Risk Adjusted Return on Capital I’m pretty sure it’s equal to expected return/VAR, but please let me know if this accurate.
I think it’s: ( Return - rf )/Risk measure such as VAR
There isn’t one formula, it depends. It’s expected return over some measure of risk, i.e. VAR. All depends on what you like. Like VAR? Then formula= Expected return / VAR.
important: it’s not excess return in the numerator, but just expected return.
Ooo, nice catch. thanks
Much appreciated gents.