Lernkarten

Oliver Hartmann
Karten 9 Karten 1 Lernende Deutsch Universität 02.09.2019 / 16.09.2019 Keine Angabe
0 Exakte Antworten 9 Text Antworten 0 Multiple Choice Antworten

Sharpe Ratio

(Average return - RiskFreeReturn) / Standard deviation

is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk.

Wenn bspw. der sichere (risikolose) Geldmarkt zwei Prozent als Rendite erwirtschaftet hat und der ausgewählte Fonds zehn Prozent, dann hat der Fonds eine Überschussrendite von acht Prozent. Diese acht Prozent werden nun ins Verhältnis gesetzt zum Risiko (Volatilität) des Fonds.

- Liegt die Sharpe ratio über eins (>1), so hat der Fonds einen Überschuss erwirtschaftet, der das höhere Risiko des Fonds kompensiert. Das ist eine positive Sharpe Ratio.

- Liegt die Sharpe ratio zwischen null und eins, so hat der Fonds zwar einen Überschuss bezüglich der Geldmarktverzinsung erzielt, aber der Überschuss entspricht nicht dem eingegangenen Risiko.

- Liegt die Sharpe ratio unter null (<0), so hat der Fonds nicht einmal die Verzinsung der sicheren Geldmarktanlage erreicht. Das ist eine negative Sharpe Ratio.

Sortino Ratio

Similar to the Sharpe Ratio, only that it takes the downside deviation instead of the standard deviation.

(Average return - RiskfreeReturn) / downside Deviatoo

Just like the Sharpe ratio, a higher Sortino ratio result is better. When looking at two similar investments, a rational investor would prefer the one with the higher Sortino ratio because it means that the investment is earning more return per unit of the bad risk that it takes on

Downside Deviation

This measure is similar to the loss standard deviation except the downside deviation considers only returns that fall below a defined minimum acceptable return (MAR) rather than the arithmetic mean. For example, if the MAR is 6%, the downside deviation would measure the variation of each period that falls below 6%. (The loss standard deviation, on the other hand, would take only losing periods, calculate an average return for the losing periods, and then measure the variation between each losing return and the losing return average).

Annualized Return

An annualized total return is the geometric average amount of money earned by an investment each year over a given time period.

12% annualized return in 3 years means 12% return earned every year for the past three years and not 12% total return in 3 years.

An annualized total return provides only a snapshot of an investment's performance and does not give investors any indication of its volatility

Skewness

This measure characterizes the degree of asymmetry of a distribution around its mean. Positive skewness indicates a distribution with an asymmetric tail extending toward more positive values. Negative skewness indicates a distribution with an asymmetric tail extending toward more negative values.

TWR

Time-Weighted-Return

Misst die Performance des Portfoliomanagers/Portfolio. Wie gut performt das Portfolio.

Der Kapitalfluss wird für diese Berechnung exkludiert.

Omega Ratio

The Omega ratio is a relative measure of the likelihood of achieving a given return, such as a minimum acceptable return (MAR) or a target return. The higher the omega value, the greater the probability that a given return will be met or exceeded. Omega represents a ratio of the cumulative probability of an investment’s outcome above an investor’s defined return level (a threshold level), to the cumulative probability of an investment’s outcome below an investor’s threshold level

Tracking Error

Standard deviation(PF - Bench )

Tracking error shows an investment's consistency versus a benchmark over a given period of time.

From an investor point of view, tracking error can be used to evaluate portfolio managers. If a manager is realizing low average returns and has a large tracking error, it is a sign that there is something significantly wrong with that investment and that the investor should most likely find a replacement. Evaluating the past tracking error of a portfolio manager may provide insight into the level of benchmark risk control the manager may demonstrate in the future.