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1、FinalPDFtoprinterCHAPTERFIVERisk,Return,andtheHistoricalRecord5CASUALOBSERVATIONANDformalresearchisevenmoredifficultthanforecastingthebothsuggestthatinvestmentriskisasimpor-past.)Moreover,inlearningfromahistoricaltanttoinvestorsasexpectedreturn.Whilewerecordwefacew
2、hathasbecomeknownashavetheoriesabouttherelationshipbetweenthe“blackswan”problem.1Nomatterhowriskandexpectedreturnthatwouldprevaillongahistoricalrecord,thereisneveraguar-inrationalcapitalmarkets,thereisnotheoryanteethatitexhibitstheworst(andbest)aboutthelevelsofrisk
3、weshouldfindinthethatnaturecanthrowatusinthefuture.Thismarketplace.Wecanatbestestimatethelevelproblemisparticularlydauntingwhencon-ofrisklikelytoconfrontinvestorsfromhis-sideringtheriskoflong-runinvestments.Intoricalexperience.thischapter,wepresenttheessentialtools
4、forThissituationistobeexpectedbecauseestimatingexpectedreturnsandriskfromthepricesofinvestmentassetsfluctuateinresponsehistoricalrecordandconsiderimplicationsfortonewsaboutthefortunesofcorporations,asfutureinvestments.wellastomacroeconomicdevelopments.ThereWebeginw
5、ithinterestratesandinvest-isnotheoryaboutthefrequencyandimpor-mentsinsafeassetsandexaminethehistorytanceofsuchevents;hencewecannotdeter-ofrisk-freeinvestmentsintheU.Soverthelastminea“natural”levelofrisk.86years.Movingtoriskyassets,webeginwithCompoundingthisdifficul
6、tyisthefactthatscenarioanalysisofriskyinvestmentsandtheneitherexpectedreturnsnorriskaredirectlydatainputsnecessarytoconductit.Withthisobservable.Weobserveonlyrealizedratesofinmind,wedevelopstatisticaltoolsneededreturn.Hence,tomakeforecastsaboutfuturetomakeinference
7、sfromhistoricaltimeseriesexpectedreturnsandrisk,wemustlearnhowofportfolioreturns.Wepresentaglobalto“forecast”theirpastvalues,thatis,theviewofthehistoryofstockandbondreturnsPARTIIexpectedreturnsandriskthatinvestorsactu-worldwide.Weendwithimplicationsoftheallyanticip
8、ated,fromhistoricaldata.(Therehistoricalrecordforfutureinvestmentsandisanoldsayingthatforecastingthefutureriskmeasurescommonlyusedintheindustry.1
