衡量和管理投资风险.doc

精品文档就在这里-各类专业好文档，值得你下载，教育，管理，论文，制度，方案手册，应有尽有-Measuring And Managing Investment Risk 衡量和管理投资风险by Katrina Lamb,CFA Filed Under: Financial Theory 提起下：金融理论We tend to think of risk in predominantly negative terms, as something to be avoided or a threat that we hope wont materialize. In the investment world, however, risk is inseparable from performance and, rather than being desirable or undesirable, is simply necessary. Understanding risk is one of the most important parts of a financial education.This article will examine ways that we measure and manage risk in making investment decisions. 我们倾向于对“风险主要是负面的”，想的东西要避免或威胁，我们希望将无法实现。在投资世界，然而，风险是不可分割，从性能，而不是理想或不理想，只是必要的。理解风险是一个金融教育最重要的组成部分之一。本文将探讨如何衡量和管理，我们在作出投资决定的风险。Risk- Good, Bad and Necessary 风险 - 好的，坏的和必要的A common definition for investment risk is deviation from an expected outcome. We can express this in absolute terms or relative to something else like a market benchmark.That deviation can be positive or negative, and relates to the idea ofno pain, no gain -to achieve higher returns in the long run you have to accept more short-term volatility.How much volatility depends on your risk tolerance - an expression of the capacity to assume volatility based on specific financial circumstances and the propensity to do so, taking into account your psychological comfort with uncertainty and the possibility of incurring large short-term losses. (To learn more, read Determining Risk And The Risk Pyramid and Personalizing Risk Tolerance.)投资风险的一个共同的定义是偏离了预期的结果。我们可以表达绝对或相对的东西像其他这个市场基准。这种偏差可正可负，涉及到“无痛苦的想法，一分收获” - 以实现更高的回报，长远来说你必须接受更多的短期波动。波动多少取决于你的风险承受能力 - 1表达的能力，以承担具体的财务情况和倾向，这样做的波动，同时考虑到不确定性和承受大的短期损失的可能性你的心理安慰(要了解更多信息，请参阅确定风险和风险金字塔和个性化的风险性)Absolute Measures of Risk 绝对风险的措施One of the most commonly used absolute risk metrics is standard deviation, a statistical measure of dispersion around a central tendency. For example, during a 15-year period from August 1, 1992, to July 31, 2007, the average annualized total return of the S&P 500 Stock Index was 10.7%. This number tells you what happened for the whole period, but it doesnt say what happened along the way.最常用的指标之一，是绝对风险的标准差，分散围绕一个中心趋势的统计方法。例如，在从1992年8月1日15年期间，到2007年7月31日，平均按年的标准普尔500股票指数的总回报为10.7。这个数字告诉你整个期间发生的，但它没有说什么前进的道路上发生的事情。The average standard deviation of the S&P 500 for that same period was 13.5%.Statistical theory tells us that in normal distributions (the familiar bell-shaped curve) any given outcome should fall within one standard deviation of the mean about 67% of the time and within two standard deviations about 95% of the time. Thus, an S&P 500 investor could expect the return at any given point during this time to be 10.7% +/- 13.5% just under 70% of the time and +/- 27.0% 95% of the time. (For more insight, read The Uses And Limits Of Volatility.) 平均标准普尔500指数的标准差为同一时期的13.5。统计理论告诉我们，在（熟悉的钟形曲线）任何特定的结果应该在一个正态分布的标准差平均下降约67的时间和大约95的时间在两个标准差。因此，标准普尔500指数的投资者可以指望在这段时间，在任何给定点的回报是10.7+ / - 13.5，略低于70的时间和+ / - 27.0，95的时间(如需更多了解，请阅读波动的用途和限制)Risk and Psychology 风险与心理While that information may be helpful, it does not fully address an investors risk concerns. The field of behavioral finance has contributed an important element to the risk equation, demonstrating asymmetry between how people view gains and losses. In the language of prospect theory, an area of behavioral finance introduced by Amos Tversky and Daniel Kahneman in 1979, investors exhibit loss aversion- they put more weight on the pain associated with a loss than the good feeling associated with a gain. (For more on this, read Behavioral Finance: Prospect Theory.) 尽管这些信息可能是有益的，它不能完全解决投资者的风险担忧。