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Risk Return Ratio
The risk-return ratio is a measure of return in terms of risk for a specific time period. The percentage return (R) for the time period is measured in a straightforward way: :R=\frac where P_ and P_ simply refer to the price by the start and end of the time period. The risk is measured as the percentage maximum drawdown (MDD) for the specific period: :\textit=\max_(DD_t)\textDD_t=\begin \displaystyle 1-(1-DD_)\frac&\textP_t-P_<0\\ 0&\text\end where ''DDt'', ''DD''''t''-1, ''Pt'' and ''P''''t''-1 refer the drawdown (''DD'') and prices (''P'') at a specific point in time, ''t'', or the time right before that, ''t''-1. The risk-return ratio is then defined and measured, for a specific time period, as: : Note that dividing a percentage numerator by a percentage renders a single nu ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Return On Investment
Return on investment (ROI) or return on costs (ROC) is a ratio between net income (over a period) and investment (costs resulting from an investment of some resources at a point in time). A high ROI means the investment's gains compare favourably to its cost. As a performance measure, ROI is used to evaluate the efficiency of an investment or to compare the efficiencies of several different investments.Return On Investment – ROI , Investopedia as accessed 8 January 2013 In economic terms, it is one way of relating profits to capital invested. Purpose In business, the pur ...[...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Risk
In simple terms, risk is the possibility of something bad happening. Risk involves uncertainty about the effects/implications of an activity with respect to something that humans value (such as health, well-being, wealth, property or the environment), often focusing on negative, undesirable consequences. Many different definitions have been proposed. The international standard definition of risk for common understanding in different applications is “effect of uncertainty on objectives”. The understanding of risk, the methods of assessment and management, the descriptions of risk and even the definitions of risk differ in different practice areas (business, economics, environment, finance, information technology, health, insurance, safety, security etc). This article provides links to more detailed articles on these areas. The international standard for risk management, ISO 31000, provides principles and generic guidelines on managing risks faced by organizations. Definitions ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Drawdown (economics)
The drawdown is the measure of the decline from a historical peak in some variable (typically the cumulative profit or total open equity of a financial trading strategy). Somewhat more formally, if X(t), \; t \ge 0 is a stochastic process with X(0) = 0, the drawdown at time T, denoted D(T), is defined as: D(T) = \max\left max_X(t)-X(T),0 \right \equiv \left \max_X(t)-X(T) \right The average drawdown (AvDD) up to time T is the time average of drawdowns that have occurred up to time T:\operatorname(T) = \int_0^T D(t) \, dtThe maximum drawdown (MDD) up to time T is the maximum of the drawdown over the history of the variable. More formally, the MDD is defined as: \operatorname(T)=\max_D(\tau)=\max_\left max_ X(t)- X(\tau) \right/math> Pseudocode The following pseudocode computes the Drawdown ("DD") and Max Drawdown ("MDD") of the variable "NAV", the Net Asset Value of an investment. Drawdown and Max Drawdown are calculated as percentages: MDD = 0 peak = -99999 for i = 1 to N step ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Denominator
A fraction (from la, fractus, "broken") represents a part of a whole or, more generally, any number of equal parts. When spoken in everyday English, a fraction describes how many parts of a certain size there are, for example, one-half, eight-fifths, three-quarters. A ''common'', ''vulgar'', or ''simple'' fraction (examples: \tfrac and \tfrac) consists of a numerator, displayed above a line (or before a slash like ), and a non-zero denominator, displayed below (or after) that line. Numerators and denominators are also used in fractions that are not ''common'', including compound fractions, complex fractions, and mixed numerals. In positive common fractions, the numerator and denominator are natural numbers. The numerator represents a number of equal parts, and the denominator indicates how many of those parts make up a unit or a whole. The denominator cannot be zero, because zero parts can never make up a whole. For example, in the fraction , the numerator 3 indicates that the ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Calmar Ratio
Calmar ratio (or Drawdown ratio) is a performance measurement used to evaluate Commodity Trading Advisors and hedge funds. It was created by Terry W. Young and first published in 1991 in the trade journal ''Futures''. Young owned California Managed Accounts, a firm in Santa Ynez, California, which managed client funds and published the newsletter ''CMA Reports''. The name of his ratio "Calmar" is an acronym of his company's name and its newsletter: CALifornia Managed Accounts Reports. Young defined it thus: Young believed the Calmar ratio was superior because It should be mentioned that a competitor newsletter, ''Managed Account Reports'' (founded in 1979 by publisher Leon Rose), had previously defined and popularized another performance measurement, the MAR Ratio, equal to the compound annual return ''from inception'', divided by the maximum drawdown ''from inception''. Although the Calmar ratio and MAR ratio are sometimes assumed to be identical, they are in fact different: ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Sterling Ratio
The Sterling ratio (SR) is a measure of the risk-adjusted return of an investment portfolio. While multiple definitions of the Sterling ratio exist, it measures return over average drawdown, versus the more commonly used max drawdown. While the max drawdown looks back over the entire period and takes the worst point along that equity curve, a quick change of the look back allows one to see what the worst peak to valley loss was for each calendar year as well. From there, the drawdowns of each year are averaged to come up with an average annual drawdown. The original definition was most likely suggested by Deane Sterling Jones (a company no longer in existence): :SR=\frac If the drawdown is put in as a negative number, then subtract the 10%, and then multiply the whole thing by a negative to result in a positive ratio. If the drawdown is put in as a positive number, then add 10% and the result is the same positive ratio. To clarify the reason he (Deane Sterling Jones) used 10% in ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Financial Ratios
A financial ratio or accounting ratio is a relative magnitude of two selected numerical values taken from an enterprise's financial statements. Often used in accounting, there are many standard ratios used to try to evaluate the overall financial condition of a corporation or other organization. Financial ratios may be used by managers within a firm, by current and potential shareholders (owners) of a firm, and by a firm's creditors. Financial analysts use financial ratios to compare the strengths and weaknesses in various companies. If shares in a company are traded in a financial market, the market price of the shares is used in certain financial ratios. Ratios can be expressed as a decimal value, such as 0.10, or given as an equivalent percent value, such as 10%. Some ratios are usually quoted as percentages, especially ratios that are usually or always less than 1, such as earnings yield, while others are usually quoted as decimal numbers, especially ratios that are usually ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
