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Introduction to Risk, Return, and the Historical Record推荐.docx

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Introduction to Risk, Return, and the Historical Record推荐

Chapter5: Introduction to Risk, Return, and the Historical RecordChapter Openerp. 117PART??IICASUAL OBSERVATION AND?formal research both suggest that investment risk is as important to investors as expected return. While we have theories about the relationship between risk and expected return that would prevail in rational capital markets, there is no theory about the levels of risk we should find in the marketplace. We can at best estimate the level of risk likely to confront investors by analyzing historical experience.???This situation is to be expected because prices of investment assets fluctuate in response to news about the fortunes of corporations, as well as to macroeconomic developments that affect interest rates. There is no theory about the frequency and importance of such events; hence we cannot determine a “natural” level of risk.???Compounding this difficulty is the fact that neither expected returns nor risk are directly observable. We observe only?realized?rates of return after the fact. Hence, to make forecasts about future expected returns and risk, we first must learn how to “forecast” their past values, that is, the expected returns and risk that investors actually anticipated, from historical data. (There is an old saying that forecasting the future is even more difficult than forecasting the past.) Moreover, in learning from a historical record we face what has become known as the “black swan” problem.1?No matter how long a historical record, there is never a guarantee that it exhibits the worst (and best) that nature can throw at us in the future. This problem is particularly daunting when considering the risk of long-run investments. In this chapter, we present the essential tools for estimating expected returns and risk from the historical record and consider the implications of this record (and the black swan problem) for future investments.???We begin by discussing interest rates and investments in safe assets and examine the history of r