【正文】 00 € 1,270 2 6 . 1 1 %I R R0I R R )1(1270I R R )1(350I R R )1(95011000I R R )1(CFI R R )1(CFI R R )1(CFI R R )1(CF32133221100??????????????????ANNUALIZED RETURN ? ?ye a r ai n pe ri od s ofnu m be r :11crr cp e r i o dannual ???% 0 9 )0 0 ( 52 ?????a n n u a lr% 2 9 )( 32 ?????a nn u alrWeekly return of %: 18month return of 20%: GROSS AND NET RETURNS Gross returns Expenses Net returns PRETAX AND AFTERTAX NOMINAL RETURN Pretax nominal return Taxes Aftertax nominal return NOMINAL RETURNS AND REAL RETURNS ? ?? ? ? ?? ?%)()()1()1(1%)()()1(11%)()()()1()1(1)1(??????????????????????????????????r e a lr e a lr e a lrFr e a lrFrrrrRPrrrRPrr??VARIANCE AND STANDARD DEVIATION OF A SINGLE ASSET ? ? ? ?221221221ssTRRsTRTttTtt???????????????Sample Population VARIANCE OF A PORTFOLIO OF ASSETS ? ?? ?? ? ? ?? ???? ???????????????NiNjijijijiiiNjijijiNiiiPPRRC o vwwRV a rwRRC o vwwRwV a rRV a r1 ,1,21,12,?Variance can be determined for N securities in a portfolio using the formulas below. Cov(Ri, Rj) is the covariance of returns between security i and security j and can be expressed as the product of the correlation between the two returns (ρi,j) and the standard deviations of the two assets, Cov(Ri, Rj) = ρi,j σiσj. EXAMPLE 54 RETURN AND RISK OF A TWOASSET PORTFOLIO Assume that as a . investor, you decide to hold a portfolio with 80 percent invested in the Samp。 P 500 P or tfolio Emer g ing Mar ke ts ?? = 0 .093 10% 20% Sta nd a rd Dev ia t io n o f P o r t f o lio ?p Expected Portfolio Return E (Rp) 20% 10% 30% EXHIBIT 55 RISK AND RETURN FOR . ASSET CLASSES BY DECADE (%) 1930s 1940s 1950s 1960s 1970s 1980s 1990s 2 0 0 0 s * 1926 –2020 L ar g e co m p a n y s to ck s R etu r n – 0 .1 9 . 2 1 9 . 4 7 . 8 5 . 9 1 7 . 6 1 8 . 2 – 3 . 6 9 . 6 R is k 4 1 . 6 1 7 . 5 1 4 . 1 1 3 . 1 1 7 . 2 1 9 . 4 1 5 . 9 1 5 . 0 2 0 . 6 S m all co m p a n y s to ck s R etu r n 1 . 4 2 0 . 7 1 6 . 9 1 5 . 5 11. 5 1 5 . 8 1 5 . 1 4 . 1 1 1 . 7 R is k 7 8 . 6 3 4 . 5 1 4 . 4 2 1 . 5 3 0 . 8 2 2 . 5 2 0 . 2 2 4 . 5 3 3 . 0 L o n g ter m co r p o r ate b o n d s R etu r n 6 . 9 2 . 7 1