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Topic: Expected return

	Risk & Expected Return
		The higher expected return is reflected in a lower valuation of the asset.
		However, those spectacular returns are not repeatable, unless the perception of risk where to once again fall by similar amounts, something that is virtually impossible as we shall see.
		Returning to our bond example, it would be as if a highly rated company paying 6% on its bonds where to be acquired by a poorly rated company that had to pay 12% on its bonds.
	www.indexfunds.com /PFarticles/20011120_expected_iss_md_LS.htm (2148 words)

	[No title]
		Since the CML represents the expected return offered to compensate for a perceived level of risk, each point on the line is a balanced market condition, or equilibrium.
		The expected return on a risky asset, given a probability distribution for the possible rates of return.
		Expected return equals some risk-free rate (generally the prevailing U.S. Treasury note or bond rate) plus a risk premium (the difference between the historic market return, based upon a well diversified index such as the SandP 500 and the historic US Treasury bond) multiplied by the assets beta.
	www.english-to-french-translation.com /dictionaries/financial/bfglose.htm (6976 words)

	[No title]
		Stock B is expected to have a return of 20 percent for the same period, or the average return of stock B is 20%.
		Having average return of EMBED Equation.3 in the center of the figure, the probability that (expected) return falls between +/- 1(is 68%, +/- 2 (s is 95%, and +/- 3 (s is 99%.
		Thus, the probability that actual return falls between 10% and 30% is 68%, and the return falls between 0% and 40% is 95%, and the return falls between —10% and 50% is 99%.
	www2.msstate.edu /~dk62/fin8112/note2.doc (1167 words)

	Personal Finance: Money 101: Glossary
		Since the CML represents the expected return offered to compensate for a perceived level of risk, each point on the line is a balanced market condition, or equilibrium.
		The expected return on a risky asset, given a probability distribution for the possible rates of return.
		Expected return equals some risk-free rate (generally the prevailing U.S. Treasury note or bond rate) plus a risk premium (the difference between the historic market return, based upon a well diversified index such as the SandP 500 and the historic US Treasury bond) multiplied by the assets beta.
	money.cnn.com /services/glossary/e.html (7867 words)

	The Sharpe Ratio
		According to the ratio of expected return to standard deviation, X (5/10, or 0.50) is superior to Y (8/20, or 0.40).
		Returns on futures positions are often computed in a similar manner, using the initial value of the underlying asset as a base.
		It is also assumed to hold for the "active returns" that constitute the residual returns in a model of the type used by BARRA (described, for example, in Grinold [1989]).
	www.stanford.edu /~wfsharpe/art/sr/sr.htm (5543 words)

	Untitled Document (Site not responding. Last check: 2007-10-15)
		Academic theory suggests, and empirical results support, that stocks and bonds should offer an expected return which is consistent with the underlying risk (variance in return in the assets not held in a market portfolio and beta (correlation) for assets held in an overall market portfolio).
		Simply put, the two-year expected rate of return should be twice the one year expected rate of return, and similarly, the two-year expected variance in return (risk) is twice the one year expected variance.
		As important, the impact on expected return may be such that through judicious use of borrowing or lending, one can achieve higher returns with similar risk at the portfolio level than at the individual security level.
	www.mfainfo.org /neo_apps/article/article1.asp?article_id=1274&adate=5/1/2000 (2063 words)

	Expected Return From Stocks In Next 5-10 Years
		The expected inflation-adjusted returns from stocks over the next 5 to 10 years are negative under almost all reasonable assumptions about the future earnings of companies in the SandP 500 and about the price/earnings multiple that investors are willing to pay for stocks.
		If earnings grow faster than previously due to technology/better management/(you provide the reason), then the expected returns are increased by whatever you assume the faster growth rate is over the expected level of 1% per year, say x%.
		P/E ratios might be expected to remain the same as today's level in that scenario, and hence the expected inflation-adjusted return of the SandP 500 over the next 5 years would be (3+x)% per year.
	la.znet.com /~schester/financial_advice/expected_return_sp500.html (2524 words)

