衡量和管理投資風(fēng)險-wenkub
2023-04-24 07:23:03 本頁面
【正文】 oute. We can express this in absolute terms or relative to something else like a market benchmark.在投資世界，然而，風(fēng)險是不可分割，從性能，而不是理想或不理想，只是必要的。Measuring And Managing Investment Risk 衡量和管理投資風(fēng)險by Katrina Lamb,CFA Filed Under: Financial Theory 提起下：金融理論We tend to think of risk in predominantly negative terms, as something to be avoided or a threat that we hope won39。理解風(fēng)險是一個金融教育最重要的組成部分之一。That deviation can be positive or negative, and relates to the idea ofHow much volatility depends on your risk tolerance an expression of the capacity to assume volatility based on specific financial circumstances and the propensity to do so, taking into account your psychological fort with uncertainty and the possibility of incurring large shortterm losses. (To learn more, read Determining Risk And The Risk Pyramid and Personalizing Risk Tolerance.)投資風(fēng)險的一個共同的定義是偏離了預(yù)期的結(jié)果。P 500 Stock Index was %. This number tells you what happened for the whole period, but it doesn39。The average standard deviation of the Samp。統(tǒng)計理論告訴我們，在（熟悉的鐘形曲線）任何特定的結(jié)果應(yīng)該在一個正態(tài)分布的標(biāo)準(zhǔn)差平均下降約67％的時間和大約95％的時間在兩個標(biāo)準(zhǔn)差。行為金融學(xué)領(lǐng)域的一個重要因素促成的風(fēng)險方程，展示與人們之間的收益和損失的不對稱性。With about a 95% level of confidence, the most you stand to lose on this $1,000 investment over a twoyear time horizon is $200.例如，下面的語句將是VAR的例子：“擁有約95％的信心水平，你最會失去這對一個為期兩年的時間跨度1000美元的投資為200元。t guarantee that things won39。像對沖基金長期資本管理公司在1998年驚人失敗提醒我們，所謂的“異常事件”可能會發(fā)生。）Another risk measure oriented to behavioral tendencies is drawdown, which refers to any period during which an asset39。Risk: The Passive and the Active 風(fēng)險：被動與主動In addition to wanting to know, for example, whether a mutual fund beat the Samp。”一個大于1的測試顯示超過市場的風(fēng)險和副反之亦然。下圖顯示了返回的時間序列（每個數(shù)據(jù)點標(biāo)有“+”）為特定的資產(chǎn)組合住宅（規(guī)劃）與市場回報住宅（米）。 2008 The gradient of the line is its beta. For example, a gradient of indicates that for every unit increase of market return, the portfolio return also increases by one unit.經(jīng)理聘用被動管理策略可以嘗試增加采取更多的市場風(fēng)險（即一個測試組合的回報大于1）或者減少投資組合風(fēng)險（通過減少和回報低于1組合測試版）。s performance. Active strategies include stock, sector or country selection, fundamental analysis and charting. 如果市場的系統(tǒng)性風(fēng)險的程度或影響的唯一因素，那么投資組合的回報將永遠(yuǎn)是平等的測試調(diào)整后的市場回報。Active managers are on the hunt for alpha the measure of excess return. In our diagram example above, alpha is the amount of portfolio return not explained by beta, represented as the distance between the intersection of the x and y axes and the y axis intercept, which can be positive or negative. In their quest for excess returns, active managers expose investors to alpha risk the risk that their bets will prove negative rather than positive. For example, a manager may think that the energy sector will outperform the Samp。在他們的超額收益的追求，使投資者的積極管理風(fēng)險阿爾法 賭注的風(fēng)險，他們會積極證明
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