Availability and profitability of financial assets. Profitability of assets for the bank Return on assets roa

The main economic characteristics of any financial asset are its value, income, profitability and risk. Management decisions are made based on these parameters.

Market value or price (market value) is the external value of an asset, which is determined by the price and proposition. In fact, this proposition is indicated by the awareness of investors who rely on information about the coming month. The price of an asset is an objective value, but often does not reflect the effective status of information through the inadequacy and asymmetricity of information, the inadequacy of perception and interpretation of information and the inadequacy of investor action c.

Internal (fundamental, actionable, valid, scientific, fair, theoretical) value of an asset (intrinsic value, fair value) - the price that the asset owes to its mother, which comes from all factors beyond the minds of the free market. The internal quality of valuable papers is similar to the quality of goods. Internal awareness of the correct form of factors is entirely adequate in magnitude, but by its nature it is subjective and plural.

If the internal price V outweighs the current market price P, then. Variety is underestimated and there is no sense of adding an asset. Since the price completely discourages internal volatility, then speculative transactions with the asset are ineffective. The internal power of the asset is primary, and the price is secondary, in the minds of the equally important market, the price strongly reflects the internal power of the asset and spontaneously establishes how the investor’s thought is of utmost importance in (analysts).

The basis for the effective functioning of any market is information. For financial markets, the following types of information are available:

statistical (prices, services, amount of dividends, profitability, etc.);

analytical (analytical reviews and assessments, recommendations for investors, judicial precedents, etc.);

normative (legislative and regulatory acts that regulate the issue and circulation of valuable papers).

The financial market is effective (efficient financial market) if the rates of valuable papers display all the secretly available information (about the economy, financial markets and a specific company). As a result, the price changes rapidly depending on new information. Thus, the rates of valuable papers fluctuate rapidly due to the fundamental value. The disruptive force of market efficiency is due to the special interests that cause investors to buy undervalued or sell overvalued assets. The more participants in the market and the more information available to them, the more efficient the market will be.

New information may lead to a change in internal behavior, but it is impossible to transfer the further progress of the change. Thus, it is not necessary to quickly provide information about the exchange rate of a valuable paper in the past, in order to transfer its future changes and eliminate profits. Nekorisnaya may show respect before the release of new products, until the time when the investor can earn money, prices will change according to the principles of efficient markets. If investors are lucky, they will, on average, be satisfied with the normal (estimated) profitability, which indicates the riskiness of the investment.

There are three stages of market efficiency:

1. Weak-form efficiency: Historical sequence of prices generally displays too much information about prices. In other words, information about prices in the past does not improve the accuracy of their forecast for the next day.

2. Semistrong-form efficiency: current prices fully reflect all publicly available information (including explicit information), including items such as daily news and releases wine

3. Strong-form efficiency: precise prices highlighting all information of a proprietary and private nature (ie, internal company information not available to the public).

Practice shows that the market for primary stocks, for example, on the New York Stock Exchange (NYSE), remains effective. The only way to make a significant profit is through internal information about the company. such as is known only to pottery workers and gardeners, but not to the general public. And here the Securities and Exchange Commission (SEC) is accepting attempts by “insiders” (people who may be related to the company and may have confidential data) to dishonestly take away profits from an unknown source at information. Since the courses of valuable papers carry all the information available to the widest possible stakes, they can talk about the future. In an efficient market, you won’t have to worry about it anymore.

At the same time, there are anomalies (exclusions) that cast doubt on the effectiveness of markets (for example, the crash of the stock market in the USA on January 19, 1987, which caused a 20% drop in the market in just a few years). There is no doubt that market prices contain clear information and can therefore be completely trusted. Possibly, the stench is just a legacy of unknown and foolish processes.

The effectiveness of the market to establish a positive phenomenon. The hypothesis about the efficiency of stock markets appears to be true only in the context of the fact that a large number of investors do not believe in its effectiveness and are led to believe in it. In other words, the main theory is that there are a large number of market participants in the market, and in order to get rid of their profits, they quickly collect and analyze all the information. And finally, if the activity of collecting data and the resulting estimates is taken into account, financial markets become significantly less efficient.

As a rule, the price adequately reflects the available relevant information and internal tradeability of the asset in efficient markets. For less efficient markets, where information is less available and asymmetrical, the price reflects the intrinsic value of the asset at a lower rate.

When the internal risk of an asset (price paper) is determined, which is necessary for predicting the market price of the asset and the capitalization of the stock market, three main theories and approaches are used: technocratic, fundamental and “walking” theory navmannya" (vipadkovyh blukan, vipadkovykh podіy) (Fig. 2.1).

Technocrats (or “chartists” in the English chart) argue that they have collapsed from the past to the present day and insist that the trading of a valuable paper can be based on minimal information from the markets (prices, trading obligations, etc.). It is assumed that the market has adequate mechanisms that analyze and store all information. A technocratic (technical) approach will block the volatility of the price collapse, then. Based on the evidence of a persistent trend. Trend analysis within the framework of technical analysis makes it possible to evaluate the consistency of flow prices and internal production. As a rule, the technical approach is based on short-line analysis (for the period before the end).

The fundamental approach comes from the fact that internal volatility is assessed as the discounted volatility of future penny flows to the asset. This approach is suitable for long-line analysis. Here the analyst forecasts external and internal officials (forces) that will contribute to the future earnings of a stock (for example, dividends for a stock) and makes a decision. Factors change, assessments of value change, and management decisions are formed to suit a valuable paper. The most obvious decisions are related to the purchase and sale of valuable papers. At the same time, more complex decisions can be made, related, for example, to the purchase or sale of some valuable papers, the acquisition of new information and agreements with other valuable papers (for example, options oniv).

