units, products, distributional units, or such treasury based units as trading desks. It was developed by Bankers Trust and the Bank of… … Accounting dictionary
risk-adjusted return on capital — RAROC A measure of the performance of units within a bank or financial organization, be they managerial units, products, distributional units, or such treasury based units as trading desks. It was developed by Bankers Trust and the Bank of… … Big dictionary of business and management