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volatility+risk

  • 1 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

  • 2 ризик коливань

    Українсько-англійський словник > ризик коливань

  • 3 риск колебаний цен

    New russian-english economic dictionary > риск колебаний цен

  • 4 риск неустойчивости цен

    New russian-english economic dictionary > риск неустойчивости цен

  • 5 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)

    Business german-english dictionary > Sharpe-Ratio

  • 6 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)

    Business german-english dictionary > Sharpe-Maß

  • 7 риск колебаний

    Универсальный русско-английский словарь > риск колебаний

  • 8 риск ценовых колебаний

    Investment: volatility risk

    Универсальный русско-английский словарь > риск ценовых колебаний

  • 9 capital asset pricing model

    Econ
    a model of the market used to assess the cost of capital for a company based on the rate of return on its assets.
    EXAMPLE
    The capital asset pricing model holds that the expected return of a security or a portfolio equals the rate on a risk-free security plus a risk premium. If this expected return does not meet or beat a theoretical required return, the investment should not be undertaken. The formula used for the model is:
    Risk-free rate + (Market return – Risk-free rate) × Beta value = Expected return
    The risk-free rate is the quoted rate on an asset that has virtually no risk. In practice, it is the rate quoted for 90-day U.S. Treasury bills. The market return is the percentage return expected of the overall market, typically a published index such as Standard & Poor’s. The beta value is a figure that measures the volatility of a security or portfolio of securities, compared with the market as a whole. A beta of 1, for example, indicates that a security’s price will move with the market. A beta greater than 1 indicates higher volatility, while a beta less than 1 indicates less volatility.
         Say, for instance, that the current risk-free rate is 4%, and the S&P 500 index is expected to return 11% next year. An investment club is interested in determining next year’s return for XYZ Software Ltd., a prospective investment. The club has determined that the company’s beta value is 1.8. The overall stock market always has a beta of 1, so XYZ Software’s beta of 1.8 signals that it is a more risky investment than the overall market represents. This added risk means that the club should expect a higher rate of return than the 11% for the S&P 500. The CAPM calculation, then, would be:
    4% + (11% – 4%) × 1.8 = 16.6% Expected Return
         What the results tell the club is that, given the risk, XYZ Software Ltd. has a required rate of return of 16.6%, or the minimum return that an investment in XYZ should generate. If the investment club does not think that XYZ will produce that kind of return, it should probably consider investing in a different company.
    Abbr. CAPM

    The ultimate business dictionary > capital asset pricing model

  • 10 Länderrisiko

    Länderrisiko n 1. RW, POL sovereign risk; 2. BÖRSE, FIN country exposure, country risk (Synonym: länderspezifisches Risiko, landesspezifisches Risiko; the potential volatility of foreign stocks, or the potential default of foreign government bonds, due to political and/or financial events in the given country)
    * * *
    n 1. < Börse> country exposure; 2. < Finanz> country risk; 3. <Versich, Vw> country exposure

    Business german-english dictionary > Länderrisiko

  • 11 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)

    Business german-english dictionary > Sharpe Ratio

  • 12 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

  • 13 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

  • 14 изменчивость

    3) Biology: mutation
    5) Colloquial: streakiness
    6) Engineering: variance, volatility
    7) Construction: coefficient of variation
    9) Accounting: beta-risk
    10) Psychology: changeableness
    11) Immunology: shift
    12) Aviation medicine: modifiability

    Универсальный русско-английский словарь > изменчивость

  • 15 риск колебаний процентной ставки

    Универсальный русско-английский словарь > риск колебаний процентной ставки

  • 16 beta rating

    Fin
    a means of measuring the volatility (or risk) of a stock or fund in comparison with the market as a whole.
         The beta of a stock or fund can be of any value, positive or negative, but usually is between +0.25 and +1.75. Stocks of many utilities have a beta of less than 1. Conversely, most high-tech NASDAQ-based stocks have a beta greater than 1; they offer a higher rate of return but are also risky.
         Both alpha and beta ratings should be readily available upon request from investment firms, because the figures appear in standard performance reports. It is always best to ask for them, because beta calculations can involve mathematical complexities.

    The ultimate business dictionary > beta rating

См. также в других словарях:

  • Volatility risk — in financial markets is the likelihood of fluctuations in the exchange rate of currencies. Therefore, it is a probability measure of the threat that an exchange rate movement poses to an investor s portfolio in a foreign currency.The volatility… …   Wikipedia

  • Volatility risk — The risk in the value of options portfolios due to the unpredictable changes in the volatility of the underlying asset. The New York Times Financial Glossary …   Financial and business terms

  • volatility risk — The risk in the value of options portfolios due to the unpredictable changes in the volatility of the underlying asset. Bloomberg Financial Dictionary …   Financial and business terms

  • Volatility risk/exposure —   A treasury term for exposure to a change in the volatility of the exchange rate, irrespective of the direction of the movement …   International financial encyclopaedia

  • Volatility (finance) — Volatility most frequently refers to the standard deviation of the continuously compounded returns of a financial instrument with a specific time horizon. It is often used to quantify the risk of the instrument over that time period. Volatility… …   Wikipedia

  • risk — /rɪsk/ noun 1. possible harm or a chance of danger ♦ to run a risk to be likely to suffer harm ♦ to take a risk to do something which may make you lose money or suffer harm 2. ♦ at owner’s risk a situation where goods shipped or stored are… …   Marketing dictionary in english

  • risk — /rɪsk/ noun 1. possible harm or a chance of danger ♦ to run a risk to be likely to suffer harm ♦ to take a risk to do something which may make you lose money or suffer harm 2. ♦ at owner’s risk a situation where goods shipped or stored are… …   Dictionary of banking and finance

  • Volatility arbitrage — (or vol arb) is a type of statistical arbitrage that is implemented by trading a delta neutral portfolio of an option and its underlier. The objective is to take advantage of differences between the implied volatility of the option, and a… …   Wikipedia

  • Risk arbitrage — Risk arbitrage, or merger arbitrage, is an investment or trading strategy often associated with hedge funds. Two principal types of merger are possible: a cash merger, and a stock merger. In a cash merger, an acquirer proposes to purchase the… …   Wikipedia

  • risk measurement unit — ( RMU) A defined quantity or unit of risk. Quantities of risk may be defined for the purposes of setting risk exposure limits or for the purposes of allocating capital to measure risk adjusted returns on capital. RMUs are often defined in terms… …   Financial and business terms

  • Risk — takers redirects here. For the Canadian television program, see Risk Takers. For other uses, see Risk (disambiguation). Risk is the potential that a chosen action or activity (including the choice of inaction) will lead to a loss (an undesirable… …   Wikipedia

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