Further management decisions are followed, so that, according to the law of equality, the market price flows into the market price. In turn, a change in market price can also be perceived by investors as a factor (signal) that provides an incentive for further action.

Officials who contribute to the value of a particular issuer’s valuable paper can be divided into:

Systemic (macroeconomic);

political (sovereign);

International (financial markets);

Galuzevi (galuzi emitter and knitted galuzev);

Enterprise (issuer).

The forecast of macroeconomic officials is based on information about the prospects for economic development, for example, GDP indicators, inflation, unemployment, etc. An important fundamental factor in the economy is the price of resources (material, labor and financial). For example, for the Russian markets, the main driver is light prices for naphtha and other hydrocarbon resources. World prices for naphtha are calculated on two main markets: IPE (London) and NYMEX (New York). The highest crude oil grades are designated by the term Brent. To assess its stock price, a special IPE Brent Index is developed, which includes Brent, Forties and Oseberg grades, one basis point equals 0.01 USD/barrel). Russian brands of naphtha (Urals) have much poorer properties and remarkably low prices.

Among the important fundamental factors, there is also such a factor as the interest rate, which reflects the availability of the financial resources of the economy. For example, today’s clear trend in the growth of multi-million dollar rates in the world (in the USA, Europe and Japan) is reducing the pressure on the market prices of financial instruments.

In the markets where the state has not yet developed control mechanisms, there is obviously a great influx of political factors. The impact of power (positive and negative) can be applied both to other enterprises, especially to strategic concerns, and to the market and economy. Among officials who anticipate the development of financial markets, they expect high inflation.

Officials can wear a folding rank. For example, an increase in oil prices on light markets will lead to an increase in spending and inflation in the country. This, in turn, leads to an increase in the supply and availability of other energy resources, which is a negative factor for enterprises and valuable assets (for example, transport, energy).

Also, the income and profitability of naphtha exporters are increasing. There is an increase in the production of knitted clothing (for example, machine equipment, cans, etc.). In the longer term, this is stimulated by domestic growth and the growth of production in the region. The availability of foreign currency has been advanced to the extreme, gradually leading to an increase in the exchange rate of the national currency. This is beneficial for importers to increase imports of both investment goods (machinery, installations, technologies) and related goods. Alternatively, an increase in the exchange rate reduces the competitiveness of domestic (non-energy) goods and increases the competitiveness of imported goods (in global and commodity markets). The transfer of power (political factor) in this process is largely untransferable, which causes insignificance (rizik) in the assessment of the value of valuable papers.

When making individual investment decisions, it is necessary to separate short-term factors that will operate in the near future (a few months before the fate) and long-term factors that will operate in the future. more. It is absolutely necessary to consider the investor’s goals, for example, the investment horizon.

Issuer factors (domestic officials), which will put a huge influx on the stock of valuable papers, are forecasted due to the settlement of the economic and financial sector of enterprises and markets on which they operate. The report's fundamental indicators of entrepreneurship are discussed in other sections.

The theory of “walking on a whim” and random walks come out of the assumption that the current price of an asset reflects all the necessary past and future information, so there is no need to joke in addition. It is impossible to transfer the necessary information to the market and therefore it is impossible to transfer the price changes, then. The market is ahead of the investor. Prices will vary greatly depending on internal expectations, then. The best solution for an investor is the “buy and try” solution.

We also note one of the current approaches to making investment decisions, which goes beyond the name chaos theory or the theory of nonlinear dynamic systems. The term “chaos” does not have a precise mathematical meaning and is defined as the lack of transferability of a stationary, nonlinear, irregular, folding structure that arises from a dynamic system. The purpose of the approach, on the one hand, is based on the softness and untransferred interconnection of the surface (“blizzard effect”), and, on the other hand, it transfers the basis of the zagal order, which makes it possible to consolidate the technical methods new analysis. Moreover, the methods of chaos theory can be successfully used in various markets (for example, in foreign exchange and commodity markets).

It’s crazy that at this time, every theory is completely unable to explain all the collapses in market prices, but the remaining parts of the market are a complex system, and people are most often irrational and cannot be considered with a healthy mind. Alas, it seems that “fathers of skin are important.” The technical approach is most often used in short-line analysis, although the analysis of long-line trends is also useful. The fundamental theory is most expanded in long-term analysis, and over time, reasonable approaches begin to prevail entirely in psychology (the hour is ticking). In addition, fundamental analysis allows us to evaluate the effective (fair) value of any asset.

In line with the fundamental approach of the theory, internal ownership of an asset can be calculated using the formula:

(2.1)

de CFi is the net penny return (current income) of the i-rock investor, r is the investor’s required return (rate of return) on investment in this asset, Pn is the invested n-rock market interest in the asset.

The return required by the investor (necessary for the investor) is the level of return on capital that is provided by the investor. It may be calculated as a risk-free return + a premium for the risk associated with the asset. Risk-free rate, risk-free interest rate is defined as profitability for investments with the lowest risk, such as valuable papers of the guilty powers or deposit rate some of the most reliable commercial banks. The premium for the risk of an asset can be estimated by the way it compares with similar assets. In other words, the rate r is determined by the investor's alternative options for allocating money to similar assets. In some cases, simplicity is accepted less on par with the average return (profitability) of investor capital.

Penny flows from investment in financial assets can be in the form of current penny receipts or income (rents, income and dividends) or in the form of a market price at the time of sale (redemption) of the asset.

Income from valuable papers can be deducted from the form of flowing income (dividend, coupon) or from the form of capitalized income (for price changes).

For stringless valuable papers and constant penny potency CFi = CF = const the value is determined by the formula of the unsquandered annuity V = CF / r.

