风险与回报 chap009

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1、Chap9RiskandReturnLessonsfromMarketHistoryYixiaWangCM,HUSTMar.20102011/2/16FN11KeyConceptsandSkillslKnowhowtocalculatethereturnonaninvestmentlKnowhowtocalculatethestandarddeviationofaninvestment’sreturnslUnderstandthehistoricalreturnsandrisksonvarioustypesofinvestmentslUnderstandthe

2、importanceofthenormaldistributionlUnderstandthedifferencebetweenarithmeticandgeometricaveragereturns2011/2/16FN12ChapterOutlinelHowtomeasurereturnslHowtomeasurerisklRisk-returntradeofflRiskpremiumlMoreonAverageReturns2011/2/16FN13HowtomeasureReturns:singleperiodlDollarReturnsthesumo

3、fthecashreceivedandthechangeinvalueoftheasset,inDividendsdollars.EndingmarketvalueTime01PercentageReturns–thesumofthecashreceivedandtheInitialchangeinvalueoftheassetdividedbyinvestmenttheinitialinvestment.2011/2/16FN14ReturnsDollarReturn=Dividend+ChangeinMarketValuedollarreturnperce

4、ntagereturn=beginningmarketvaluedividend+changeinmarketvalue=beginningmarketvalue=dividendyield+capitalgainsyield2011/2/16FN15Returns:ExamplelSupposeyoubought100sharesofWal-Mart(WMT)oneyearagotodayat$25.Overthelastyear,youreceived$20individends(20centspershare×100shares).Attheendoft

5、heyear,thestocksellsfor$30.Howdidyoudo?lQuitewell.Youinvested$25×100=$2,500.Attheendoftheyear,youhavestockworth$3,000andcashdividendsof$20.Yourdollargainwas$520=$20+($3,000–$2,500).lYourpercentagegainfortheyearis:$52020.8%=$2,5002011/2/16FN16Returns:ExampleDollarReturn:$520gain$20$3

6、,000Time01PercentageReturn:$520-$2,50020.8%=$2,5002011/2/16FN17HowtomeasureReturns:Multipleperiodsl1)Theholdingperiodreturn:thereturnthataninvestorwouldgetwhenholdinganinvestmentoveraperiodofnyears,whenthereturnduringyeariisgivenasri:holdingperiodreturn==1(+r)´1(+r)´L´1(+r)-112n2011

7、/2/16FN18HoldingPeriodReturn:ExamplelSupposeyourinvestmentprovidesthefollowingreturnsoverafour-yearperiod:YearReturnYourholdingperiodreturn=110%=1(+r)´1(+r)´1(+r)´1(+r)-112342-5%320%=.1(10)´(.95)´.1(20)´.1(15)-1415%=.4421=44.21%2011/2/16FN19HoldingPeriodReturnslAfamoussetofstudiesde

8、alingwithratesofret