博迪投资学第八版chap.doc

Chapter 5 Risk and Return: Past and Prologue The 1% VaR will be less than -30%. As percentile or probability of a return declines so does the magnitude of that return. Thus, a 1 percentile probability will produce a smaller VaR than a 5 percentile probability. The geometric return represents a compounding growth number and will artificially inflate the annual performance of the portfolio. No. Since all items are presented in nominal figures, the input should also use nominal data. Decrease. Typically, standard deviation exceeds return. Thus, a reduction of 4% in each will artificially decrease the return per unit of risk. To return to the proper risk return relationship the portfolio will need to decrease the amount of risk free investments. E(r) = [0.3 ( 44%] + [0.4 ( 14%] + [0.3 ( (–16%)] = 14% (2 = [0.3 ( (44 – 14)2] + [0.4 ( (14 – 14)2] + [0.3 ( (–16 – 14)2] = 540 ( = 23.24% The mean is unchanged, but the standard deviation has increased. The holding period returns for the three scenarios are: Boom: (50 – 40 + 2)/40 = 0.30 = 30.00% Normal: (43 – 40 + 1)/40 = 0.10 = 10.00% Recession: (34 – 40 + 0.50)/40 = –0.1375 = –13.75% E(HPR) = [(1/3) ( 30%] + [(1/3) ( 10%] + [(1/3) ( (–13.75%)] = 8.75% (2(HPR) = [(1/3) ( (30 – 8.75)2] + [(1/3) ( (10 – 8.75)2] + [(1/3) ( (–13.75 – 8.75)2] = 319.79 ( = = 17.88% E(r) = (0.5 ( 8.75%) + (0.5 ( 4%) = 6.375% ( = 0.5 ( 17.88% = 8.94%  Time-weighted average returns are based on year-by-year rates of return. Year Return = [(capital gains + dividend)/price] 2007-2008 (110 – 100 + 4)/100 = 14.00% 2008-2009 (90 – 110 + 4)/110 = –14.55% 2009-2010 (95 – 90 + 4)/90 = 10.00% Arithmetic mean: 3.15% Geometric mean: 2.33% Time Cash flow Explanation 0 -300 Purchase of three shares at $100 per share 1 -208 Purchase of two shares at $110, plus dividend income on three shares held 2 110 Dividends on five shares, plus sale of one share at $90 3 396 Dividends on four shares, plus sale of four sha