Profitability and profitability rate (yield) represents income, payments in hundreds of units at the primary price of the asset during the period (depending on the duration of the period). It depends on the appearance of the interest rate in hundreds of (river) and depositary units. The presence is factual (minute, actual) and realized (mayday, expected).

The average return on capital invested in an asset (return on the asset) is calculated using the following formula:

r = (CF + P1-P0) / P0, (2.2)

where CF is the current flow of income to the asset, P0 is the price of the asset at the beginning of the cycle, P1 is the price of the asset at the end of the cycle, (P1-P0) is the increase in the market value of the asset.

For example, if CF = 10 rubles, P0 = 100 rubles, P1 = 120 rubles.

r = (10 + 120-100) / 100 = 0.1 + 0.2 = 0.3 = 30%.

Viraz (2.2) includes two additions: flow rate return (CF/P0) and capitalized return ((P1-P0) / P0). For example, the analogue of the withdrawal of flow income and profitability is the creation of non-discretion in hiring, and the withdrawal of capitalized profitability is the purchase and sales.

It is important to note that from the investor, it may be significant as the return on the surrounding asset, or the return on the entire capital (portfolio) of the investor, then. The impersonality of assets and costs. For example, an investor can periodically spend a large amount of capital on the investment, which will add income to all capital. Meal requirements are discussed in 3.1.

The profitability cannot be measured because the period of withdrawal of the profit is unknown. If the period of income withdrawal becomes t-days, then the profitability is the same as the interest rate of simple mortgages (in the case of 365 days), then. without reinvestment of income, calculated in cash units using the formula:

r = rt * 365 / t = rt * 1 / n, (2.3)

The real yield is like the interest rate of folding bills, then. If it is possible to reinvest (capitalize) income, it is calculated using the following formula:

r = (1 + rt) 365 / t -1 = (1 + rt) 1 / n -1, (2.4)

where rt is the profitability of period t-days, n is the number of rocks in period t.

Since in the minds of the front butt all parameters are taken away for a second time (n = 0.5), then for simple hundreds the profitability for river banks is 2 * 0.3 = 0.6 = 60%, and for folding units (1 + 0.3 ) ) 2 -1 = 0.69 = 69%.

In financial markets they mean yield to maturity (YTM). YTM is an effective rate that equals future penny flows and the real price of the asset. That. YTM=r from level (2.1) at V=P. Profitability to maturity is similar to the indicator of the internal rate of return (IRR) of an investment project.

The rate of return of the investor r is necessary YTM(V

When investments are held by a qualified financier of a number of rocks, it is often necessary to calculate the average return. The average actual profitability is assessed based on the arithmetic average, the geometric average profitability and the profitability before maturity.

Formula for the arithmetic average profitability for the period:

(2.5)

where r i is the i-variant of profitability for the period, N is the number of variants (periods).

The arithmetic average is used to estimate the average actual profitability for a non-trivial period (in short-line analysis) and with the determined estimated profitability, which transfers equalities to the appearance of the option ів r i. If the period increases with the rock, then when estimating the river flow, vikoryst (2.3) or (2.4) is used.

Formula for geometric average return for the period:

(2.6)

The geometric mean is used to estimate the average profitability for one period, given the N-profitability for a number of periods. The geometric mean of the overlap is taken from the arithmetic mean. Since the triviality of one period varies with the river, then when estimating the river inflow vikorystvo (2.3) or (2.4).

butt. The share price for a cob of rock became 100 UAH. For example, at the end of the first fate 120 rubles, and at the end of another 100 rubles. First flow rate r1 = (120-100)/ 100 =0.2. Profit for another river r2 = (100-120)/100 = -0.1667. The arithmetic average of the gain for 2 periods is ra = (0.2-0.1667) / 2 = 0.0017 = 1.7%. The average geometric overflow rg = ((1+0.2)* (1-0.1667)) (½) -1 = 0. It’s crazy that another result is correct, because For two years of capital growth, there is no profit. Therefore, for a more accurate assessment of the average profitability per hour, it is necessary to completely correct formula (2.6).

The filling capacity until maturity is calculated as 100 = 100/ (1+YTM) 2, then. YTM = 0. Given the presence of flow income in the middle of the analyzed period, the yield to maturity is avoided by the geometric mean.

What is significant is the average return, since for the first river a current income of 10 UAH was deducted. Todi for the 1st river r1 = (10 +120-100) / 100 = 0.3. ra = (0.3-0.1667) / 2 = 0.0067 = 6.7%. rg = ((1 +0.3) * (1-0.1667)) (½) -1 = 0.041 = 4.1%. The filling capacity until maturity is calculated as equal to 100 = 10/(1+YTM) +100/(1+YTM) 2. Zvidsi YTM = 0.051 = 5.1%.

Apparently, management decisions are pending. at the estimated (predicted) displays. To determine the calculated on-offness M = M(r i) (mathematical evaluation or average on-offness), you can use the formula of the average:

(2.7)

de p i - The reliability (value) of the realization of profitability r i, the sum of all pi is equal to 1.

If the probability (frequency) pi is determined by statistics, then the estimates are avoided with (2.5) and objective ones, but may not account for future changes. Since the reliability of the subdivision is assessed expertly, based on fundamental analysis, this means that the results are subjective. By all means, the subjectivity of assessments can be reduced through the training of many experts.

Please assume that the information reflects future results. If there is stability of economic officials, then from the assessment of the estimated profitability in the short-term period, a technical approach can be used. based on past statistics. And here for the assessment of the environmental parameters, zokrem. profitability, you can use the method of covariate averages (there are various technical methods of analysis, such as reports, for example, in).

