本科风险管理课件 01-Risk-and-Return-Calculations

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

1990,-3.32%,0.68%,-3.28%,-3.80%,3.95%,-6.79%,-4.53%,-6.35%,-0.75%,9.38%,

1991,30.23%,26.53%,23.88%,23.51%,54.89%,41.86%,41.01%,24.45%,42.81%,86.44%,

1992,7.40%,6.99%,13.12%,9.12%,15.89%,11.53%,7.03%,15.43%,6.86%,1.27%,

1993,9.91%,11.60%,14.05%,13.08%,21.43%,19.54%,24.66%,21.44%,10.91%,21.82%,

1994,1.19%,0.15%,-2.50%,0.48%,-1.11%,2.26%,-1.81%,1.79%,-1.11%,-3.61%,

1995,37.43%,30.63%,29.07%,41.24%,36.27%,35.39%,36.82%,21.45%,29.43%,37.68%,

1996,22.87%,19.35%,15.23%,20.16%,21.93%,20.05%,11.68%,15.16%,19.61%,13.85%,

Avg.AnnualReturn,14.24%,13.15%,12.22%,13.98%,20.66%,16.60%,15.21%,12.82%,14.45%,21.01%,5%

Std.Deviation,14.18%,11.25%,11.26%,14.09%,17.66%,15.95%,16.78%,10.58%,15.08%,28.50%,

Beta,1.00,0.79,0.75,0.97,1.08,1.05,1.04,0.59,0.98,1.43,

TreynorIndex,0.092,0.104,0.097,0.093,0.145,0.110,0.098,0.133,0.097,0.112,

SharpeRatio,0.652,0.725,0.641,0.638,0.887,0.727,0.609,0.739,0.626,0.562,

M2,14.24%,15.28%,14.09%,14.04%,17.57%,15.31%,13.63%,15.47%,13.88%,12.96%,

InformationRatio,,-0.325,-0.383,-0.076,0.723,0.417,0.120,-0.163,0.034,0.323,

Jensen'sAlpha,0.00%,1.82%,1.53%,0.24%,5.58%,1.77%,0.74%,4.44%,0.61%,2.24%,

Sig.LevelforAlpha,,0.89,0.43,0.08,0.62,0.35,0.11,0.66,0.12,0.13,

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

Totalriskpremium,9.24%,8.1532%,7.22%,8.98%,15.66%,11.60%,10.21%,7.82%,9.45%,16.01%,

Riskpremiumduetorisk,9.24%,7.2716%,6.90%,8.92%,9.98%,9.74%,9.59%,5.44%,9.05%,13.21%,

Riskpremiumduetoselectivity,0.00%,0.8816%,0.33%,0.06%,5.67%,1.86%,0.62%,2.37%,0.40%,2.80%,

Diversification,0.00%,0.0617%,0.44%,0.26%,1.53%,0.66%,1.35%,1.46%,0.79%,5.37%