The China Investor Volume 1, Issue 2 | Page 60

均标准偏差 7.6 %, 意味着投资者在经营状况不佳的 年份中的预期回报率为正 , 即 1.6 %, 这是在经营状况 不佳的年份中唯一的接近近期通胀率的正预期 。 投 资者应始终了解其因获得的收益所承担的风险 。 对这 一概念最好的表达方式是夏普比率 , 此概念多年前由 William Sharpe 教授提出 。

投资者可以通过夏普比率比较其就每承担一项风险 获得的收益 ( 标准偏差 ) 。 附表 2 显示房地产在此方面一 直是一项表现突出的优质资产 , 其夏普比率一直是股 票 的 两 倍 多 , 比 债 券 高 6 0 % 。

最后 , 所有投资者均应切记的非常重要的一点是损失 追偿 。 当某一特定年份中回报率为负值时 , 投资者需 要多久才可以收回其主要损失 ? 从附表 3 , 通过选择分 析的每一个时间段中的最低收益周期可以看出 , 每个 资产类别的最低收益发生在大萧条期间的过去 10 年 中 。

据预期 , 债券损失最小 , 其次是房地产 。 但是所有公共 股票资产类别损失均是房地产的两倍多 。 切记 , 任何 损失都需要更高的增长率才能收回本金损失 。

此外 , 附表 3 还显示了最大损失 , 计算收回此等损失所 需的增值金额 , 然后计算了收回所有本金损失需要的 平均收益年数 。 显然 , 债券安全性最高 , 过去 35 年中 , 收回最大债券损失仅需 0.7 年 。

房地产的恢复介于两者之间 , 为 2.5 年 , 但是此收回时 间是所有公共股票替代品的一半 , 而所有公共股票替 all the time frames and the very low 2.0 percent standard deviation over the past five years . Taking the 9.2 percent average of real estate returns and subtracting their average 7.6 percent standard deviation means that investors would expect a positive return of 1.6 percent in a bad year , which is the only positive expectation in bad times that is close to recent inflation .

Investors should always be aware of the risks they are taking for the returns they are receiving . This concept is best expressed by the Sharpe ratio , which was created years ago by Professor William Sharpe . The Sharpe ratio lets investors compare how much return they are getting for each unit of risk ( standard deviation ) they are taking . Exhibit 2 shows that real estate has consistently stood out as a superior asset class in this capacity with a Sharpe ratio that has consistently been more than double the rate of stocks and 60 percent higher than bonds . Finally , a very important point on all investors ’ minds is recovery from a loss . When there is a negative return in a given year , how long does it take an investor to recover their principal loss ? Selecting the worst return period over each of the timeframes analyzed , it is evident from Exhibit 3 that the worst return in every asset class happened within the last 10 years during the Great Recession .

As expected , bonds had the smallest loss , followed by real estate . But , all public stock asset class losses were more than double real estate . Remember that any loss requires a higher percentage of growth to recover the lost principal . Exhibit 3 also shows the maximum loss and calculates the needed appreciation increase to recover that loss , and then calculates the number of years of average return needed to recover all the lost principal . Bonds are obviously the safest with only 0.7 years to recover from the worst

1980-2016

夏普比率范围

Sharp Ratio Ranges

附表 2 EXHIBIT 2

0

债券 房地产 NCREIF 罗素 2000 标普 500 纳斯达克

Bond S & P INV Gr Corp

Real Estate NCREIF

Russell 2000 S & P 500

NASDAQ

59 THE CHINA INVESTOR