In practice, there are the following types of convoluted averages: simple, exponential is important. A simple mean is similar to (2.5) and is estimated as the arithmetic mean of the previous periods:

, (2.8)

where r t +1 is the forecasted profitability for the period (t+1), N is the order of the variable average (the number of periods that will be forecast), t is the remaining actual period. The problem lies in the choice of the order of the middle N, then. a number of data that provide information about the future.

The middle line is important, and the greater value for which new data is coming is indicated as:

, (2.9)

where? pi = 1, i = 1, N. This method is supported by the official, who is more responsible for the “fresh” data. This is due to the increased index growth. Apparently, up to the given power of the vagi, p i can be calculated using the sum of numbers:
.For example, for N=3 and t=3: p 1 =1/(1+2+3)=1/6=0.17; p 2 =2/(1+2+3)=2/6=0.33; p 3 =3/(1+2+3)=3/6=0.5.

The exponential curve of the average er t is defined as:

where  is the smoothing coefficient, which is in the interval (0.1), r t is the actual profitability for period t.

Forecast based on the exponential average er t +1 є refinements of the previous forecast er t by multiplying the forecast (r t – er t) by coefficient . The coefficient  is selected according to the results. In case of a normal trend, the value may be close to zero, and in case of a direct trend or for the duration of advances, the value of the row in front is close to 1. The cob value for the forecast er t can be taken off using (2.8).

If the forecast chart exceeds the chart of actual values, then the trend is downward, and if it is lower, it is advancing. A change in the actual and forecast charts, as a rule, means a change in the trend.

At the same time, it is clear that with increased predictability, the likelihood of changes in factors increases. Therefore, the profitability can be assessed simultaneously from a variety of different approaches, incl. fundamental analysis

The profitability can be confirmed and its insignificance, then. rizik (risk). The risk, apparently, is due to the incredibleness of removing the creases. Direct breaks mean the possibility of withdrawing negative returns (changes in capital). Indirect overflows – the likelihood of under-removal of the added profitability is equalized with the extracted one (for example, with minimally possible alternative additions). The financial risk of any valuable paper is speculative, then. There is certainty that if I lose, I will win.

The financial risk can be divided into two groups: 1. risk of purchasing power of pennies; 2. investment risk.

The loss of purchasing power of pennies can occur through changes in prices (inflationary and deflationary risk), fluctuations in exchange rates (currency risk) or during the process of penny reforms (liquidity risk). Liquidity of an asset is a characteristic of the liquidity of its sale for saving money. Pennies are the most liquid asset. However, as we know from history, the liquidity of pennies may decrease (with the issuance of new pennies, banknotes, exchange for ready-made pennies, etc.).

It is necessary to trust the official to the hour, then. moment of possession of pennies. For example, the issuer of the bond wins in the event of an unplanned increase in prices (inflation was inflated from the price and profitability), because extinguishes real varity from the future. The investor loses in this situation, obviously.

Investment risk associated with investment decisions. For example, the risk of non-payment and bankruptcy (credit risk) is associated with the impossibility of making payments by a business based on securities of securities (denomination and denomination). The market (exchange) risk and the risk of price changes are revealed by changes in the prices of assets on the stock market. The capital risk is revealed by changes in the value of an asset through changes in interest rates on financial markets. This risk is determined in advance on securities with a fixed interest rate (for example, bonds). The risk of liquidity can manifest itself in the inability of a person to sell a valuable paper for a fair price, which leads to a decrease in price and loss of profits.

At the same time, in addition to the financial risk, there is a trace of insurance and operational risk, due to the unclear determination of the employees of their functional obligations, technical failures in the work of the owner or shahraist. Here you can figure out the names of the model's vest, which are related to the inadequacy of the model, as it is victorious when the decision is praised. All this can lead to serious conflict with the investor’s information and expenses.

The investment risk is speculative, then. allows you to make a win. This is the position that an investor borrows on an asset. Long position is a term used in financial contracts to represent the position of an individual when an asset is present. Taking a long position means gaining an asset. Short position is a term used in financial contracts to describe the position of an individual, including an asset. Short sales (short sales) or sales without covering a support system can be used to take the asset to the borg, and then return it for a fair price.

For example, when monthly rates increase, then... parameter r (2.1) is expected to reduce the value of the asset. For a long position, the investor loses part of the profit, and for a short position, the investor saves money when purchasing an asset. When interest rates go down, a reversal may occur.

Indicators of the profitability and risk of assets can be the characteristics of the probability distribution. Most often, there is a normal division, which is characterized by mathematical calculations (average, mean, mean) and mean square deviations (standard deviation) or dispersion (squared standard deviation).

The root mean square (standard) variation (RMS) of the surplus, the dimension of which is compared with M, characterizes the spread (dispersion, volatility, volatility, volatility) of the defect around the average value:

(2.11)

For obvious statistics, if you change r i , the standard deviation is indicated as:

(2.11.1)

In a number of cases, the sign of this virus is not N, but (N-1), then. an unbiased estimate is indicated (for example, it is stagnant when using the EXEL spreadsheet function).

For a normal division with 68% accuracy, the fall value is lost in the sections (M-, M+), with 90% in the sections (M-1.65, M+1.65), with 9 5% - from sections (M-2, M+2) and accuracy of over 99% for sections (M-3, M+3). Yakshcho (M-1.65)<0, то можно сделать вывод о том, что вероятность убытков существенна (больше 5%) и риск достаточно высокий.

p align="justify"> The coefficient of variation shows how many hundreds of additional profitability values ​​on average vary from the estimated value and are calculated:

KV =  / M * 100, % (2.12)

The coefficient of variation allows you to clearly assess the level of the aquifer. If KV does not exceed 10%, the risk is low. If KV is in the range of 10-25%, then the risk is average (moderate). If KV exceeds 25%, the risk is high.

