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发表于 11-8-2008 10:12 PM
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回复 665# 有目标的大头 的帖子
RISK & RETURN MEASURES USED
IN ASSESSING PERFORMANCE OF FUNDS
I. RISK & RETURN MEASURES
A. Measures of Unit Trust Fund Returns
Returns from unit trust funds are computed from the percentage change in fund prices (adjusted for splits and distribution paid out) for the period under review.
To compare fund returns over periods exceeding one year, the total percentage return over the period is divided by the number of years to derive the average annual return.
B. Measures of Risk
The following measures of risks are used in assessing a unit trust fund’s returns.
1) Beta
Beta is a historical measure of a fund’s sensitivity to market movements. It measures whether a fund tends to rise and fall as much as the market. For equity funds, beta is generally measured relative to the benchmark KLSE Composite Index (KLCI ). By definition, the beta of the benchmark index is 1.00.
A fund with a beta of 1.50 is significantly more volatile than its benchmark. It would tend to gain 1.5% for every 1% rise in the market, and lose 1.5% for every 1% decline in the market. On the other hand, a fund with a beta of 0.50 is notably less volatile than its benchmark and would gain 0.5% for every 1% rise in the market and lose 0.5% for every 1% decline in the market.
2) R-squared (R2)
R-squared is a historical measurement which indicates how closely a fund’s past fluctuations have correlated with the fluctuations of its benchmark index. In other words, R-squared captures the degree to which fund returns go up and down at the same time as the market.
R-squared values range from 0 to 1.0. An R-squared of 0 means that a fund's returns have no correlation with its benchmark’s fluctuations. An R-squared of 1.0 indicates that a fund's returns are completely correlated with the benchmark i.e. 100% of the fund’s past fluctuations can be explained by fluctuations in the benchmark index. An R-squared measure of 0.30 means that only 30% of the fund's movements can be explained by movements in its benchmark index.
R-squared can be used to ascertain the significance of beta. The higher a fund’s R-squared, the more reliable its beta as an indicator of the fund’s volatility of returns. If the R-squared is lower, beta is less reliable as an indicator of the fund’s volatility and performance.
3) Standard deviation
Standard Deviation is a statistical measure of the range of a fund's performance. This statistic compares a fund with its own past record (and not against a benchmark as seen in the computation of beta and R-squared). Standard deviation is the degree to which a fund's returns have fluctuated above or below its mean (or average) return over the previous 36 months. When a fund has a high standard deviation, its range of performance has been very wide, indicating that there is a greater potential for volatility of returns.
Suppose Fund A posts annual returns of –5%, +10%, and +25%. Over the three years, it earns an average annual return of +10%, with a standard deviation of 15. Fund B post annual returns of +5%, +10%, and +15% over the same period. It too earns an average return of +10%, but its standard deviation is just 5. Therefore, Fund A (with its returns ranging from –5% to +25%) has been three times as volatile as Fund B (with returns ranging from +5% to +15%).
A fund’s returns are expected to differ from its mean total return by no more than plus or or minus the standard deviation figure approximately 68% of the time. A fund’s returns should be within a range of plus or minus two times the standard deviation from its mean return 95% percent of the time. These ranges assume that a fund’s returns fall in a statistically normal, bell-shaped distribution. In any case, the greater the standard deviation, the greater the fund’s volatility.
Note that all risk measures have limitations. No single measure of risk paints a complete picture of the fund’s returns. These measures of risks are based on past performance which may not be indicative of future returns.
II. RISK & RETURN MEASURES FOR THE KLCI & A SELECTION OF Public Mutual's FUNDS
The following table shows the average annual returns, beta, R-squared and standard deviation for the KLCI and a selection of Public Mutual’s funds over various 3 year periods spanning 1993 to 2001.
