To develop meaningful
risk adjusted return targets, which can be used to assess various strategic options as well as impact goals and incentives.
The key to maximizing a portfolio's profitability is a comprehensive analysis that reviews the
risk adjusted return of every location in the portfolio.
Guru Ramakrishnan, Managing Director at Morgan Stanley, added that "The Morgan Stanley-Algo partnership will provide the right framework for establishing industry transparency, appropriate benchmarking, and
risk adjusted return metrics which will be critical to the ongoing success of the hedge fund industry.
RMS, Oliver Wyman & Company, and eRisks are partners in the development of P&C RAROC, Property & Casualty
Risk Adjusted Return on Capital, a set of proprietary methodologies to assist Property and Casualty insurers and reinsurers in managing risk, capital and shareholder value across all risk types and activities.
At year-end 1998,
risk adjusted return on assets was negative 20%.
Over the past 10 years, Oliver Wyman & Company has assisted many of the world's largest commercial and investment banks in developing methodologies that link risk to required capital (Economic Capital) and measure
Risk Adjusted Return on Capital (RAROC).
The current
risk adjusted return on assets is negative and the 1997 operating ratio of 222.
The
risk adjusted return on assets indicates a combination of poor historical underwriting performance with excessive earnings volatility.
In our case we manage our reserves in such a way as to insure safety, liquidity, and
risk adjusted returns.
Carry Trade Survival Kit In this report, we argue that carry traders can increase their
risk adjusted returns by tracking the levels of three different inter-market indicators: FX implied volatility, options risk reversals and interest rate expectations.
Going forward, we will continue choosing our transactions selectively, both on the debt and equity side, while seeking appropriate
risk adjusted returns.
The addition of Bill will further enable us to address the investment needs of our institutional clients and develop investment products that we believe will be successful in delivering superior
risk adjusted returns in varying interest rate environments," said Robert Caruso, Managing Partner and Chief Operating Officer, Highbridge Capital Management.