At the same time, the greatest objective characteristic of the level of risk is also the likelihood of removing direct overflows (negative profitability) and the availability of indirect overflows (under-removal of profitability is equal to ikuvanaya).

butt. Please, the table provides statistics on the return on assets.

The parameters of the average profitability and risk are significant. Average profitability according to (2.5) M = (-5 + 15 +22 +26 +34 +31 +30 +19 +17 +11) / 10 = 20%. Z vikoristannyam vyzhazhennoj kovznoї middle (2.9), then. with more recent information (with an order of N=10), the yield was found to be 21.4%, which can beat the trend that is moving forward.

Dispersion of the fit of the zgidno (2.11.1)  2  = (-5-20) 2 +(15-20) 2 +(22-20) 2 +(26-20) 2 +(34-20) 2 + ( 31 -20) 2 + (30-20) 2 + (19-20) 2 + (17-20) 2 + (11-20) 2 = 1198% 2. Todi rounded  = 11%. The 90% confidence interval is significant: M–1.65 = 0.019. This means that there is no risk of removing the excess. Coefficient of variation KV =  / M * 100 = 55% (the flow rate is high).

Almost every entrepreneur deals with transactions involving financial assets. Great companies are aware of the market capital of additional funding sources, market indicators provide an objective assessment of the current and, therefore, the capital of the issuers. Most important companies engage in transactions with valuable papers using the method of hedging, speculation, etc. Therefore, knowledge of the main market indicators and algorithms, their structure is obligatory for be any businessman, financial manager, analyst.

Financial asset As with any product that is sold on the market, there are a number of characteristics that indicate the importance of the purchase/sale operation of this specific product. Instead of basic, living commodities, financial assets are purchased not on the basis of their actual compounding, but with the intention of withdrawing either the regular income generated by this asset (for example, dividends, dividends) figurative income (income from a purchase/sale transaction). Therefore, the greatest interest is in such characteristics of a financial asset as varity, price, profitability, risk.

Value is a penny estimate of the value of a given asset. Specialized literature often displays four varity indicators: value, price, varity, sobivart. The terms “variety” and “value” are indistinguishable, and to characterize the valuation of an asset, the term “vartism” is used.

Variety (value) is not an absolutely unambiguous characteristic; Let's look at the offensive butt, which is a rare item that is sold on the market, on the one hand, because of its high value for a collector, and, on the other hand, it may not be of great interest to the market. Therefore, any product, let’s look at a financial asset, can result in a number of valuations.

Price- this is a penny valuation of the asset, through which you can buy (sell) at this moment.

It is possible to formulate a number of rules that allow one to make a significant difference between the price and value of a financial asset:

a) the price is a rozrakhunkovy display, and the price is a declaration, that is. information that can be found in price lists, price lists, and quotation books;

b) at any specific moment, the price is unambiguous, and the value is rich, and many estimates of value depend on the number of professional participants in the market and the form of market efficiency;

c) with common wisdom, one can confirm that the value is primary, and the price is secondary; in the minds of the equal market, the price, in the first place, somehow expresses the internal power of the asset in a different way, , spontaneously establishing itself as the average value of the risk that investors will insure .

From these observations it is clear how transactions of purchase/sale of financial assets can take place: the potential buyer first takes ownership of the asset and equals the declared price.

Also, in addition to price and profitability, there are other important characteristics of an asset for an investor - these are indicators of its profitability .

Profitability of a financial asset- a fixed interest rate, which reflects the return on capital of investments in this asset. In literature, the term is also synonymous with the term profit rate. This is an indicator that is expressed in terms of the market interest rate and is insured in relation to the current income (INC) generated by this asset, with the amount of the exit investment (IS) Until then, then. The most flamboyant person in this show may have performances in the following manner:

In operations on financial markets, the profitability itself (and not the income generated by the asset) is the most required characteristic of a financial asset. On the right is that any income (and this could include a dividend, income, increase in capitalized capital), which could be used as an indicator of the effectiveness and efficiency of the operation With this asset, one can make up for the shortfall - it is an absolute showpiece , and that may not be added to the space-time settings. Another right profitability is already a clear indicator, a reasonable corridor of change in the economy, which is steadily developing, is not susceptible to extreme fluctuations, cannot only be assessed, but is also invariant for valuable papers of any issuers.

To understand the logic of the breakdown of indicators of the profitability of a financial asset and related calculation algorithms, we consider the forecast (planned) period, which is equivalent to one fate (Fig. 1). It is acceptable that, first of all, the asset can be bought at the beginning of the market at the price of P 0, otherwise, the asset is valued after the completion of the job, reducing regular income in the amount of D 1 - thirdly, the asset can be sold at the beginning of the market at the price of P 1 . It is important to note that the discussion about regular income is not obligatory (for example, a bond with a zero coupon does not transfer payments to regular income, but is sold at a discount, the amount of which is due to the maturity date of the bond). In any case, the values ​​of indicators D 1 and P 1 are predictive.

Between the indicators of the price and regular income, which is related to one moment at a time, there are songs and very obvious relationships, and it is time to make an upcoming comment. P 0 can be called an ex-profit price, then. at the cost of introducing a regular income of D 0 increases before payments for the accounts of the previous period. Otherwise, it seems that the value of P 0 determines the value of a financial asset from its future position, then. received income, and not the same income that was in short supply in the past. So the price P 1 itself will reflect the value of the asset at the time of hour 1 from the position of future income (D 2, D 3, etc.). tobto. the income of D 1 does not depend on it, and the mold does not take part in it. This respect is especially important during the current operation of shares that are subject to payment of dividends. In this type, the regular income is a dividend, and the price P 0 is called the ex-dividend price, since before the price P 0 a dividend D 0 is added, then the dividend valuation is called the dividend price of the share .

