hedge ratio

hedge ratio
фин. хеджевый коэффициент, коэффициент хеджирования (отношение ожидаемого изменения стоимости опциона к изменению рыночной цены финансового актива, лежащего в его основе)

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"хеджевый коэффициент": соотношение между фьючерской и наличной позициями, обеспечивающее оптимальное хеджирование (особенно при отсутствии фьючерского контракта на данный финансовый инструмент).
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коэффициент хеджирования

Англо-русский экономический словарь.

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Смотреть что такое "hedge ratio" в других словарях:

  • hedge ratio — The relationship between the number of contracts required for a direct hedge and the number of contracts required to hedge in a specific situation. The concept of hedging is to match the size of a positive cash flow from a gaining futures… …   Financial and business terms

  • Hedge Ratio — 1. A ratio comparing the value of a position protected via a hedge with the size of the entire position itself. 2. A ratio comparing the value of futures contracts purchased or sold to the value of the cash commodity being hedged. 1. Say you are… …   Investment dictionary

  • Hedge-ratio —   The proportion of underlying securities or options needed to hedge a written option.   The hedge ratio is determined by the delta …   International financial encyclopaedia

  • Hedge ratio (delta) — The ratio of volatility of the portfolio to be hedged and the return of the volatility of the hedging instrument. The New York Times Financial Glossary …   Financial and business terms

  • Hedge fund — A hedge fund is a private investment fund open to a limited range of investors which is permitted by regulators to undertake a wider range of activities than other investment funds and which pays a performance fee to its investment manager.… …   Wikipedia

  • Hedge (finance) — For other uses, see Hedge (disambiguation). Finance Financial markets …   Wikipedia

  • ratio writing — When an investor writes more than one option to hedge an underlying futures contract. These options usually are written for different delivery months. Ratio writing expands the profit potential of the investor s option position. Example: an… …   Financial and business terms

  • neutral hedge — hedge that is expected to yield a dollar neutral result of the combined position, regardless of price change in any part of the hedge securities. For any convertible trading at a premium, this ratio is less than 100%. The higher the convertible… …   Financial and business terms

  • Sterling Ratio — A ratio used mainly in the context of hedge funds. This risk reward measure determines which hedge funds have the highest returns while enduring the least amount of volatility. The formula is as follows: This formula uses the average for risk… …   Investment dictionary

  • Sharpe ratio — The Sharpe ratio or Sharpe index or Sharpe measure or reward to variability ratio is a measure of the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk (and is a… …   Wikipedia

  • Sterling Ratio — Die Sterling Ratio ist ein Ex post Maß für das Verhältnis zwischen Risiko und Ertrag eines (Hedge )Fonds. Sie zeigt das Verhältnis der Rendite zum durchschnittlichen höchsten Wertverlust abzüglich zehn Prozent an: Normalerweise werden hierzu die… …   Deutsch Wikipedia

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