Chapter Risk - Return - Part 2 - Spring 2024

‫اﻟﻔﺻل اﻟﺧﺎﻣس‪ -‬اﻟﺟزء‬
‫‪LOGO‬‬
‫اﻟﺛﺎﻧﻲ‬
‫اﻟﻌﺎﺋد واﻟﻣﺧﺎطر‬
‫ﻟﻠﻣﺣﻔظﺔ‬
‫‪1‬‬
‫ﻗﯾﺎس ﻋﺎﺋد اﻟﻣﺣﻔظﺔ‬
‫§ اﻟﻌﺎﺋد اﻟﻣﺗوﻗﻊ ﻟﻠﻣﺣﻔظﺔ ھو ﻣﺟﻣوع اﻟﻣﺗوﺳط اﻟﻣرﺟﺢ ﻟﻠﻌﺎﺋد‬
‫اﻟﻣﺗوﻗﻊ ﻟﻛل اﺳﺗﺛﻣﺎر أو أﺻل داﺧل اﻟﻣﺣﻔظﺔ‪ ،‬واﻟوزن ﻟﻛل‬
‫اﺳﺗﺛﻣﺎر أو أﺻل ھو ﻧﺳﺑﺔ ﻣن إﺟﻣﺎﻟﻲ اﻻﺳﺗﺛﻣﺎرات‪.‬‬
‫‪m‬‬
‫) ‪RP = S ( WJ ) ( RJ‬‬
‫‪J=1‬‬
‫‪2‬‬
‫ﻣﺛﺎل‬
‫§ ﻟو اﻓﺗرﺿﻧﺎ ﺗدﻓق ﻧﻔس ﻛﻣﯾﺔ اﻟﻧﻘود ﻋﻠﻰ اﻟورﻗﺗﯾن اﻟﻣﺎﻟﯾﺗﯾن‬
‫اﻵﺗﯾﺗﯾن ‪ ،‬اﺣﺳب ﻋﺎﺋد ﻣﺗوﻗﻊ ﻟﻠﻣﺣﻔظﺔ‪.‬‬
‫ورﻗﺔ ﻣﺎﻟﯾﺔ ب‬ ‫ورﻗﺔ ﻣﺎﻟﯾﺔ أ‬

‫‪11.5%‬‬ ‫‪14.0%‬‬ ‫‪R‬‬
‫‪1.5‬‬ ‫‪10.7‬‬ ‫‪s‬‬
‫‪%12.75‬‬ ‫اﻟﻌﺎﺋﺪ اﻟﻤﺘﻮﻗﻊ ﻟﻠﻤﺤﻔﻈﺔ‪:‬‬

‫‪3‬‬
‫ﻣﺧﺎطر اﻟﻣﺣﻔظﺔ‬
‫ﻗﯾﺎس ﺗﻠك اﻟﻣﺧﺎطر ﯾﺗﺣدد وﻓﻘﺎ ً ﻟﻌﻼﻗﺔ اﻻرﺗﺑﺎط ﺑﯾن اﻟﻌواﺋد‬ ‫§‬
‫ﻟﻸﺻول ﻓﻲ اﻟﻣﺣﻔظﺔ‪.‬‬
‫ﯾﺗم اﺳﺗﺧدام اﻟﺗﺑﺎﯾن واﻻﻧﺣراف اﻟﻣﻌﯾﺎري و‪ Beta‬ﻟﻘﯾﺎس‬ ‫§‬
‫ﻣﺧﺎطر اﻟﻣﺣﻔظﺔ‪.‬‬
‫ﯾﺗم اﺳﺗﺧدام ﻣﻌﺎﻣل ‪ Beta‬ﻓﻲ ﺣﺎﻟﺔ اﻟﻣﺣﻔظﺔ ﻣﺗﻧوﻋﺔ ﺟﯾدا ‪،‬‬ ‫§‬
‫ﻻﻧﮭﺎ ﺗﻘﯾس اﻟﻣﺧﺎطر اﻟﻧظﺎﻣﯾﺔ‪.‬‬
‫ﯾﺗم اﺳﺗﺧدام اﻻﻧﺣراف اﻟﻣﻌﯾﺎري ﻓﻲ ﺣﺎﻟﺔ ﻣﺣﻔظﺔ ﻏﯾر ﻣﺗﻧوﻋﺔ‬ ‫§‬
‫ﻻﻧﮭﺎ ﺗﻘﯾس اﻟﻣﺧﺎطر اﻟﻛﻠﯾﺔ )ﻧظﺎﻣﯾﺔ وﻏﯾر ﻧظﺎﻣﯾﺔ( وﺑﺎﻟﺗﺎﻟﻲ‬
‫أﻛﺛر ﺣﯾطﺔ‪.‬‬
‫‪4‬‬
‫ﻣﻔﺎھﯾم ھﺎﻣﺔ ) اﻟﺗﻐﺎﯾر ــــ ﻣﻌﺎﻣل اﻻرﺗﺑﺎط (‬
‫ﻣﻌﺎﻣﻞ اﻻرﺗﺒﺎط‬ ‫اﻟﺘﻐﺎﯾﺮ ‪COV‬‬

