INVESTMENTS 投资学 （博迪BODIE, KANE, MARCUS）Chap005 Introduction to Risk, Return, and the Historical Record.ppt

* * * * * * * * * * * * * * * * * * * * * * * * * * Figure 5.5A Normal and Skewed Distributions Figure 5.5B Normal and Fat-Tailed Distributions (mean = .1, SD =.2) Value at Risk (VaR) A measure of loss most frequently associated with extreme negative returns VaR is the quantile of a distribution below which lies q % of the possible values of that distribution The 5% VaR , commonly estimated in practice, is the return at the 5th percentile when returns are sorted from high to low. Expected Shortfall (ES) Also called conditional tail expectation (CTE) More conservative measure of downside risk than VaR VaR takes the highest return from the worst cases ES takes an average return of the worst cases Lower Partial Standard Deviation (LPSD)and the Sortino Ratio Issues: Need to consider negative deviations separately Need to consider deviations of returns from the risk-free rate. LPSD: similar to usual standard deviation, but uses only negative deviations from rf Sortino Ratio replaces Sharpe Ratio Historic Returns on Risky Portfolios Returns appear normally distributed Returns are lower over the most recent half of the period (1986-2009) SD for small stocks became smaller; SD for long-term bonds got bigger Historic Returns on Risky Portfolios Better diversified portfolios have higher Sharpe Ratios Negative skew Figure 5.7 Nominal and Real Equity Returns Around the World, 1900-2000 Figure 5.8 Standard Deviations of Real Equity and Bond Returns Around the World, 1900-2000 Figure 5.9 Probability of Investment Outcomes After 25 Years with a Lognormal Distribution Terminal Value with Continuous Compounding When the continuously compounded rate of return on an asset is normally distributed, the effective rate of return will be lognormally distributed. The Terminal Value will then be: Figure 5.10 Annually Compounded, 25-Year HPRs Figure 5.11 Annually Compounded, 25-Year HPRs Figure 5.12 Wealth Indexes of Selected Outcomes of Large Stock Portfolios and the Aver