本文发表在 rolia.net 枫下论坛我想说的是资产评估和管理意义上的RISK.
1. 什么是RISK?
RISK是指投资回报率的不确定性. 数学上用均方差来表述. 老外说:VOLATILITY 或STANDARD DEVATION.
2. 数学意义?:
Sigma^2=SUM(r-E(r))^2
Sigma-RISK
r- Period return
E(r) – Mean
用EXCEL很容易计算它.
3. 物理意义
回报率14%,RISK为10.83%是个什么概念? 它是指68%的时间内投资的回报率在14%±10.83%,既14%-10.83%=3.17 与14%+10.83%=24.83%之间波动,95%的时间内在14%±2*SIGMA之间,即-7.66%~35.86%之间波动. 换句话说,投资回报率有32%的概率可能低于3.17%, 5%的概率可能低于-7.66%. RISK是用过去历史数据对未来回报率的波动范围的估计.
4. 如何得到RISK系数?
(A) 从网站上查:
可以从GLOGBEFUND的网业上查到RISK系数:
http://globefunddb.theglobeandmail.com/gishome/plsql/gis.analyser.
它是用三年数据计算出的年度系数.
(B) 自己计算:
方法如下:
1. 查得某MF的每月岂止UNIT 价格,共查出三年的历史数据;
2. 用EXCEL列表计算每月回报率(RETURN);
3. 用EXCEL的STDV函数计算出月均方差,然后乘以SQRT(12),即为年度RISK.
5. 应用:
(a) 直接评估MF的风险. 越小RISK的MF,其风险(波动)越小.
(b) SHARP RATIO: =ANNUALIZED RETURN/ANNUALIZEED RISK 比数,可用来评估MF的风险回报性能. SHARP RATIO越大,MF的风险回报性能越佳.
6. 计算实例 :
以CIBC ENRGY FUND为例,说明如何计算RISK
DATE CIBC ENERGY CIBC ENERGY Month Return
Jan-03 $16.8765
Feb-03 $16.9587 0.49%
Mar-03 $17.6664 4.17%
Apr-03 $16.6121 -5.97%
May-03 $17.0796 2.81%
Jun-03 $18.2810 7.03%
Jul-03 $18.5154 1.28%
Aug-03 $18.8037 1.56%
Sep-03 $20.1982 7.42%
Oct-03 $19.1889 -5.00%
Nov-03 $19.2932 0.54%
Dec-03 $19.4811 0.97%
Jan-04 $20.0228 2.78%
Feb-04 $21.0185 4.97%
Mar-04 $22.7372 8.18%
Apr-04 $22.3115 -1.87%
May-04 $22.9894 3.04%
Jun-04 $22.7627 -0.99%
Jul-04 $22.5520 -0.93%
Aug-04 $23.6348 4.80%
Sep-04 $22.8949 -3.13%
Oct-04 $25.7939 12.66%
Nov-04 $26.1593 1.42%
Dec-04 $28.0874 7.37%
Jan-05 $25.2241 4.01%
Feb-05 $27.0805 7.36%
Mar-05 $29.9702 10.67%
Apr-05 $30.0476 0.26%
May-05 $27.5195 -8.41%
Jun-05 $28.3839 3.14%
Jul-05 $30.3137 6.80%
Aug-05 $33.1271 9.28%
Sep-05 $37.1142 12.04%
Oct-05 $38.6859 4.23%
Nov-05 $35.9033 -7.19%
Dec-05 $38.1171 6.17%
Jan-06 $39.4000 3.37%
CIBC Performance
Total Return 170.40%
Arithmetic Monthly Mean 2.93%
Arithmetic Annualized Mean 35.11%
Monthly geometric Return 2.80%
Annualized geometric Return 39.32%
Monthly Standard Deviation 5.11%
Annualized Standard Deviation (risk) 17.69%更多精彩文章及讨论，请光临枫下论坛 rolia.net
1. 什么是RISK?
RISK是指投资回报率的不确定性. 数学上用均方差来表述. 老外说:VOLATILITY 或STANDARD DEVATION.
2. 数学意义?:
Sigma^2=SUM(r-E(r))^2
Sigma-RISK
r- Period return
E(r) – Mean
用EXCEL很容易计算它.
3. 物理意义
回报率14%,RISK为10.83%是个什么概念? 它是指68%的时间内投资的回报率在14%±10.83%,既14%-10.83%=3.17 与14%+10.83%=24.83%之间波动,95%的时间内在14%±2*SIGMA之间,即-7.66%~35.86%之间波动. 换句话说,投资回报率有32%的概率可能低于3.17%, 5%的概率可能低于-7.66%. RISK是用过去历史数据对未来回报率的波动范围的估计.
4. 如何得到RISK系数?
(A) 从网站上查:
可以从GLOGBEFUND的网业上查到RISK系数:
http://globefunddb.theglobeandmail.com/gishome/plsql/gis.analyser.
它是用三年数据计算出的年度系数.
(B) 自己计算:
方法如下:
1. 查得某MF的每月岂止UNIT 价格,共查出三年的历史数据;
2. 用EXCEL列表计算每月回报率(RETURN);
3. 用EXCEL的STDV函数计算出月均方差,然后乘以SQRT(12),即为年度RISK.
5. 应用:
(a) 直接评估MF的风险. 越小RISK的MF,其风险(波动)越小.
(b) SHARP RATIO: =ANNUALIZED RETURN/ANNUALIZEED RISK 比数,可用来评估MF的风险回报性能. SHARP RATIO越大,MF的风险回报性能越佳.
6. 计算实例 :
以CIBC ENRGY FUND为例,说明如何计算RISK
DATE CIBC ENERGY CIBC ENERGY Month Return
Jan-03 $16.8765
Feb-03 $16.9587 0.49%
Mar-03 $17.6664 4.17%
Apr-03 $16.6121 -5.97%
May-03 $17.0796 2.81%
Jun-03 $18.2810 7.03%
Jul-03 $18.5154 1.28%
Aug-03 $18.8037 1.56%
Sep-03 $20.1982 7.42%
Oct-03 $19.1889 -5.00%
Nov-03 $19.2932 0.54%
Dec-03 $19.4811 0.97%
Jan-04 $20.0228 2.78%
Feb-04 $21.0185 4.97%
Mar-04 $22.7372 8.18%
Apr-04 $22.3115 -1.87%
May-04 $22.9894 3.04%
Jun-04 $22.7627 -0.99%
Jul-04 $22.5520 -0.93%
Aug-04 $23.6348 4.80%
Sep-04 $22.8949 -3.13%
Oct-04 $25.7939 12.66%
Nov-04 $26.1593 1.42%
Dec-04 $28.0874 7.37%
Jan-05 $25.2241 4.01%
Feb-05 $27.0805 7.36%
Mar-05 $29.9702 10.67%
Apr-05 $30.0476 0.26%
May-05 $27.5195 -8.41%
Jun-05 $28.3839 3.14%
Jul-05 $30.3137 6.80%
Aug-05 $33.1271 9.28%
Sep-05 $37.1142 12.04%
Oct-05 $38.6859 4.23%
Nov-05 $35.9033 -7.19%
Dec-05 $38.1171 6.17%
Jan-06 $39.4000 3.37%
CIBC Performance
Total Return 170.40%
Arithmetic Monthly Mean 2.93%
Arithmetic Annualized Mean 35.11%
Monthly geometric Return 2.80%
Annualized geometric Return 39.32%
Monthly Standard Deviation 5.11%
Annualized Standard Deviation (risk) 17.69%更多精彩文章及讨论，请光临枫下论坛 rolia.net