投资学（原书第12版）课件 英文 第5章　风险与收益入门及历史回顾

ChapterFiveRisk,Return,andtheHistoricalRecordPresenttoolsforestimatingexpectedreturnsandriskfromthehistoricalrecordInterestratesandinvestmentsinsafeassetsHistoryofrisk-freeinvestmentsintheU.S.ScenarioanalysisofriskyinvestmentsandthedatainputsnecessarytoconductitDevelopstatisticaltoolsneededtomakeinferencesfromhistoricaltimeseriesofportfolioreturnsChapterOverview©2021McGraw-HillEducation5-2Fundamentalfactorsthatdeterminethelevelofinterestrates:Supplyoffundsfromsavers,primarilyhouseholdsDemandforfundsfrombusinessestobeusedtofinanceinvestmentsinplant,equipment,andinventoriesGovernment’snetdemandforfundsasmodifiedbyactionsoftheFederalReserveBankExpectedrateofinflationInterestRatesandInflationRates©2021McGraw-HillEducation5-3AnominalinterestrateisthegrowthrateofyourmoneyArealinterestrateisthegrowthrateofyourpurchasingpowerRealandNominalRatesofInterest©2021McGraw-HillEducation5-4DeterminationoftheEquilibriumRealRateofInterest©2021McGraw-HillEducation5-5WeexpecthighernominalinterestrateswheninflationishigherIfE(i)

denotescurrentexpectationsofinflation,theFisherhypothesisisInterestRatesandInflation©2021McGraw-HillEducation5-6Taxliabilitiesarebasedonnominalincomeandthetaxratedeterminedbytheinvestor’staxbracketAfter-taxreturnfallsbythetaxratetimestheinflationrateTaxesandtheRealInterestRate©2021McGraw-HillEducation5-7FisherequationPredictsthenominalrateofinterestshouldtracktheinflationrate,leavingtherealratesomewhatstableAppearstoworkfarbetterwheninflationismorepredictableandinvestorscanmoreaccuratelygaugethenominalinterestratetheyrequiretoprovideanacceptablerealrateofreturnBillsandInflation,1926-2018©2021McGraw-HillEducationT-BillRates,InflationRates,

andRealRates,1926-2018©2021McGraw-HillEducation5-9InterestRatesandInflation,

1926-2018©2021McGraw-HillEducation5-10Effectiveannualrates(EAR)explicitlyaccountforcompoundinterestAnnualpercentagerates(APR)areannualizedusingsimpleratherthancompoundinterestEffectiveAnnualRate(EAR)andAnnualPercentageRate(APR)©2021McGraw-HillEducation5-11SourcesofinvestmentriskMacroeconomicfluctuationsChangingfortunesofvariousindustriesFirm-specificunexpecteddevelopmentsHoldingperiodreturn(HPR),orrealizedrateofreturn,isbasedonthepricepershareatyear’sendandanycashdividendscollectedRiskandRiskPremiums:

HoldingPeriodReturns©2021McGraw-HillEducationExpectedreturnsp(s)=probabilityofeachscenarior(s)=HPRineachscenarios=scenarioRiskandRiskPremiums:

ExpectedReturnandStandardDeviation(1of2)©2021McGraw-HillEducation5-13Variance(VAR):StandardDeviation(STD):RiskandRiskPremiums:

ExpectedReturnandStandardDeviation(2of2)©2021McGraw-HillEducation5-14RiskpremiumisthedifferencebetweentheexpectedHPRandtherisk-freerateProvidescompensationfortheriskofaninvestmentRisk-freerateistherateofinterestthatcanbeearnedwithcertaintyCommonlytakentobetherateonshort-termT-billsDifferencebetweenactualrateofreturnandrisk-freerateiscalledexcessreturnRiskaversiondictatesthedegreetowhichinvestorsarewillingtocommitfundstostocksRiskandRiskPremiums:

ExcessReturnsandRiskPremiums©2021McGraw-HillEducation5-15Whenusinghistoricaldata,eachobservationistreatedasanequallylikely“scenario”Expectedreturn,E(r),

isestimatedbyarithmeticaverageofsampleratesofreturnGeometric(Time-Weighted)AverageReturnGeometricrateofreturnIntuitivemeasureofperformanceoverthesampleperiodisthe(fixed)annualHPRthatwouldcompoundovertheperiodtothesameterminalvalueobtainedfromthesequenceofactualreturnsinthetimeseriesLearningfromHistoricalReturnsExpectedReturnsandtheArithmeticAverage©2021McGraw-HillEducationEstimatedvarianceExpectedvalueofsquareddeviationsUnbiasedestimatedstandarddeviationLearningfromHistoricalReturns:

VarianceandStandardDeviation©2021McGraw-HillEducation5-17InvestorspriceriskyassetssothattheriskpremiumwillbecommensuratewiththeriskofexpectedexcessreturnsBesttomeasureriskbythestandarddeviationofexcess,nottotal,returnsSharperatioEvaluatesperformanceofinvestmentmanagersLearningfromHistoricalReturns:

TheReward-to-Volatility(Sharpe)Ratio©2021McGraw-HillEducation5-18TheNormalDistribution

(1of2)©2021McGraw-HillEducation5-19Normaldistributionisabell-shapedprobabilitydistributionthatcharacterizesmanynaturalphenomenaE.g.,heightsandweightsofnewborns,testscores,etc.InvestmentmanagementismoremanageablewhenreturnscanbewellapproximatedbythenormaldistributionSymmetricStableOnlymeanandstandarddeviationareneededtoestimatefuturescenariosStatisticalrelationbetweenreturnscanbesummarizedwithasinglecorrelationcoefficientTheNormalDistribution

(2of2)©2021McGraw-HillEducation5-20StandardmeasureofasymmetryintheprobabilitydistributionofreturnsiscalledtheskewofthedistributionSTD(Sharperatio)nolongeracompletemeasureofrisk(performance)KurtosisKurtosisconcernsthelikelihoodofextremevaluesoneithersideofthemeanattheexpenseofasmallerlikelihoodofmoderatedeviationsMeasuresthedegreeoffattailsDeviationsfromNormalityandTailRiskSkewness©2021McGraw-HillEducation5-21(mean=6%,SD=17%)NormalandFat-TailedDistributions(mean=.1,SD=.2)SkewnessandKurtosisNormalandSkewedDistributions©2021McGraw-HillEducation5-22MeasuresofdownsideriskValueatrisk(VaR)Lossthatwillbeincurredintheeventofanextremeadversepricechangewithsomegiven,usuallylow,probabilityExpectedshortfall(ES)ExpectedlossonasecurityconditionalonreturnsbeinginthelefttailoftheprobabilitydistributionLowerpartialstandarddeviation(LPSD)SDcomputedusingonlytheportionofthereturndistributionbelowathresholdsuchastherisk-freerateofthesampleaverageRelativefrequencyoflarge,negative3-sigmareturnsNormalityandRiskMeasures:

DownsideRisk©2021McGraw-HillEducation5-23HistoricReturnsonRiskyPortfolios©2021McGraw-HillEducation5-24Century-plus-longhistory(1900–2017)