‫‪Correlation Coefficient‬‬
‫ﻟﻘﯾﺎس ﻋﻼﻗﺔ‬ ‫§ ﻣﻘﯾﺎس إﺣﺻﺎﺋﻲ‬ ‫ھو ﻣﻘﯾﺎس إﺣﺻﺎﺋﻲ ﻟﻘﯾﺎس درﺟﺔ‬ ‫§‬
‫ﺧطﯾﺔ ﺑﯾن ﺳﻠﺳﻠﺗﯾن ﻣن اﻷرﻗﺎم ‪.‬‬ ‫ﺗﺣرك ﻣﺗﻐﯾرﯾن ‪.‬‬
‫‪standardized statistical measure‬‬ ‫اﻟﻘﯾﻣﺔ اﻟﻣوﺟﺑﺔ‪ :‬ﻓﻲ اﻟﻣﺗوﺳط‬ ‫§‬
‫‪of‬‬ ‫‪the‬‬ ‫‪linear‬‬ ‫‪relationship‬‬
‫‪between two variables‬‬
‫ﯾﺗﺣرﻛﺎ ﻣﻊ ﺑﻌﺿﮭﻣﺎ اﻟﺑﻌض‪.‬‬
‫اﻟﻘﯾﻣﺔ اﻟﺳﺎﻟﺑﺔ‪ :‬ﻓﻲ اﻟﻣﺗوﺳط‬ ‫§‬
‫ﯾﻛون اﻣﺎ‬ ‫ﯾﺗﺣرﻛﺎ ﻋﻛس ﺑﻌﺿﮭﻣﺎ اﻟﺑﻌض‪.‬‬
‫‪1 o‬ﻋﻼﻗﺔ ﻣوﺟﺑﺔ ﻛﺎﻣﻠﺔ‬ ‫اﻟﻘﯾﻣﺔ ﺻﻔرﯾﺔ‪ :‬ﻻ ﯾوﺟد ﻓﻲ‬ ‫§‬
‫‪ -1 o‬ﻋﻼﻗﺔ ﺳﺎﻟﺑﺔ ﻛﺎﻣﻠﺔ‪.‬‬ ‫اﻟﻣﺗوﺳط ﻋﻼﻗﺔ ﺧطﯾﺔ ﺳواء‬
‫ﻣوﺟﺑﺔ أو ﺳﺎﻟﺑﺔ‪.‬‬
‫‪ o‬ﺻﻔر ﯾﻌﻧﻲ ﻻ ﯾوﺟد ﻋﻼﻗﺔ‪.‬‬
‫‪5‬‬
‫ﺗﺣدﯾد اﻻﻧﺣراف اﻟﻣﻌﯾﺎري ﻻﺳﺗﺛﻣﺎرﯾن ﻓﻲ اﻟﻣﺣﻔظﺔ‬
‫‪2‬‬ ‫‪2‬‬
‫‪sP = Wj sj + Wk sk + 2 Wj Wk COV jk‬‬
‫‪2‬‬ ‫‪2‬‬
‫وزن ﻷﺻل ‪ J‬ﻓﻲ اﻟﻣﺣﻔظﺔ‪ ).‬ﻧﺳﺑﺔ اﻻﺳﺗﺛﻣﺎرات(‬ ‫‪Wj‬‬
‫وزن ﻷﺻل ‪ K‬ﻓﻲ اﻟﻣﺣﻔظﺔ‪.‬‬ ‫‪Wk‬‬
‫اﻟﺗﻐﺎﯾر ﺑﯾن ﻋواﺋد اﻻﺳﺗﺛﻣﺎرﯾن ‪ k‬و ‪ J‬ﻓﻲ اﻟﻣﺣﻔظﺔ‪.‬‬ ‫‪COV jk‬‬
‫‪6‬‬
‫اﻟﺗﻐﺎﯾر ‪COV‬‬
‫‪COV jk = s j s k r jk‬‬
‫اﻧﺣراف ﻣﻌﯾﺎري ﻻﺳﺗﺛﻣﺎر ‪ J‬ﻓﻲ اﻟﻣﺣﻔظﺔ‬ ‫‪sj‬‬