	The Expected Return One-Step
		The conference attendees were rewarded by one speaker who did focus on the long term—Jim Bianco (Bianco Research) analyzed expected bond returns through a long lens, testing an intriguing hypothesis: that the primary determinant of bond yields is the growth of GDP and not supply, as is commonly supposed.
		The agreement between the two is good, but far from perfect, as you might expect given the fact that we’re looking at a frequent sampling interval.
		And since long-term equity returns are closely approximated by the sum of dividend/earnings growth and the dividend rate, then the equity premium is simply the dividend rate.
	www.efficientfrontier.com /ef/401/onestep.htm (1113 words)

	[No title] (Site not responding. Last check: 2007-10-15)
		Firms were not required to disclose the expected return, the market-related value, or an analysis of the change in plan assets during the year.
		Thus, we would expect that for sample firms using a SFAV method for calculating expected returns, estimates of the market-related value of plan assets should be lower than the FV of plan assets in 1998, 1999, and 2000.
		The average increases in expected returns from using FV instead of SFV were 17.2% in 1998, 13.8% in 1999, 15.0% in 2000, and 5.8% in 2001.
	www.nd.edu /~mshackel/acct_workshop/pdf_0304/pfriday.doc (7007 words)

	Re: zero beta stocks expected return
		Short answer : CAPM states expected return is sum of risk-free rate and (stock beta times market risk premium), hence for zero beta, stock return equals the risk-free rate.
		If all these random assets individually had expected returns higher than the risk-free rate then buying enough different assets to eliminate the effect of individual specific risk would give us a risk-free portfolio with expected returns higher than the risk-free rate, which is theoretically impossible and in practice would give arbitrage opportunities.
		In practice, low-beta high-specific risk stocks do tend to show higher than expected returns, possibly because enough investors are not sufficiently diversification-efficient,or because there is no law of physics that requires that CAPM or APT actually work in real markets.
	www.contingencyanalysis.com /archive/archive98-3/00000069.htm (233 words)

	[No title]
		However, the asset that has a lower expected return and a lower standard deviation may be efficient or inefficient, depending on the correlation coefficient between the two assets.
		If we compare the returns on a portfolio that uses leverage to the returns on an unlevered portfolio, the general rule is that when the risky assets earn a return higher than the borrowing rate (higher than 0% in this example), the returns on the levered portfolio will exceed returns on the unlevered portfolio.
		Using Pfizer’s return data to calculate its average monthly return and standard deviation results in a mean return of 2.33% and a standard deviation of 7.97%.
	www.ou.edu /class/fin5043/5283answers6.feb273.doc (3946 words)

	CHAPTER 5 (Site not responding. Last check: 2007-10-15)
		The expected return on a portfolio is the sum of the product of the expected returns on the individual securities and weights.
		If the expected return on IBM stock is 15% and that of GM is 10%, and $6,000 is invested in IBM while $4,000 is invested in GM, the portfolio expected return is:
		Total return differs from expected return due to surprises causing unexpected returns.
	www.suu.edu /faculty/tufte/F6100s01/CHAPTER5.htm (664 words)

	Briefing.com: Definitions of Ratings (Site not responding. Last check: 2007-10-15)
		Overweight - stock's total return is expected to exceed the average total return of the analyst's industry (or industry team's) coverage universe, on a risk-adjusted basis, over the next 12-18 months.
		Equal-weight - stock's total return is expected to be in line with the average total return of the analyst's industry (or industry team's) coverage universe, on a risk-adjusted basis, over the next 12-18 months.
		Equal Weight - total return is expected to be in line with the average total return of the analyst's industry coverage universe, on a risk-adjusted basis, over the next 12-18 months.
	www.briefing.com /full_private/Ratings_definitions.htm (3263 words)

