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