Return & Risk Measures for the benchmark KLCI & Public Mutual's Funds
Returns & Measures of Risk
Period
Ave Annual Returns (%)
Beta
R-Squared
Std Deviation(%)
KLCI
1993-1995
+18.3
1.0
1.0
28.2
1996-1998
-13.7
1.0
1.0
42.8
1999-2001
+6.3
1.0
1.0
32.2
PSF
1993-1995
+30.9
0.75
0.93
22.6
1996-1998
-4.2
0.31
0.82
16.3
1999-2001
+7.6
0.62
0.90
22.1
PGF
1993-1995
+33.5
0.84
0.90
26.4
1996-1998
-7.2
0.34
0.85
17.3
1999-2001
+7.9
0.56
0.89
20.5
PIX
1993-1995
+27.1
0.67
0.92
20.8
1996-1998
-4.8
0.43
0.89
20.4
1999-2001
+6.7
0.65
0.95
22.1
PSF = Public Savings Fund , PGF = Public Growth Fund
PIX = Public Index Fund , KLCI = KLSE Composite Index
1) Benchmark Returns & Risk Measures
Average Annual Return: It can be observed that the KLCI experienced a strong upswing with average annual returns of 18.3% in the 1993-1995 period. However returns turned negative in the 1996-1998 period when the economy went into a tailspin during the Asian crisis. Equity returns turned positive again in the 1999-2001 period but the average annual return during this period of 6.3% was lower than the returns experienced prior to the Asian crisis.
Beta & R-Squared: As the performance benchmark for equity funds is the KLCI , the beta and R-Squared of the latter by definition is 1.00.
Standard Deviation: In the 1993-95 period, volatility of the KLCI ’s returns as indicated by the standard deviation was 28.2%. This implies that 68% of the time, annual returns from the KLCI ranged between 46.5% (18.3% plus 28.2%) and -9.9% (18.3% minus 28.2%).
During the economically turbulent period of 1996 to 1998, volatility of stockmarket returns increased as evidenced by the rise in the standard deviation to 42.8%. But lower volatility of stockmarket returns was experienced during the 1999-2001 period.
2) Unit Trust Returns & Risk Measures
Average Annual Return: From the above table, it can be seen that a selection of three of Public Mutual’s funds have registered better returns than the KLCI in the periods under comparison. As an example, the Public Savings Fund registered an average annual return of 7.6% during the 1999-2001 period while the KLCI posted a return of 6.3% over the same period.
Beta & R-Squared: The beta and R-squared of the unit trusts were higher during the 1993-1995 and 1999-2001 periods as the equity exposure of the funds was higher during these periods. However these two ratios were lower during the 1996-1998 period as the equity exposure of the funds was reduced during the market decline of this period. This therefore reduced the correlation of the unit trust returns relative to the KLCI .
Over the 1999-2001 period, it can be seen that Public Growth Fund had the lowest beta and R-Squared measures while the Public Index Fund had the highest beta and R-Squared measures among the three funds.
Despite having lower beta measures than the benchmark KLCI , the funds were able to perform better than the benchmark in periods of rising returns (as seen for the 1993-1995 and 1999-2001 periods) due to shifts in asset allocation between cash and equities. Profits on equities are locked in when the market is on a rising trend and reinvested when the market has bottomed out. These shifts in asset allocation also allow the funds to outperform the benchmark in periods of market downturn as seen in the 1996-1998 period.
Standard Deviation: The volatility of returns as measured by the standard deviation of the funds’ returns are smaller than the benchmark’s standard deviation because only a portion of the funds’ assets are invested in equities. Among the three funds, it can be seen that the volatility of returns for the Public Growth Fund of 20.5% was lower than the volatility of returns for the Public Savings & Public Index Fund of 22.1% over 1999-2001 period.
那天在公司上课，讲师有说其实我们公司是有建议要放这个指标的，不过其他公司都不响应，所以只有我们公司自己还有在做咯！基本上只是大众信托基金代理都会收到每个星期的市场报告，还有那些指标咯 |
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