	[No title] (Site not responding. Last check: 2007-10-15)
		Summary: kp: Expected Value of Portfolio (kp CVp Alternative 1 (F) 17.5% 1.291.0738 Alternative 2 (FG) 16.5% -0-.0 Alternative 3 (FH) 16.5% 1.291.0782 Since the assets have different expected returns, the coefficient of variation should be used to determine the best portfolio.
		Asset A has a smaller required return than Asset B because it is less risky, based on the beta of 0.80 for Asset A versus 1.30 for Asset B. The market risk premium for Asset A is 3.2% (12.2% - 9%), which is lower than Asset B's (14.2% - 9% = 5.2%).
		In part d, by calculating a required rate of return, it was easy to reject X and select Y. The required return on Asset X is 11.8%, but its expected return (11.74%) is lower; therefore Asset X is unattractive.
	web.uccs.edu /gstringe/FNCE305/Solutions/Problems/IMCh05_alt.doc (1208 words)

	Expected Return From Stocks In Next 5-10 Years
		The expected inflation-adjusted returns from stocks over the next 5 to 10 years are negative under almost all reasonable assumptions about the future earnings of companies in the SandP 500 and about the price/earnings multiple that investors are willing to pay for stocks.
		If earnings grow faster than previously due to technology/better management/(you provide the reason), then the expected returns are increased by whatever you assume the faster growth rate is over the expected level of 1% per year, say x%.
		P/E ratios might be expected to remain the same as today's level in that scenario, and hence the expected inflation-adjusted return of the SandP 500 over the next 5 years would be (3+x)% per year.
	home.znet.com /schester/financial_advice/expected_return_sp500.html (2524 words)

	[No title] (Site not responding. Last check: 2007-10-15)
		The rate of return on any investment must compensate the holder of the investment for the risks that are perceived in the investment.
		The expected return for the two stocks are identical and are calculated using the following formula.
		For instance if a stock has a beta of 1.2, the return on the market is 24%, the risk free rate is 6%, then the expected return on the stock is = 6 + (24-6)1.2 = 27.6%.
	www.sbm.temple.edu /~brader/notes4f103.htm (1047 words)

	Lottery Post: Expected Return
		So it seems to me that the calculation of a return on the ticket should be a before tax, rather than after tax calculation.
		Expected value calculations does not depend upon the jackpot being won, only the probability that it is won and by how many tickets.
		In performing expected value calculations, you need to calculate the probability of no jackpot winner, 1 winner, 2 winners, etc. These are the calculations that prob987 has been posting.
	www.lotterypost.com /threads81301p2.htm (1207 words)

	Video Poker expected return value
		Within video poker that are various odds and expected returns, which can affect everything in the midst of your play and strategy.
		For example, for the flush draw, the expected return is 9/47 X 6, or 115 percent and for the straight draw the expected return is 8/47 X 4, or 68 percent.
		So, the type of strategy may or may not be obvious, but it always involved calculating the highest expected return for all of the 32 ways it is possible to play a hand according to the highest expected return in video poker.
	www.ogpaper.com /video-poker-expected-return.html (476 words)

	Volatility Drag: How Fluctuations Lower Expected Annualized Return
		A problem with the way expected return rates are usually expressed is that volatility doesn't just "average out" in the long run; instead, it causes a significant decrease in your annualized returns.
		It's true though; and the bottom line is that for a typical stock fund your expected annualized return is about one percent less than the number generally given as the "average" or "expected" return rate.
		"Expected" here really means "median": you have a 50/50 chance of doing better than the green bars, and a 50/50 chance of doing worse.
	www.moneychimp.com /articles/volatility/drag.htm (184 words)

	Video Poker Expected Return - Video Poker Odds (Site not responding. Last check: 2007-10-15)
		Expected return, in video poker and any other gambling game, is the long term result of your decisions.
		In video poker, expected return is calculated using the payouts for specific hands.
		For the flush draw, the expected return is 9/47 X 6, or 115%.
	www.videopoker365.com /video-poker/expected-return (396 words)

	[No title] (Site not responding. Last check: 2007-10-15)
		Required return = rf + ((rm — rf) = 4% + 0.6 ((14% — 4%) = 10% With an IRR of 14%, the project is attractive.
		The expected return of the portfolio is equal to the weighted average of the returns on the S&P 500 and T-bills.
		The slope of the return per unit of risk relationship is the market risk premium: rm — rf = 13% — 5% = 8% This is exactly what the SML predicts, i.e., that the risk premium equals beta times the market risk premium.
	pubpages.unh.edu /~jblease/ADMN601F03/CH11 (1648 words)