Set P 1 > P 0 , although the resulting inequality is not complicated: just as there is a reversal of inequality behind the bags, it seems: about the accumulation of capitalization and types I have no negative income.

Then, when the asset is added to the place, there is an influx of value in the amount of P 0, and after the end of the fate, there is an influx in the amount of regular income D 1 and the current price of the asset P 1. Obviously, the out-of-pocket income generated by the investment P 0 in the planned rotating stock is the value D 1 + (P 1 - P 0)), and the total expected rate of return will be equal to:

The first addition (k d) in the formula is current yield; in addition to shares, it is also called dividend yield; another addition (k c) is called expected capital gains yield. The above formula clearly shows that the underlying income (or the underlying profitability) consists of two components, and depending on the success of the operation and the development strategy of the company that included this asset, the importance of one or the other component may vary. Thus, when choosing to purchase an asset from another company, the investor is required to set priorities for himself - which is more important, regular income or income from capital growth. Based on the indicators of profitability on the right side, it is impossible to distinguish as a further characteristic of the effectiveness of investment in a specific financial asset, in which role the indicator of additional profitability plays a role.

In this case, the profitability indicator can be interpreted as a market rate, which equals the exit investment in an asset with a penny (revolving) flow that is generated by it. This is an effective market rate, which characterizes the economic efficiency of this financial transaction.

Depending on the type of financial asset, the flow that is generated by it may vary.

Thus, for a non-string bond, all elements of the return flow are the same. It is important to note that depending on the investor’s intentions to act on the asset, both the type of flow and the value of the profitability indicator can change.

Depending on the type of financial asset and the absolute indicators chosen for its characteristics, it is possible to calculate a number of numerical characteristics of profitability. Some of their values ​​can vary widely, we cannot talk about abstract profitability, it is necessary to clearly clarify what is going on, which algorithm is used for development.

Deposit in two warehouses: income and expenses.

Rate of growth of income and expenditure

Establishing the growth rate of these warehouses makes it possible to estimate which of them contributes to profits.

• turbojet engine- Rate of income growth;
• D 1- Income to the bank during this period;
• D 0- Income to the bank in the past period;
• TPP- Vitrat growth rate;
• P 1- Pay the bank during the festive period;
• P 0- Spend the jar in the past period.

Elasticity coefficient of income growth

The coefficient of elasticity of income growth is insured, which is calculated as the ratio of the growth rate of income to the growth rate of expenses to the bank. However, the coefficient is greater than one, which indicates the economical wastage of funds, and, however, the coefficient is less than one, but the cost is not wasted economically.

The value of the elasticity coefficient for high-income income exceeds one, for non-high-income income it is less than one.

The rhubarb covers non-fifty expenses with non-fifty income

Of greater importance in banking practice is the level of coverage of non-bid expenditures with non-fiscal income:

• D n- Non-profit income;
• R n- Nevidsotkov wasted.

The value of this indicator in foreign banking practice is set at around 50, then. The level of non-interest income may become less than 50% of non-interest expenses.

Profit structure coefficients

It is necessary to identify the stage of influx of various active operations into the bank for forming its profit. For which profit structure coefficients are used:

• K1, K2, K3- Profit structure coefficients;
• Dchko- Net income from credit transactions;
• D black and white- Net income from transactions with valuable papers;
• D chpo- Net income from other operations;
• P- Profit.

The way of distributing these coefficients is to identify the operations of the commercial bank that bring in the largest share of profits.

Indicators of profitability and profitability

The main indicators of the effectiveness of a bank’s activity are indicators of profitability, profitability (profitability).

The profitability of various banking operations is determined through indicators:

• net interest margin;
• operating margin.

Net interest margin

Net interest margin pay for the formula

• NIM- Net interest margin;
• D p- Total income for the period;
• R p- Total expenses per period;
• A d- Assets that generate income.

Operating margin

Operating margin- profitability of the bank’s main operations. Vaughn will pay for the formula

• D chosn- Net income from main banking operations;
• A d- Assets that generate income.

Net income from main banking operations is covered by the following sum:

• net interest income;
• net gains from foreign exchange transactions;
• net income from operations with valuable papers;
• net profits from leasing operations;
• net income from operations with precious metals.

Income from other operations pay for the formula

• D chpo- Net income from other operations;
• A d- Assets that generate income.

Net income from other operations - from the sale of mines, write-off of receivables, accounts payable, lease of mines, and other operations.

The profitability of commission operations is insured according to the formula

• D to- Profitability of commission transactions;
• D chk- Net commission income;
• A d- Assets that generate income.

Profit spread

The traditional indicator of the bank's profitability is profit spread:

• D p- Total income;
• R p- Vіdsotkovі spent;
• A d- Profitable assets;
• P in- Pass the bank, which is used to pay hundreds of dollars.

The additional spread evaluates how successfully the bank performs the function of an intermediary between depositors and principals.
How intense is the competition in the banking market. Increased competition is likely to lead to a reduction in the difference between average income for assets and average expenses for liabilities. In the minds of all other officials, the spread of the bank is shortened, which disturbs the bank in search of other ways to steal profits.

Also, this indicator is valuable and, therefore, sees the influx of high-cost rates on the financial result of the bank’s activity, thereby allowing us to better understand the level of volatility of the bank’s income transactions. The level of this indicator with that of the group of domestic banks, and with the increase in insurance in the average Russian region, allows the bank to evaluate the effectiveness of the cellular policy.

