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Investments Chapter 6: Rates of Return

Different Methods yield Different Rates of Return ,[object Object]

Standardisation of Methods ,[object Object],[object Object]

Ex-post and Ex-ante Rates of Return ,[object Object],[object Object],[object Object],[object Object]

Simple Rate of Return ,[object Object],[object Object],[object Object],[object Object]

Simple Returns ,[object Object],[object Object],[object Object],[object Object],Time 0 1 Initial investment Ending market value Dividends

[object Object],Simple Returns

Adjusted Rate of Return: I ,[object Object],[object Object],[object Object],[object Object]

Sample Mean ,[object Object],[object Object],[object Object]

Holding-Period Returns (Linking Method) ,[object Object]

Holding Period Return: Example ,[object Object]

Holding Period Return: Example ,[object Object],[object Object]

Arithmetic or Geometric? ,[object Object]

Adjusted Rate of Return: II ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Other Complications ,[object Object],[object Object],[object Object],[object Object],[object Object]

Stock Indexes ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Bond Indices: I ,[object Object],[object Object],[object Object],[object Object]

Sample Return Statistics ,[object Object],[object Object]

Risk Statistics ,[object Object],[object Object],[object Object],[object Object]

Return Statistics ,[object Object],[object Object],[object Object],[object Object]

Sample Covariance and Sample Correlation ,[object Object],[object Object],[object Object]

Holding Period Returns ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

The Future Value of an Investment of $1 in 1926 $40.22 $15.64 Source: © Stocks, Bonds, Bills, and Inflation 2000 Yearbook™ , Ibbotson Associates, Inc., Chicago (annually updates work by Roger G. Ibbotson and Rex A. Sinquefield). All rights reserved.

Historical Returns, 1926-1999 Source: © Stocks, Bonds, Bills, and Inflation 2000 Yearbook™ , Ibbotson Associates, Inc., Chicago (annually updates work by Roger G. Ibbotson and Rex A. Sinquefield). All rights reserved. – 90% + 90% 0% Average Standard Series Annual Return Deviation Distribution Large Company Stocks 13.0% 20.3% Small Company Stocks 17.7 33.9 Long-Term Corporate Bonds 6.1 8.7 Long-Term Government Bonds 5.6 9.2 U.S. Treasury Bills 3.8 3.2 Inflation 3.2 4.5

Average Stock Returns and Risk-Free Returns ,[object Object],[object Object],[object Object],[object Object],[object Object]

Risk Premiums ,[object Object],[object Object],[object Object],[object Object]

Risk Premia ,[object Object],[object Object],[object Object],[object Object]

Rates of Return 1926-1999 Source: © Stocks, Bonds, Bills, and Inflation 2000 Yearbook™ , Ibbotson Associates, Inc., Chicago (annually updates work by Roger G. Ibbotson and Rex A. Sinquefield). All rights reserved.

Stock Market Volatility Source: © Stocks, Bonds, Bills, and Inflation 2000 Yearbook™ , Ibbotson Associates, Inc., Chicago (annually updates work by Roger G. Ibbotson and Rex A. Sinquefield). All rights reserved. The volatility of stocks is not constant from year to year.

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