Chapitre 12 et 13
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Type : Classeur 3.0.1
Page(s) : 1
Taille Size: 3.00 Ko KB
Mis en ligne Uploaded: 21/04/2025 - 10:05:38
Uploadeur Uploader: rayan77450 (Profil)
Téléchargements Downloads: 1
Visibilité Visibility: Archive publique
Shortlink : http://ti-pla.net/a4589688
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Fichier Nspire généré sur TI-Planet.org.
Compatible OS 3.0 et ultérieurs.
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Chapter 12 Some Lessons from Capital Market History Total Return = Dividend + Capital Gain When you invest in something, your return has two parts: " Dividends (money paid to you during the year) " Capital gains (how much the asset price goes up or down) In percentage terms: " Total Return (%) = (Dividend ÷ Starting Price) + (Price Change ÷ Starting Price) " The first part is called dividend yield " The second part is called capital gain yield What History Shows (19262022) Small company stocks gave the highest returns (but also had more risk) Big company stocks gave lower returns than small ones, but still decent Bonds gave lower returns, especially government bonds Treasury bills had the lowest return but almost no risk Key point : The more risk you take, the higher the return you can expect (on average). Volatility = Risk Volatility means how much returns jump up and down Its measured using: " Variance (how far returns are from the average) " Standard deviation (square root of variance easier to understand) A higher standard deviation means a riskier investment. Types of Averages Arithmetic mean : simple average of yearly returns; useful for short-term Geometric mean : shows compound growth rate per year; better for long-term Formula for geometric return: Multiply (1 + each years return), then take the T-th root, subtract 1 Efficient Market Hypothesis (EMH) Weak form : Prices already reflect all past prices Semi-strong form : Prices reflect all public info Strong form : Prices reflect all info, even secret/insider info In an efficient market, you cant regularly beat the market using public info . =Ø Chapter 13 Return, Risk, and the Security Market Line Expected Return Expected return is the weighted average of all possible outcomes You multiply the probability of each scenario by its return, then add them up Types of Risk Systematic risk : affects the whole market (like interest rates or inflation) Unsystematic risk : affects just one company (like a CEO scandal) Total risk = both types Diversifying your investments can remove unsystematic risk , but not systematic risk Portfolio Return and Beta The return of a portfolio is the average return of the assets inside, based on how much money you put in each Beta tells you how sensitive an asset is to the market: " A higher beta = more risky " Portfolio beta is the weighted average of all the assets betas CAPM (Capital Asset Pricing Model) Formula to calculate expected return: Expected Return = Risk-Free Rate + Beta × (Market Return Risk-Free Rate) Assets with higher beta should give higher expected return Security Market Line (SML) A graph showing the CAPM equation x-axis = beta (risk), y-axis = expected return If an asset is above the line, its undervalued (a good deal) If its below the line, its overvalued Reward-to-Risk Ratio Formula: (Expected Return Risk-Free Rate) ÷ Beta In a perfect market, all assets should have the same reward-to-risk ratio Made with nCreator - tiplanet.org
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Compatible OS 3.0 et ultérieurs.
<<
Chapter 12 Some Lessons from Capital Market History Total Return = Dividend + Capital Gain When you invest in something, your return has two parts: " Dividends (money paid to you during the year) " Capital gains (how much the asset price goes up or down) In percentage terms: " Total Return (%) = (Dividend ÷ Starting Price) + (Price Change ÷ Starting Price) " The first part is called dividend yield " The second part is called capital gain yield What History Shows (19262022) Small company stocks gave the highest returns (but also had more risk) Big company stocks gave lower returns than small ones, but still decent Bonds gave lower returns, especially government bonds Treasury bills had the lowest return but almost no risk Key point : The more risk you take, the higher the return you can expect (on average). Volatility = Risk Volatility means how much returns jump up and down Its measured using: " Variance (how far returns are from the average) " Standard deviation (square root of variance easier to understand) A higher standard deviation means a riskier investment. Types of Averages Arithmetic mean : simple average of yearly returns; useful for short-term Geometric mean : shows compound growth rate per year; better for long-term Formula for geometric return: Multiply (1 + each years return), then take the T-th root, subtract 1 Efficient Market Hypothesis (EMH) Weak form : Prices already reflect all past prices Semi-strong form : Prices reflect all public info Strong form : Prices reflect all info, even secret/insider info In an efficient market, you cant regularly beat the market using public info . =Ø Chapter 13 Return, Risk, and the Security Market Line Expected Return Expected return is the weighted average of all possible outcomes You multiply the probability of each scenario by its return, then add them up Types of Risk Systematic risk : affects the whole market (like interest rates or inflation) Unsystematic risk : affects just one company (like a CEO scandal) Total risk = both types Diversifying your investments can remove unsystematic risk , but not systematic risk Portfolio Return and Beta The return of a portfolio is the average return of the assets inside, based on how much money you put in each Beta tells you how sensitive an asset is to the market: " A higher beta = more risky " Portfolio beta is the weighted average of all the assets betas CAPM (Capital Asset Pricing Model) Formula to calculate expected return: Expected Return = Risk-Free Rate + Beta × (Market Return Risk-Free Rate) Assets with higher beta should give higher expected return Security Market Line (SML) A graph showing the CAPM equation x-axis = beta (risk), y-axis = expected return If an asset is above the line, its undervalued (a good deal) If its below the line, its overvalued Reward-to-Risk Ratio Formula: (Expected Return Risk-Free Rate) ÷ Beta In a perfect market, all assets should have the same reward-to-risk ratio Made with nCreator - tiplanet.org
>>
