Beruflich Dokumente
Kultur Dokumente
Measuring Returns
Measuring Risk
Distributions
Pt Pt 1 CFt
HPR t
Pt 1
Where: Pt = current price
Pt-1 = purchase price
CFt = cash flow received in time t
HPR normally computed on monthly basis
Chapter 2 All Rights Reserved 5
Measuring Returns
Holding Period Return Relative (HPRR) [Eq. 2-2]
Pt CFt
HPRR t
Pt 1
HPR = HPRR - 1
Pi xmin R i ER ,0
2
i 1
1/2
1 T
2
SD [ ]
T 1 t 1
(HPR t AROR)
R t R
n
1
Variance [ ]
2 2
n 1 t 1