本科風(fēng)險(xiǎn)管理課件 01-Sample-Risk-and-Return-Calculations

,VFINX,AIVSX,AMECX,AWSHX,FCNTX,FGRIX,FMAGX,FPURX,JANSX,TWCUX,TBILL

Year1,7.40%,6.99%,13.12%,9.12%,15.89%,11.53%,7.03%,15.43%,6.86%,1.27%,8.20%

Year2,9.91%,11.60%,14.05%,13.08%,21.43%,19.54%,24.66%,21.44%,10.91%,21.82%,8.20%

Year3,1.19%,0.15%,-2.50%,0.48%,-1.11%,2.26%,-1.81%,1.79%,-1.11%,-3.61%,8.20%

Year4,37.43%,30.63%,29.07%,41.24%,36.27%,35.39%,36.82%,21.45%,29.43%,37.68%,8.20%

Year5,22.87%,19.35%,15.23%,20.16%,21.93%,20.05%,11.68%,15.16%,19.61%,13.85%,8.20%

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HoldingPeriodReturn,101.72%,86.43%,87.10%,110.40%,131.21%,121.59%,100.18%,99.56%,81.43%,86.37%,48.30%

ArithmeticMeanReturn,15.76%,13.74%,13.80%,16.81%,18.88%,17.75%,15.68%,15.05%,13.14%,14.20%,8.20%

HoldingPeriodYield,15.07%,13.27%,13.35%,16.04%,18.25%,17.25%,14.89%,14.82%,12.65%,13.26%,8.20%

Std.Deviation(population),12.93%,10.50%,10.01%,13.77%,12.06%,10.94%,13.60%,7.18%,10.53%,14.79%,0.00%

CovarwithVFINX,0.01673,0.01345,0.01165,0.01754,0.01400,0.01331,0.01409,0.00584,0.01344,0.01659,0.00000

CorrelationwithVFINX,1.000,0.991,0.900,0.985,0.898,0.941,0.801,0.629,0.987,0.867,-

BetavsVFINX,1.000,0.804,0.697,1.049,0.837,0.796,0.842,0.349,0.804,0.992,-

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Variance/CovarianceMatrix,,,,,,,,,,,

,VFINX,AIVSX,AMECX,AWSHX,FCNTX,FGRIX,FMAGX,FPURX,JANSX,TWCUX,TBILL

VFINX,0.01673,0.01345,0.01165,0.01754,0.01400,0.01331,0.01409,0.00584,0.01344,0.01659,0.00000

AIVSX,0.01345,0.01103,0.00983,0.01426,0.01194,0.01119,0.01223,0.00545,0.01105,0.01415,0.00000

AMECX,0.01165,0.00983,0.01003,0.01296,0.01197,0.01059,0.01221,0.00631,0.00988,0.01318,0.00000

AWSHX,0.01754,0.01426,0.01296,0.01896,0.01550,0.01465,0.01643,0.00693,0.01418,0.01868,0.00000

FCNTX,0.01400,0.01194,0.01197,0.01550,0.01454,0.01293,0.01508,0.00784,0.01202,0.01643,0.00000

FGRIX,0.01331,0.01119,0.01059,0.01465,0.01293,0.01196,0.01409,0.00655,0.01116,0.01566,0.00000

FMAGX,0.01409,0.01223,0.01221,0.01643,0.01508,0.01409,0.01849,0.00842,0.01205,0.01979,0.00000

FPURX,0.00584,0.00545,0.00631,0.00693,0.00784,0.00655,0.00842,0.00516,0.00555,0.00860,0.00000

JANSX,0.01344,0.01105,0.00988,0.01418,0.01202,0.01116,0.01205,0.00555,0.01110,0.01397,0.00000

TWCUX,0.01659,0.01415,0.01318,0.01868,0.01643,0.01566,0.01979,0.00860,0.01397,0.02188,0.00000

TBILL,0.00000,0.00000,0.00000,0.00000,0.00000,0.00000,0.00000,0.00000,0.00000,0.00000,0.00000

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Risk-AdjustedPerformanceMeasures*,,,,,,,,,,,

TreynorIndex,0.069,0.063,0.074,0.075,0.120,0.114,0.079,0.190,0.055,0.051,

SharpeRatio,0.531,0.482,0.514,0.569,0.834,0.827,0.492,0.922,0.423,0.342,

M2,15.07%,14.44%,14.85%,15.57%,18.98%,18.90%,14.56%,20.12%,13.67%,12.62%,

Jensen'sAlpha,0.00%,-0.54%,0.33%,0.68%,4.35%,3.53%,1.11%,4.21%,-1.14%,-1.50%,

*Boldmeansoutperformedmarket(VFINX),,,,,,,,,,,

Fama'sDecompositionofRisk,,,,,,,,,,,

Totalriskpremium,6.867%,5.067%,5.148%,7.841%,10.050%,9.049%,6.690%,6.619%,4.453%,5.060%,

Riskpremiumduetorisk,6.867%,5.523%,4.784%,7.202%,5.746%,5.465%,5.783%,2.397%,5.519%,6.809%,

Riskpremiumduetoselectivity,0.000%,-0.456%,0.364%,0.639%,4.305%,3.584%,0.907%,4.222%,-1.066%,-1.749%,

Diver