- Risk Measures
- Statistical measures that are historical predictors of investment risk and volatility and major components in modern portfolio theory (MPT). MPT is a standard financial and academic methodology for assessing the performance of a stock or a stock fund compared to its benchmark index.
There are five principal risk measures:
Alpha: Measures risk relative to the market or benchmark index
Beta: Measures volatility or systemic risk compared to the market or the benchmark index
R-Squared: Measures the percentage of an investment's movement that are attributable to movements in its benchmark index
Standard Deviation: Measures how much return on an investment is deviating from the expected normal or average returns
Sharpe Ratio: An indicator of whether an investment's return is due to smart investing decisions or a result of excess risk.
Each risk measure is unique in how it measures risk. When comparing two or more potential investments, an investor should always compare the same risk measures to each different potential investment to get a relative performance.
Investment dictionary. Academic. 2012.
Look at other dictionaries:
Risk-Adjusted Return — A concept that refines an investment s return by measuring how much risk is involved in producing that return, which is generally expressed as a number or rating. Risk adjusted returns are applied to individual securities and investment funds and … Investment dictionary
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
Risk aversion — is a concept in psychology, economics, and finance, based on the behavior of humans (especially consumers and investors) while exposed to uncertainty. Risk aversion is the reluctance of a person to accept a bargain with an uncertain payoff rather … Wikipedia
Risk assessment — is a common first step in a risk management process. Risk assessment is the determination of quantitative or qualitative value of risk related to a concrete situation and a recognized threat. Quantitative risk assessment requires calculations of… … Wikipedia
Risk equalization — is a way of equalizing the risk profiles of insurance members in order to reduce premium differences to some predetermined extent.In competitive markets for individual health insurance, risk rated premiums are observed to differ across subgroups… … Wikipedia
Risk society — is a term used to describe a society that is organized in response to risk. According to sociologist Anthony Giddens, it is a society increasingly preoccupied with the future (and also with safety), which generates the notion of risk (Giddens… … Wikipedia
Risk analysis (Business) — Risk analysis is a technique to identify and assess factors that may jeopardize the success of a project or achieving a goal. This technique also helps to define preventive measures to reduce the probability of these factors from occurring and… … Wikipedia
risk assessment — In the context of employment law, an assessment of the levels of harm which may be involved in various workplace activities and as a result of using equipment required to carry these activities out and the likelihood of such harm occurring. Risk… … Law dictionary
Risk Analysis and Biocontamination Control — (RABC, deutsch: Risikoanalyse und Kontrollsystem Biokontamination) stellt ein System zur Kontrolle der mikrobiologischen Qualität von Textilien während der Aufbereitung in Wäschereien dar. Es wurde als Europäischer Standard EN 14065:2002… … Deutsch Wikipedia
risk management — risk manager. the technique or profession of assessing, minimizing, and preventing accidental loss to a business, as through the use of insurance, safety measures, etc. [1960 65] * * * risk management UK US noun [uncountable] business a method of … Useful english dictionary