The equalization of profitability indicators allows you to identify the most effective bank operations, based on the ROA indicator, and also identify operations that contribute to changes in the financial result. When it is necessary for the mother to respect that:

• an indicator of the operating margin to indicate the place in the active operations of the bank of traditional banking operations (position operations, operations with securities and operations with foreign currencies);
• The value of the relocation of the indicator of profitability of assets over the indicator of net capital margin characterizes the bank’s ability to deduct capital income and indicate the high level of interest in the bank’s assets, which is associated with capital income, and or the presence of a significant portion of commission income in the bank’s income.

Therefore, it is necessary to look at the indicator of profitability of commission transactions. The low significance of this indicator indicates the lack of respect for the bank and the development of new banking services, which is one of the reserves for increasing the bank’s profitability.

The dynamics of profitability indicators for a number of significant dates and their alignment with the average values ​​for a specific group of banks allows us to identify trends in increasing (decreasing) profit, identifying factors that have given the greatest influx to its change, make a note of the financial stability of the bank and determine the reserves for increasing efficiency robotic jar.

Profitability for the bank

The profitability (profitability) of a commercial bank is taken to be the ratio of balance sheet profit to total income:

• R zag- Profitability for the bank;
• P- profit;
• D - profits to the bank.

The global level of profitability allows you to estimate the overall profitability of the jar, and determine the profit that falls on 1 ruble. income (part of the profit on income). This is the main indicator that indicates the effectiveness of banking activities.

The income of one employee to the bank is a mechanism for the aggregate assessment of the profitability of all bank personnel:

• P year- Net profit to the bank;
• OCP - limited number of staff.

The level of profitability of a commercial bank is assessed using additional financial ratios. The profitability coefficient system includes the following main indicators:

• contribution to income and power capital;
• related income and assets;
• related to profit and income.

The methodology for developing these indicators is based on the accepted edge of the system of image and luminosity.

The numerator of these financial ratios will always have the financial result of the bank's activities on the relevant date. Under the current Russian financial system, there is a balance profit in the number; under foreign standards, there is a net profit.

Profitability to capital

World practice shows that the initial indicator of the effectiveness of bank capital is maximizing the return on shareholder capital for saving a favorable balance to the economy. In addition to the market price of a bank share, an important indicator for assessing the bank’s activity is the ratio of net income to shareholder capital (ROE in foreign practice). This show characterizes how effectively the cats of the Vlasniks were victorious by drawing fate, then. This means a loss of profitability for the bank’s shareholders. It establishes the approximate amount of net income received by shareholders from investing their capital.

In current practice, capital surplus is insured using the following formula:

• PC- profitability of capital;
• P B- balance sheet profit for the period;
• SK- Obligation to the powerful capital during the period.

The indicator of profitability of capital characterizes the ability of capital to generate profits and allows us to assess the possibility of ensuring a real increase in capital in proportions adequate to the growth of business activity.

It is recommended to compare the value of capital surplus with indicators of capital sufficiency (an increase in the first indicator with a decrease in the other value indicates an expanded number of risk transactions).

Profitability of assets

Return on assets (ROA) One of the main coefficients allows us to give a comprehensive assessment of the bank’s profitability.

• ROA - profitability of assets;
• P B - balance profit;
• A - the result of the asset balance sheet for the period.

The profitability of assets characterizes the ability of the bank's assets to generate profits and indirectly reduces their capacity, and indicates the effectiveness of the bank's management of its assets and liabilities.

The low ratio may be the result of conservative credit policies and excessive operating expenses; The high importance of the indicator is to indicate the further disposal of assets.

This display can be modified:

A d- Assets that generate income.

The difference between these two indicators is that it is possible for a bank to increase its profitability by shortening a number of assets that do not generate income.

In foreign practice, the number of these indicators is a net profit.

It is necessary to note that in people’s minds the rate of growth in the profitability of assets and capital is to blame for the indicator of the average level of inflation.

When managing profitability, the value of profitability of assets and capital must be equalized from the average values ​​for a similar group of banks.

Indicators of profitability of assets and profitability of capital are the main ones in the system of financial ratios of bank profitability. However, a high income of bonds, as a rule, with a great risk, it is necessary to immediately take the step of protection from the risk to the bank.

Material from the site

What is the profitability of business assets?

Return on assets(Return on Assets, ROA) is a reliable indicator of the efficiency of the business, which is used in the analysis of financial performance, to assess the profitability and profitability of the organization.
Return on assets is a financial ratio that characterizes the return on all assets of an organization, the effectiveness of a variable line that allows one to evaluate the performance of financial managers. This shows how much net income a penny unit generates from each unit of assets in a particular enterprise. Otherwise, it seems: how much profit is generated by each penny invested in the organization.
The profitability ratio becomes of interest: for investors, lenders, lenders and post-payers. With the help of the ROA coefficient, you can analyze the organization’s ability to generate revenues outside of its capital structure. Return on Assets related to such categories as financial reliability of the enterprise, payability, creditworthiness, investment profitability, competitiveness.

How to get insurance from the ROA coefficient

Return on assets is calculated as a percentage of the net profit (or surplus) withdrawn during the period, by the total amount of the organization's assets during the period.
ROA = ((net profit + interest payments) * (1 – tax rate)) / enterprise assets * 100%.
As is obvious from the formula, the entire profit of the enterprise is shown before the payment of interest on the loan. And then, to the amount of net profit, the amount of recovered sums from the settlement of the tax is added. Payments in posikovyk kosts are placed before gross withdrawals, and investors' profits are paid from the profits after the recovery of all bankroll payments.
Such features of the structure are connected with the fact that when forming assets, two financial assets are formed – financial assets and positions. Also, for the formation of assets, it makes no difference which ruble was received from the stock warehouse, and which was contributed by the ruler of the enterprise. The essence of the indicator of profitability lies in the extent to which the skin of the obtained products was effectively obtained. For these reasons, it is necessary to exclude from the net profit the amount of interest payments paid before the income tax.

