chapter5portfolioriskandreturnparti

chapter5portfolioriskandreturnparti内容摘要：

. 0 1 . 7 6 . 2 1 3 . 0 8 . 4 8 . 2 5 . 9 R is k 5 . 3 1 . 8 4 . 4 4 . 9 8 . 7 1 4 . 1 6 . 9 1 1 . 3 8 . 4 L o n g ter m g o v er n m e n t b o n d s R etu r n 4 . 9 3 . 2 – 0 . 1 1 . 4 5 . 5 1 2 . 6 8 . 8 1 0 . 5 5 . 7 R is k 5 . 3 2 . 8 4 . 6 6 . 0 8 . 7 1 6 . 0 8 . 9 1 1 . 7 9 . 4 T r ea s u r y b ill s R etu r n 0 . 6 0 . 4 1 . 9 3 . 9 6 . 3 8 . 9 4 . 9 3 . 1 3 . 7 R is k 0 . 2 0 . 1 0 . 2 0 . 4 0 . 6 0 . 9 0 . 4 0 . 5 3 . 1 I n f lat io n R etu r n – 2 . 0 5 . 4 2 . 2 2 . 5 7 . 4 5 . 1 2 . 9 2 . 5 3 . 0 R is k 2 . 5 3 . 1 1 . 2 0 . 7 1 . 2 1 . 3 0 . 7 1 . 6 4 . 2 R etu r n s ar e m ea s u r ed as a n n u alize d g eo m etr ic m ea n r et u r n s . R is k is m ea s u r ed b y an n u a lizi n g m o n t h l y s ta n d ar d d ev iatio n s . * T h r o u g h 3 1 Dec e m b er 2 0 0 8 . S o u r ce : 2 0 0 9 I b b o ts o n S B B I C la s s ic Yea r b o o k ( T ab les 2 1 , 6 1 , C 1 to C 7) . EXHIBIT 57 NOMINAL RETURNS, REAL RETURNS, AND RISK PREMIUMS FOR ASSET CLASSES (1900–2020) U ni t ed Stat es Worl d Worl d ex cl udi ng U . S. Asse t GM AM SD GM AM SD GM AM SD N om i nal R et ur ns Equit i es % % % % % % % % % B onds % % % % % % % % % B i l l s % % % – – – – – – I nf l at i on % % % – – – – – – R eal R et ur ns Equit i es % % % % % % % % % B onds % % % % % % % % % B i l l s % % % – – – – – – Prem i um s Equit i es v s. bi l l s % % % – – – – – – Equit i es v s. bonds % % % % % % % % % B onds v s. bi l l s % % % – – – – – – A l l r et ur ns a r e i n per ce nt per annum m eas ur ed i n U S$. G M = ge om et r i c m ean, A M = ar i t hm e t i c m ean, SD = st and ar d dev i at i on. “ Wor l d ” co nsi st s of 17 dev el oped co unt r i es : A ust r al i a, Be l gi um , C anada, D enm ar k, F r ance, G er m an y , I r el and, I t a l y , J ap an, t he N et her l ands , N or w a y , Sout h A f r i ca, S pai n, S w eden, Sw i t zer l and, U ni t ed K i ngdom , and t he U n i t ed St a t es . Wei ght ing i s by each c ount r y ’ s r el at iv e m ar ket capi tal iza tion si ze. Sourc es : C r e di t Sui ss e G l o ba l I n v es t m ent R et ur ns Sour ce book, 2 009. C om pi l ed f r om t abl es 62, 6 5, and 68. T bi l l s and i nf l at i on r at es ar e not av ai l abl e f or t he w or l d and w or l d ex cl udi ng t he。