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Fama and French on Semi-Variance (Fama a French o semivariancii) - investujte s Indexfunds.sk

Fama and French on Semi-Variance (Fama a French o semivariancii)

Kenneth FrenchProfesori Fama a French, známi svojim postojom v prospech pasívneho investovania, sa na svojom blogu vyjadrili k používaniu semivariancie ako ukazovatelu rizika. Na rozdiel od variancie, príp. štandardnej odchýlky, semivariancia v investovaní sa vzťahuje len na odchýlky od priemeru smerom nadol (keďže investori sa neobávajú nadpriemerných výsledkov, ale podpriemerných). Obaja však vyjadrujú pochybnosti k použitiu semivariancie ako ukazovatela rizika na dlhších obdobiach ako jeden rok, keďže pravdepodobnostné rozdelenie ročných akciových výnosov nie je symetrické.

English summary (taken from the original article):

In his classic 1959 book that defined modern portfolio theory, Markowitz considers the semi-variance as a potential measure of risk. For symmetric distributions, the true variance and semi-variance are interchangeable. For longer holding periods (e.g., a year or more), distributions of returns are right skewed, and no single measure of dispersion (e.g., the variance or the semi-variance) summarizes the overall risk of the distribution.


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