The financial and economic analysis of a business has two main groups – absolute and specific indicators. To the absolute maximum, revenues, sales and profits are reported. Analysis of these indicators does not allow for a comprehensive assessment of the government's activities.

For a better picture, the key indicators are the ratios of financial strength, liquidity and profitability. Relevant indicators are also useful when changing a number of organizations.

What does the return on assets of a business show?

Return on assets (ROA-returnonassets) is an indicator that reflects the effectiveness of various assets. There are 3 types of profitability of assets:

• return on non-current assets (ROA ext);
• return on current assets (ROA);
• return on assets (ROA).

Non-current assets (VNA)- These are the main enterprises shown in the first section of the balance sheet for medium-sized enterprises and in rows 1150 and 1170 for small enterprises. Non-current assets are maintained for 12 months, do not waste their technical power in the process of operation and sometimes transfer their responsibility to the property of the produced products (services, manufactured work).

Non-current assets include:

• main assets (materials, equipment, equipment, tools, inventory, power lines, transport, etc.);
• intangible assets (rights, patents, licenses, trademarks, business reputation, etc.);
• long-term financial investments (investments in other organizations, long-term positions (over 12 months), etc.).
• otherwise.

Non-current assets can be divided into 3 groups:

• material: basic assets,
• intangible: intangible assets,
• Financial: financial investments.

Working assets (About)– for all enterprises, in the first section, the balance sheet of medium-sized enterprises is in the rows 1210, 1230 and 1250. Current assets are accumulated over a period of less than 12 months during one financial cycle (as it concerns the river), you must immediately transfer your responsibility to the complicity of the processed products (provided services , vykonuvanyh robots).

Current assets include:

• werewolf cats in stocks and unfinished production;
• for inflated values;
• receivables debt;
• short-term financial investments;
• koshti and penny equivalents.

Current assets can be divided into 3 groups:

• material: stocks,
• intangible: receivables, cash and penny equivalents,
• financial: the tax is added to the value (PDV) for added values, short-term financial investments (in addition to penny equivalents).

The total amount of assets of a business can be calculated by adding up the value of non-current and current assets.

Return on assets formula for investment

In general terms, the formula for increasing the profitability of assets looks like this:

ROA = (PR / A avg) * 100%

ROA=(PP/A avg)*100%

Return on assets shows how many copies of income from sales and net income bring one karbovanets of investment from the assets of the enterprise. The profitability of the watchdog's assets outweighs the profitability of the assets to generate profits.

The amount of profit from sales can be found in the article about financial results (profits and surplus) or calculated using the following formula:

de TR (totalrevenue) - this is the revenue of the enterprise in a different way, TC (totalcost) - total mutuality. The revenue (TR) can be found by multiplying the sales volume (Q - quantity) by the price (P - price): TR = P * Q.

Full Compliance (TC) can be found by accumulating all expenses of the enterprise: materials, components, wages of workers and administrative and management personnel, depreciation of health care, expenses for utilities and services, security and safety, factory and factory expenses, etc.

The amount of net profit can be found in the article about financial results (profits and surplus) or can be analyzed using the following formula:

PP=TR-TC-Pr+PrD-N,

de PrR - other expenses, PrD - other income, N - amount of accumulated taxes. Other income and expenses include expenses that are not related to the main activities of the organization, among them - exchange rate differences, the amount of additional valuation/depreciation of assets.

The value of assets must be taken from the balance sheet.

Formula for the allocation of funds to the organization's balance sheet

Balance sheet – form No. 1 of the accounting information of an enterprise. The balance sheet shows the value of items for the beginning of the production period (the end of the front) and the end of the production period. To analyze the profitability of assets, it is necessary to know the arithmetic average of the value of the skin statistic/section.

For medium-sized enterprises, it is necessary to develop the arithmetic mean in the series of values ​​of 190 (At a time for section I) - the average value of non-current assets (VnA avg) is obtained, and then in the series of values ​​of 290 (at a time for section Ilom II) - the average value of current assets is obtained (both avg. ).

For small businesses, it is necessary to expand the arithmetic average of the row values ​​1150 (Tangible non-current assets) and 1170 (Intangible, financial and other non-current assets) - the average The initial value of non-current assets (VnA equal).

Then the values ​​of the rows 1210 (Inventories), 1250 (costs and penny equivalents) and 1230 (financial and other current assets) - the average value of current assets (both SR) is obtained.

VnA sr = VnA np + VnA kp,

de VnA np - the value of non-current assets at the beginning of the flow (end of the forward) period, VnA kp - the value of non-current assets at the end of the flow period.

ObA av = Ob np + Ob kp,

de Oba np - the totality of non-current assets at the beginning of the flow (end of the front) period, Oba kp - the totality of non-current assets at the end of the flow period.

A avg = BnA avg + Both equal.

for non-current assets - ROA vn = PR / VnA avg;

for current assets - ROA ext = PR / ObA avg

Regulatory values

Standard values ​​for return on assets vary depending on the specifics of the business activity. The table shows standards for the main types of government activity.

Obviously, a trading organization will likely find a return on assets comparable to other types of activities, since this organization has a low balance of non-current assets.

A virtual organization with a large amount of current assets per share of ownership results in average profitability. The financial organization functions for the minds of fierce competition, which is why it is low.

Thus, the indicator of profitability of assets is important for the analysis of the financial and economic activities of an enterprise and its comparison with other organizations. Return on assets shows the effectiveness of the recovery of non-current and current assets.