دانلود کتاب مدیریت پورتفولیو (قسمت اول) و صادرکنندگان شرکتی

An examination of the returns and standard deviation of returns for the major investable asset classes supports the idea of a tradeoff between risk and return. Using U.S. data over the period 1926–2017 as an example, shown in Figure 20.1, small-capitalization stocks have had the greatest average returns and greatest risk over the period. T-bills had the lowest average returns and the lowest standard deviation of returns. Results for other markets around the world are similar: asset classes with the greatest average returns also have the highest standard deviations of returns. The annual nominal return on U.S. equities has varied greatly from year to year, ranging from losses greater than 40% to gains of more than 50%. We can approximate the real returns over the period by subtracting inflation. The asset class with the least risk, T-bills, had a real return of only approximately 0.5% over the period, while the approximate real return on U.S. large-cap stocks was 7.3%. Because annual inflation fluctuated greatly over the period, real returns have been much more stable than nominal returns. Evaluating investments using expected return and variance of returns is a simplification because returns do not follow a normal distribution; distributions are negatively skewed, with greater kurtosis (fatter tails) than a normal distribution. The negative skew reflects a tendency towards large downside deviations, while the positive excess kurtosis reflects frequent extreme deviations on both the upside and downside. These non-normal characteristics of skewness (≠ 0) and kurtosis (≠ 3) should be taken into account when analyzing investments. Liquidity is an additional characteristic to consider when choosing investments because liquidity can affect the price and, therefore, the expected return of a security. Liquidity can be a major concern in emerging markets and for securities that trade infrequently, such as low-quality corporate bonds.