行为金融学领域的一个重要因素促成的风险方程，展示与人们之间的收益和损失的不对称性。在展望理论，是在1979年推出阿莫斯Tversky和丹尼尔卡尼曼，投资者表现出损失厌恶 - 他们放在同一个比一个增益相关的好感损失所带来的痛苦更重行为金融学领域的语言(有关此，请阅读行为金融：展望理论。)Thus, what investors really want to know is not just how much an asset deviates from its expected outcome, but how bad things look way down on the left-hand tail of the distribution curve. Value at risk (VAR)attempts to provide an answer to this question.The idea behind VAR is to quantify how bad a loss on an investment could be with a given level of confidence over a defined period of time. For example, the following statement would be an example of VAR:With about a 95% level of confidence, the most you stand to lose on this $1,000 investment over a two-year time horizon is $200.The confidence level is a probability statement based on the statistical characteristics of the investment and the shape of its distribution curve. (To learn more, read Introduction to Value At Risk - Part 1 and Part 2.)因此，投资者真正想知道的是没有多少资产背离了其预期的结果，而是如何一路看坏的东西就分布曲线的左侧尾部。在风险值（VaR）试图提供一个对这个问题的答案。 VAR的背后想法是多么坏的一个量化的投资损失可能超过了规定的时间内一定程度的信心。例如，下面的语句将是VAR的例子：“拥有约95的信心水平，你最会失去这对一个为期两年的时间跨度1000美元的投资为200元。”的信心水平是一个概率声明对投资的统计特性的基础和它的分布曲线的形状。 （要了解更多，请阅读介绍风险值 - 第1和第2部分。）Of course, even a measure like VAR doesnt guarantee that things wont be worse. Spectacular debacles like hedge fund Long Term Capital Management in 1998 remind us that so-called outlier events may occur. After all, 95% confidence allows that 5% of the time results may be much worse than what VAR calculates. In the case of LTCM, the outlier event was the Russian governments default on its outstanding sovereign debt obligations, an event that caused the hedge funds performance to be much worse than its expected value at risk. (To learn about LTCM and other similar events, read Massive Hedge Fund Failures.) 当然，即使是像VAR的措施并不能保证事情不会更糟。像对冲基金长期资本管理公司在1998年惊人失败提醒我们，所谓的“异常事件”可能会发生。毕竟，95的信心可以有5的时间结果可能远不如什么VAR的计算。在长期资本管理公司的情况下，异常事件是俄罗斯政府在其出色的主权债务，一个事件，造成对冲基金的表现会比默认的风险预期值差。 （要对长期资本管理公司和其他类似的事件中汲取经验，阅读大量对冲基金的破产。）Another risk measure oriented to behavioral tendencies is drawdown, which refers to any period during which an assets return is negative relative to a previous high mark. In measuring drawdown, we attempt to address three things: the magnitude of each negative period (how bad), the duration of each (how long) and the frequency (how many times).另一个风险措施的行为倾向是面向缩编，是指任何期间资产的回报为负相对于以前的高分。在衡量缩编，我们试图解决三件事情：每个负面期间（有多坏）的规模，持续时间每个（多久）和频率（多少次）。Risk: The Passive and the Active 风险：被动与主动In addition to wanting to know, for example, whether a mutual fund beat the S&P 500 we also want to know how comparatively risky it was. One measure for this is beta, based on the statistical property of covariance and also called market risk, systematic risk, or non-diversifiable risk. A beta greater than 1 indicates more risk than the market and vice versa. (For further reading, see Beta: Know The Risk.)除了想知道，例如，无论是共同基金击败了标准普尔500指数，我们也想知道它是如何风险相对较高。其中一项措施，因为这是测试版，基于协方差的统计特性，也称为“市场风险”，“系统性风险”，或“不可分散的风险。”一个大于1的测试显示超过市场的风险和副反之亦然。 （进一步阅读，看到测试：认识的风险。）Beta helps us to understand the concepts of passive and active risk. The graph below shows a time series of returns (each data point labeled +) for a particular portfolio R(p) versus the market return R(m). The returns are cash-adjusted, so the point at which the x and y axes intersect is the cash-equivalent return. Drawing a line of best fit through the data points allows us to quantify the passive, or beta, risk and the active risk, which we refer to as alpha.测试有助于我们了解被动和积极的风险的概念。下图显示了返回的时间序列（每个数据点标有“+”）为特定的资产组合住宅（规划）与市场回报住宅（米）。回报是现金调整，因此该点x和y轴相交是现金等值的回报。通过绘制数据点的最佳拟合线使我们可以量化的被动，或beta，风险和积极的风险，我们称为阿尔法。