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1、Chapter5:IntroductiontoRisk,Return,andtheHistoricalRecordChapterOpenerp.117PART IICASUALOBSERVATIONAND formalresearchbothsuggestthatinvestmentriskisasimportanttoinvestorsasexpectedreturn.Whilewehavetheoriesabouttherelationshipbetweenriskandexpectedreturnthatwouldprevailinrational
2、capitalmarkets,thereisnotheoryaboutthelevelsofriskweshouldfindinthemarketplace.Wecanatbestestimatethelevelofrisklikelytoconfrontinvestorsbyanalyzinghistoricalexperience. Thissituationistobeexpectedbecausepricesofinvestmentassetsfluctuateinresponsetonewsaboutthefortunesofcorporat
3、ions,aswellastomacroeconomicdevelopmentsthataffectinterestrates.Thereisnotheoryaboutthefrequencyandimportanceofsuchevents;hencewecannotdeterminea“natural”levelofrisk. Compoundingthisdifficultyisthefactthatneitherexpectedreturnsnorriskaredirectlyobservable.Weobserveonly realized
4、ratesofreturnafterthefact.Hence,tomakeforecastsaboutfutureexpectedreturnsandrisk,wefirstmustlearnhowto“forecast”theirpastvalues,thatis,theexpectedreturnsandriskthatinvestorsactuallyanticipated,fromhistoricaldata.(Thereisanoldsayingthatforecastingthefutureisevenmoredifficultthanfor
5、ecastingthepast.)Moreover,inlearningfromahistoricalrecordwefacewhathasbecomeknownasthe“blackswan”problem.1 Nomatterhowlongahistoricalrecord,thereisneveraguaranteethatitexhibitstheworst(andbest)thatnaturecanthrowatusinthefuture.Thisproblemisparticularlydauntingwhenconsideringtheris
6、koflong-runinvestments.Inthischapter,wepresenttheessentialtoolsforestimatingexpectedreturnsandriskfromthehistoricalrecordandconsidertheimplicationsofthisrecord(andtheblackswanproblem)forfutureinvestments. Webeginbydiscussinginterestratesandinvestmentsinsafeassetsandexaminethehis
7、toryofrisk-freeinvestmentsintheU.Soverthelast80years.Movingtoriskyassets,webeginwithscenarioanalysisofriskyinvestmentsandthedatainputsnecessarytoconductit.Withthisinmind,wedevelopstatisticaltoolsneededtomakeinferencesfromhistoricaltimeseriesofportfolioreturns.Wepresentaglobalviewo
8、fthehistoryofreturnsfromstocksand
