. , : , 1926 1998 . , .
19261998 . Ibbotson . -1, 19731998 . . -2, . -3.
, , , , . . , ; , , . , , .
, ; . , 19941998 . , .
. -1. , 19261998 .
. -2. , 19731998 .
: S&P (Standard &Poors 500); USSM (CRSP 910); EAFE , (MSCI Europe, Australasia and Far East); HY (First Boston High Yield Bond Index); LTGC (Lehman Bros. Long-Term Government Corporate Bond Index) [25] ; IB (Salomon Brothers Non-Dollar World Government Bond Index); T-Bill 30- ; Gold , Morningstar (Morningstar Precious Metals Fund Average); NATR , (Morningstar Natural Resources Fund Average); REIT ( equity REITs ( ), National Association of Real Estate Investment Trusts Index); 1Y (One Year Corporate Bond Index Dimensional Fund Advisors); UKSM (Hoare-Govett/DFA United Kingdom Small Company Fund); JPSM (Nomura DFA Japan Small Company Fund).
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. -3. , 19941998 .
: S&P (Standard &Poor's 500); USSM (CRSP 9-10); EAFE , (MSCI Europe, Australasia and Far East); REIT ( equity REITs ( )); INTSM (DFA International Small Company Strategy/Fund); EM (DFA Emerging Markets Fund); EMSM (DFA Emerging Markets Small Company Index/Fund); T-Bond 20- (Ibbotson Assoc. 20-Year U.S. Treasury Bond Index); 1Y (One Year Corporate Bond Index Dimensional Fund Advisors); T-Bill 30- ; IB (Salomon Brothers Non-Dollar World Government Bond Index); HY (First Boston High Yield Bond Index); NATR , (Morningstar Natural Resources Fund Average); National Association of Real Estate Investment Trusts Index); Gold , Morningstar (Morningstar Precious Metals Fund Average).
(Autocorrelation) , . , +1 ( ) 1 ( ). , . , .
(Active management) .
(Value stock) , . , , / /.
(Alpha) . . , , +0,2 % , , , , . , .
, (American Depositary Receipts, ADR) , -, . , ; , , 2, 10 4,5 , . , .
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(Mean-variance analysis) . .
(Arbitrage) . ( , , .)
(Book value) . , .
(Riskless rate) , , 30- 90- . , . , , ( ), .
(Contrarian) , .
(Beta) , , . , , 1,3, , 1 % 1,3 % . . , . . .
/ (Currency risk/return) , , .
(Mutual fund) , , , . . 1940 . . .
(No-load mutual fund) , .
(Load mutual fund) , 8,5 %. . .
(Market impact) - . .
(Rebalancing) , , .
() (High-yield (junk) bond) , Standard & Poors, BB . , , .
(Efficient market hypothesis) , , .
(Annualized return) , . , 0 %, 0 % 33,1 %, 10 % (1,1 × 1,1 × 1,1 = 1,331).
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(Efficient frontier) , . , , .
(Maturity) .
(Cash flow) .
(Diversification) , .
(Dividend yield) , .
(Variance) ; . , .
(Expense ratio) , , , . , .
(Capital gain) , . .
(Return) , .
, (Ask price) , . .
(Real estate investment trust, REIT) , . 95 % .
(Indexing) , S&P 500. . .
(Index Fund) , , S&P 500.
(Institutional investors) , , , .
(Treasury inflation-protected security, TIPS) , . TIPS .
(Asset class) , .
(Commission) .
(Correlation) ( ). +1 ( / / ) 1 ( / / ). , .
P/B (Price-book (P/B) ratio) . . , . / .
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P/E (Price-earnings (P/E) ratio) . , /.
(Coupon) . , $1000 6 % $60 $30 .
(Ladder) , . , -, -, -, . .
(Liquidity) , , . , , , . , .
(Discounted dividend model, DDM) . , , . .
(Capital asset pricing model, ) , . , , , . ( , ).
(Nonsystematic risk), , . , .
(Nominal return) .
(Par value) , 100 %.
(Bond) , . , . . ( 1 10 .)
, (Zero-coupon bond) , . .
(Turnover) , ; . , 200 % .
(Survivorship bias) .
, (Passive management, portfolio, or strategy) . , , , , - .
(Initial public offering, IPO) , , . .
(Semivariance) , . , , . , .
(Portfolio) .
, (Bid price) , .
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R- (R squared, R 2 ) . , . , , R2 0,80 S&P 500, 80 % .
(Asset allocation) , , .
, (Real interest rate, real return) , . , , . % % .
(Regression analysis) , , . .
(Reinvestment risk) , .
(Risky asset) , .
(Market capitalization, market cap) . , . . .
(Market return) .
(Market portfolio) , , , . Wilshire 5000, Russell 3000 CRSP-All.
(Systematic risk) .
(Random walk) , .
(Total return) , ; , .
(Modern portfolio theory, MPT) .
(Spread) . .
(Standard deviation, SD) . .
(Average return) . , 0 %, 0 % 33,1 %, 11,033 %. .
(Portfolio theory) , .
(Closed-end fund) , , . . ( ) ( ) (NAV) , , NAV .
(Open-end fund) , . . . .
(Utility function) , , . .
(Security) , - , , . .
(Cyclical stock) , . , , - ( , ).
(Net asset value, NAV) . NAV, . , , NAV.
, Royallib.ru
[1] , , . , . ( , . .) , , . . .
[2] , . . .
[3] . . .
[4] . . .
[5]- , . . . .
[6] , . . .: , 2012.
[7] . -. .: , 2006.
[8] . . .
[9] : .: , 2010.
[10] : .: , 2011.
[11] . . .
[12] 18851889 18931897 . . .
[13]19 1987 . , 508 , 22 %. . .
[14] . . .
[15] , 1962 . , . . .
[16] , . . .
[17]Treasury Direct . . .
[18] / ( . . .
[19] : .: , 2006.
[20] : .: , 2002.
[21] : .: , 2008.
[22] : .: , 2010.
[23] : .: , 2012.
[24]www.morningstar.com
[25] 2008 Lehman Brothers .