Copyright 2008 IThe gradient of the line is its beta. For example, a gradient of 1.0 indicates that for every unit increase of market return, the portfolio return also increases by one unit.A manager employing a passive management strategy can attempt to increase the portfolio return by taking on more market risk (i.e. a beta greater than 1) or alternatively decrease portfolio risk (and return) by reducing the portfolio beta below 1.该生产线的坡度是它的测试版。例如，一个1.0梯度表明，市场回报率，投资组合回报为每个单位也增加一个单位的增加。经理聘用被动管理策略可以尝试增加采取更多的市场风险（即一个测试组合的回报大于1）或者减少投资组合风险（通过减少和回报低于1组合测试版）。Influence of Other Factors 其他因素的影响If the level of market or systematic risk were the only influencing factor, then a portfolios return would always be equal to the beta-adjusted market return. Of course, this is not the case - returns vary as a result of a number of factors unrelated to market risk.Investment managers who follow an active strategy take on other risks to achieve excess returns over the markets performance. Active strategies include stock, sector or country selection, fundamental analysis and charting. 如果市场的系统性风险的程度或影响的唯一因素，那么投资组合的回报将永远是平等的测试调整后的市场回报。当然，这并非如此 - 返回变化作为一种市场风险无关的因素数目的结果。按照谁投资管理人采取积极的策略，以实现对其他风险对市场的表现超额收益。积极的策略包括股票，行业或国家的选择，基本分析和制图。Active managers are on the hunt for alpha - the measure of excess return. In our diagram example above, alpha is the amount of portfolio return not explained by beta, represented as the distance between the intersection of the x and y axes and the y axis intercept, which can be positive or negative. In their quest for excess returns, active managers expose investors to alpha risk - the risk that their bets will prove negative rather than positive. For example, a manager may think that the energy sector will outperform the S&P 500 and increase her portfolios weighting in this sector. If unexpected economic developments cause energy stocks to sharply decline, the manager will likely underperform the benchmark - an example of alpha risk.主动管理人员关于阿尔法狩猎 - 过剩的回报措施。在我们的图表上述例子中，阿尔法是投资组合回报数额不解释测试，由于路口之间的距离代表了X和Y轴和y轴截距，它可以是积极的还是消极的。在他们的超额收益的追求，使投资者的积极管理风险阿尔法 - 赌注的风险，他们会积极证明，而不是消极的。例如，管理者可能会认为，能源部门的表现将优于标准普尔500指数和增加在这一领域的投资组合的比重。如果意外的经济发展造成的能源股票大幅下跌，经理很可能会低于市场表现的基准 - 1，风险的例子。A note of caution is in order when analyzing the significance of alpha and beta. There must be some evidence of a linear pattern between the portfolio returns and those of the market, or a reasonably inclusive line of best fit. If the data points are randomly dispersed, then the line of best fit will have little predictive ability and the results for alpha and beta will be statistically insignificant. Ageneral ruleis that an r-squared of 0.70 or higher (1.0 being perfect correlation) between the portfolio and the market reasonably validates the significance of alpha, beta and other relative measures.需要留意的是当分析的和意义秩序。必须有某种组合之间的收益和市场人士，或者是最合适的合理的包容线线性模式的证据。如果数据点是随机分布，那么最合适的路线，几乎没有预测能力和阿尔法和贝塔的统计结果将微不足道。一个一般的规则是一个R -平方0.70或更高（1.0被完全相关）之间的合理组合和市场验证了阿尔法的意义，测试及其他相关措施。The Price of Risk 风险定价There are economic consequences to the decision between passive and active risk. In general, the more active the investment strategy (the more alpha a fund manager seeks to generate) the more an investor will need to pay for exposure to that strategy. It helps to think in terms of a spectrum from a purely passive approach. For example, a buy and hold investment into a proxy for the S&P 500 - all the way to a highly active approach such as a hedge fund employing complex trading strategies involving high capital commitments and transaction costs. For a purely passive vehicle like an index fund or an exchange trade fund ETF) you might pay 15-20 basis points in annual management fees, while for a high-octane hedge fund you would need to shell out 200 basis points in annual fees plus give 20% of the profits back to the manager. In between these two extremes lie alternative approaches combining active and passive risk management.