	Social Security's Rate of Return: A Reply to Our Critics
		The rates of return cited fail to acknowledge that workers entering a private system would have to pay for their own retirement as well as support the benefits paid to those who are currently retired and close to retirement.
		Rate of return outcomes vary enormously, of course, depending on the transition rules that are adopted.
		Even if the expected value methodology and data cited by Goss are used to evaluate the rate of return from Social Security, the major conclusions of the Heritage study remain unrefuted.
	www.heritage.org /Research/SocialSecurity/CDA98-08.cfm (6942 words)

	MLB Baseball Injuries - CBS SportsLine.com
		Might return for July 16-18 series at Boston
		Expected to begin Class A rehab assignment July 16.
		Expected to begin Double-A rehab assignment July 12
	www.sportsline.com /mlb/injuries (164 words)

	Mishkin - Minicases (Site not responding. Last check: 2007-10-15)
		What is the expected return of the portfolio that combines A and B? What is the variance of the portfolio that combines A and B? If your firm makes equal investments in securities A and C (50% in each):
		What is the expected return of the portfolio that combines A and C? What is the variance of the portfolio that combines A and C? If your firm makes equal investment in securities B and C (50% in each):
		What is the expected return of the portfolio that combines B and C? What is the expected variance of the portfolio that combines B and C? Given the results of your work in questions 3, 4, and 5 above, which portfolio would you recommend to your supervisor?
	occawlonline.pearsoned.com /bookbind/pubbooks/mishkin_awl/medialib/minicases/cgpd.html (296 words)

	[No title]
		The expected return on a life insurance policy is calculated just as for a common stock.
		An expected return of 15 percent on the new stock is below the 16 percent required rate of return on an investment with a risk of b = 2.0.
		The average return for Stock C is 11.3 percent and the standard deviation of these returns is 20.8 percent.
	andromeda.rutgers.edu /~yangruwu/IM06FM10.doc (2557 words)

	ESPN.com - 2002 NBA Draft: Marcus expected to return to Hilltoppers
		Western Kentucky senior center Chris Marcus is expected to withdraw from the NBA draft Friday and return for his fourth season of eligibility, fifth season at the school, sources close to the situation told ESPN.com on Thursday.
		The NBA failed to get Marcus to return phone calls as to whether he would accept an invitation to play in the Chicago pre-draft camp next week at the Moody Bible Institute.
		Underclassmen who haven't signed with agents, or a senior like Marcus who could still return next season, have until June 19 to withdraw from the June 26 draft and retain their eligibility.
	sports.espn.go.com /nbadraft/story?id=1388989 (642 words)

	E Definitions: Campbell R. Harvey's Hypertextual Finance Glossary
		The organizing principle of portfolio theory, which maintains that any risk-averse investor will search for the highest expected return for any particular level of portfolio risk.
		Escheatment laws require mutual funds to turn over uncashed or returned check dollars and/or client account fund shares if the owner cannot be located within a length of time determined by each state.
		In the context of hedge funds, a style of management that combines many different types of hedge fund investing such as merger arbitrage, distressed securities and high yield investing, in conjunction with an important "event" that is supposed to unlock firm value (like a merger announcement, earnings announcement, or a regulator decision).
	www.duke.edu /~charvey/Classes/wpg/bfglose.htm (8400 words)

	Modeling Expected Return on Defaultable Bonds
		The unique feature of credit risk, however, implies that the expected return on defaultable bonds is not synonymous with the (pre-default) price process as in the case of default-free bonds.
		In this paper, the expected return on defaultable bonds is examined within the framework of intensity-based credit risk models.
		It is shown that a defaultable bond’s instantaneous expected return can be decomposed into three parts: a default-free component, a compensation for variations in default risk, and a compensation for investors’ risk-aversion towards the default event.
	www.defaultrisk.com /pp_other_39.htm (188 words)

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