【正文】 le, measured by its standard deviation of percent, than those from Stock Y, which have a standard deviation of only percent 36 Content ? Rates of return: a review ? A century of capital market history ? Measuring risk ? Risk and diversification ? Thinking about risk 37 Diversification: 分散投資 Portfolio: 投資組合 Unique risk or diversifiable risk: 特有風險或可分散風險 Market risk or systematic risk: 市場風險或系統(tǒng)風險 38 ? Risk is best judged in a portfolio context 環(huán)境 . Most investors do not put all their eggs into one basket: They diversify. Thus the effective risk of any security cannot be judged by an examination of that security alone. Part of the uncertainty about the security’s return is diversified away when the security is grouped with others in a portfolio. 39 Do these standard deviations look high to you? Amazon. % Dell Computer Ford Boeing McDonald’s General Electric WalMart . Heinz Pfizer Exxon Mobil 40 Diversification The market portfolio is made up of individual stocks, why isn’t its variability equal to the average variability of its ponents? Diversification reduces variability Diversification: strategy designed to reduce risk by spreading the portfolio across many investments 41 Notice that diversification reduces risk rapidly at first, then more slowly. Even a little diversification can provide a substantial reduction in variability. 42 ? Suppose you calculate and pare the standard deviations of randomly chosen onestock portfolios, twostock portfolios, fivestock portfolios, etc. ? A high proportion of the investments would be in the stocks of small panies and individually very risky. ? However, you can see from Figure that diversification can cut the variability of returns about in half. Notice also that you can get most of this benefit with relatively few stocks: The improvement is slight when the number of securities is increased beyond, say, 20 or 30. 43 Portfolio diversification works because prices of different stocks do not move exactly together. Diversification works best when the returns are negatively correlated. 44 Asset versus portfolio risk The expected return on each stock is simply the average of the three possible outes. The variance is the average of the squared deviations from the expected return, and the standard deviation is the square root of the variance 45 46 47 ? 1. Investors care about the expected return and risk of their portfolio of assets. The risk of the overall portfolio