之间存在的消极和积极的风险所作决定的经济后果。在一般情况下，更积极的投资策略（越阿尔法基金经理的目的，是生成），更是一种投资者需要支付暴露于这一战略。它有助于在频谱方面想从一个纯粹被动的做法。例如，购买并持有的投资转化为标准普尔500代理 - 如采用复杂的对冲交易策略涉及高资本承担及交易费用基金一直到一个非常积极的态度。对于一个像指数基金或交易所交易基金ETF的），你可能会在每年的管理费支付15-20个基点纯粹被动的车辆，同时又为高辛烷值的对冲基金则需要掏出在加上每年收费200个基点给20的利润返回到经理。这两个极端之间的各种途径在撒谎主动和被动相结合的风险管理。The difference in pricing between passive and active strategies (or beta risk and alpha riskrespectively) encourages many investors to try and separate these risks: i.e. to pay lower fees for the beta risk assumed and concentrate their more expensive exposures to specifically defined alpha opportunities. This is popularly known as portable alpha, the idea that the alpha component of a total return is separate from the beta component.在被动与主动之间的战略（或和风险的风险分别定价的差额）鼓励许多投资者试图分开这些风险：即，支付的测试费用和承担的风险降低他们的更昂贵的集中暴露，明确界定阿尔法机会。这是普遍的便携式阿尔法众所周知，想法，一个总回报alpha组件是分开的测试组件。For example a fund manager may claim to have an active sector rotation strategy for beating the S&P 500 and show as evidence a track record of beating the index by 1.5% on an average annualized basis. To the investor, that 1.5% of excess return is the managers value - the alpha - and the investor is willing to pay higher fees to obtain it.The rest of the total return, what the S&P 500 itself earned, arguably has nothing to do with the managers unique ability, so why pay the same fee? Portable alpha strategies use derivatives and other tools to refine the means by which they obtain and pay for the alpha and beta components of their exposure.例如，一个基金经理声称，他们击败了标准普尔500指数和作为证据显示出活跃的行业轮换策略殴打1.5的平均按年率计算该指数的纪录。对于投资者来说，这1.5的超额收益是基金经理的价值 - 阿尔法 - 和投资者愿意付出较高费用，以获得它。在总回报，什么标准普尔500指数本身赚取的休息，可以说没有任何关系与经理的独特能力，为什么付出同样的费用？可携阿尔法策略的使用衍生工具和其他工具，以改进他们的手段获取并支付其暴露alpha和测试组件。Conclusions 结论Risk is inseparable from return. Every investment involves some degree of risk, which can be very close to zero in the case of a U.S. Treasury security or very high for something such as concentrated exposure to Sri Lankan equities or real estate in Argentina. Risk is quantifiable both in absolute and in relative terms. A solid understanding of risk in its different forms can help investors to better understand the opportunities, trade-offs and costs involved with different investment approaches. 风险是分不开的回报。每个投资涉及某种程度的风险，可以在一个安全的美国国债或非常高的东西的情况非常接近零，如集中暴露在斯里兰卡股票或在阿根廷房地产。风险是可以量化无论在绝对值和相对而言。阿在其不同形式的风险有了正确的认识可以帮助投资者更好地了解机会，贸易平衡和不同的投资方法涉及的费用。 3、通过活动，使学生养成博览群书的好习惯。B比率分析法和比较分析法不能测算出各因素的影响程度。C采用约当产量比例法，分配原材料费用与分配加工费用所用的完工率都是一致的。C采用直接分配法分配辅助生产费用时，应考虑各辅助生产车间之间相互提供产品或劳务的情况。错 C产品的实际生产成本包括废品损失和停工损失。C成本报表是对外报告的会计报表。C成本分析的首要程序是发现问题、分析原因。C成本会计的对象是指成本核算。C成本计算的辅助方法一般应与基本方法结合使用而不单独使用。C成本计算方法中的最基本的方法是分步法。XD当车间生产多种产品时，“废品损失”、“停工损失”的借方余额，月末均直接记入该产品的产品成本 中。D定额法是为了简化成本计算而采用的一种成本计算方法。F“废品损失”账户月末没有余额。F废品损失是指在生产过程中发现和入库后发现的不可修复废品的生产成本和可修复废品的修复费用。F分步法的一个重要特点是各步骤之间要进行成本结转。()G各月末在产品数量变化不大的产品，可不计算月末在产品成本。错G工资费用就是成本项目。()G归集在基本生产车间的制造费用最后均应分配计入产品成本中。对J计算计时工资费用，应以考勤记录中的工作时间记录为依据。()J简化的分批法就是不计算在产品成本的分批法。()J简化分批法是不分批计算在产品成本的方法。对 J加班加点工资既可能是直接计人费用，又可能是间接计人费用。J接生产工艺过程的特点，工业企业的生产可分为大量生产、成批生产和单件生产三种，XK可修复废品是指技术上可以修复使用的废品。错K可修复废品是指经过修理可以使用，而不管修复费用在经济上是否合算的废品。P品种法只适用于大量大批的单步骤生产的企业。Q企业的制造费用一定要通过“制造费用”科目核算。Q企业职工的医药费、医务部门、职工浴室等部门职工的工资，均应通过“应付工资”科目核算。 S生产车间耗用的材料，全部计入“直接材料”成本项目。 S适应生产特点和管理要求，采用适当的成本计算方法，是成本核算的基础工作。()W完工产品费用等于月初在产品费用加本月生产费用减月末在产品费用。对Y“预提费用”可能出现借方余额，其性质属于资产，实际上是待摊费用。对 Y引起资产和负债同时减少的支出是费用性支出。XY以应付票据去偿付购买材料的费用，是成本性支出。