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A Course in Risk Management Instructor: Lou Gattis
Topic #2: Measuring Portfolio Risk and Return
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Learning Objectives
Measure the risks of a stock investment
Measure the risks of a portfolio of stocks, bills, and bonds
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Risk Measurement - Measures
What is the risk of a $100,000 investment in domestic stocks?
Stress Tests
Hypothetical Stress Test
E.g. +/- 10%, E.g. Market Crash: -30% Historical Stress Test
E.g. Great Depression, Housing Crash, Black Monday (10/19/87) Value-at-Risk (VaR)
Historical Simulated VaR
E.g. 1-year, 90%, 95%, 99%,
Variance-Covariance VaR (Assumes Normal Distribution) E.g. 1-year Horizon, 90% Confidence Interval
E.g. 1-day Horizon, 95% Confidence Interval
E.g. 5-day Horizon, 95% Confidence Interval 3
Hypothetical Stress Tests
$100,000 investment in domestic stocks
A hypothetical stress test specifies a specific loss and/or market environment
+/- 10%: $10,000
30% Market Crash: $30,000 Pros
Transparent, Simple Cons
No horizon specified
Do not know likelihood of loss Does not use historical record
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Historical Stock Returns
Annual Asset Returns1928-2011: DamodaranOnline
Year Stocks 1928 43.81% 1929 -8.30% 1930 -25.12% 1931 -43.84% 1932 -8.64%
1933 49.98%
Histogram
Returns Frequency -50% 0
-40% 1 -30% 2 -20% 3
-10% 5
Histogram 18
16 14 12
10
1934 -1.19% 0% 13 8
1935 46.74% 10% 14 6 Frequency 1936 31.94% 20% 16 4
1937 -35.34% 30% 14 2 1938 29.28% 40% 11 0 1939 -1.10% 50% 4
1940 -10.67% 60% 1 Returns 1941 -12.77% More 0
1942 19.17% Totals 84
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