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. 如何得当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. 如何计算PORTFOLIO的RISK系数 PORTFOLIO 的RISK可用如下公式计算: Sigma(p)=SUM[w(i)^2Xsingma(i)^2+所有可能的2XSingm(i)XSingma(j)XCorrelation(i,j))] 式中 sigma(i)j, - 是第i(j)个MF的RISK系数 Correlation(i,j)- 是第i,j MF之间的协方差系数; w(i)- 是第i个MF在PORFOLIO中的权系数; 6. 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 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. 7. 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% |