‫اﻧﺣراف ﻣﻌﯾﺎري ﻻﺳﺗﺛﻣﺎر ‪ K‬ﻓﻲ اﻟﻣﺣﻔظﺔ‬ ‫‪sk‬‬
‫ﻣﻌﺎﻣل اﻻرﺗﺑﺎط ﺑﯾن اﻻﺳﺗﺛﻣﺎرﯾن ‪ J‬و ‪K‬‬ ‫‪rjk‬‬
‫‪7‬‬
Variance – Covariance Matrix
‫ اﻟﺗﻐﺎﯾر‬-‫ﻣﺻﻔوﻓﺔ اﻟﺗﺑﺎﯾن‬
‫§ ﻣﻊ وﺟود اﺳﺗﺛﻣﺎرﯾن ﻓﻲ اﻟﻣﺣﻔظﺔ‬
COL 1 COL 2
Row 1 2 2
Wj sj Wj Wk COV jk
ROW 2 2 2
Wj Wk COV jk Wk sk
8
‫ﻣﺛﺎل ﻟﺣﺳﺎب ﻋﺎﺋد وﻣﺧﺎطر اﻟﻣﺣﻔظﺔ‬
‫‪ v‬ﻟو ﻟدﯾك اﺳﺗﺛﻣﺎرﯾن ﻓﻲ اﻟﻣﺣﻔظﺔ ﺑﯾﺎﻧﺎﺗﮭم ﻛﺎﻟﺗﺎﻟﻲ ‪ ،‬اﻟﻣطﻠوب‬

‫ﺣﺳﺎب اﻟﻌﺎﺋد اﻟﻣﺗوﻗﻊ واﻻﻧﺣراف اﻟﻣﻌﯾﺎري ﻟﻠﻣﺣﻔظﺔ ﻋﻠﻣﺎ ً أن‬
‫ﻣﻌﺎﻣل اﻻرﺗﺑﺎط=‪0.75‬‬
‫اﺳﺗﺛﻣﺎر ‪B‬‬ ‫اﺳﺗﺛﻣﺎر‪A‬‬

‫‪3000‬‬ ‫‪2000‬‬ ‫اﻻﺳﺗﺛﻣﺎرات‬
‫‪σ‬‬
‫‪10.65%‬‬ ‫‪13.5%‬‬
‫‪8%‬‬ ‫‪9%‬‬ ‫‪R‬‬
‫‪9‬‬
‫ﺗﺣدﯾد ﻋﺎﺋد اﻟﻣﺣﻔظﺔ‬
WA = $2,000/$5,000 = 0.4
WB = $3,000/$5,000 = 0.6
RP = (WA)(RA) + (WB)(RB)
RP = (0.4)(0.09)+ (0.6)(0.08)
RP = (0.036) + (0.048) = 0.084=8.4%
10
‫ﺗﺣدﯾد اﻻﻧﺣراف اﻟﻣﻌﯾﺎري ﻟﻠﻣﺣﻔظﺔ‬
‫ﻣﺻﻔوﻓﺔ اﻟﺗﺑﺎﯾن واﻟﺗﻐﺎﯾر ﻟﻼﺳﺗﺛﻣﺎرﯾن‬
‫‪Col 1‬‬ ‫‪Col 2‬‬

‫‪2‬‬ ‫‪2‬‬
‫‪Row 1‬‬ ‫‪W A sA‬‬ ‫‪WA WB COV A,B‬‬
‫‪2‬‬ ‫‪2‬‬
‫‪Row 2‬‬ ‫‪WB WA COV B,A‬‬ ‫‪W B sA‬‬
‫‪11‬‬
‫ﻗﯾﺎس اﻻﻧﺣراف اﻟﻣﻌﯾﺎري ﻟﻠﻣﺣﻔظﺔ‬
‫‪Col 1‬‬ ‫‪Col 2‬‬
‫)‪Row 1 (0.4)(0.4)(0.0182‬‬ ‫)‪(0.4)(0.6)(0.0107‬‬
‫)‪Row 2 (0.6)(0.4)(0.0107‬‬ ‫)‪(0.6)(0.6)(0.0113‬‬
‫‪12‬‬
‫ﻗﯾﺎس اﻻﻧﺣراف اﻟﻣﻌﯾﺎري ﻟﻠﻣﺣﻔظﺔ‬

‫‪Col 1‬‬ ‫‪Col 2‬‬
‫‪Row 1‬‬ ‫)‪(0.0029‬‬ ‫)‪(0.0025‬‬
‫‪Row 2‬‬ ‫)‪(0.0025‬‬ ‫)‪(0.0041‬‬
‫‪13‬‬
‫ﻗﯾﺎس ﻟﻼﻧﺣراف اﻟﻣﻌﯾﺎري ﻟﻠﻣﺣﻔظﺔ‬
sP =
2 2 2 2
WBW sBW + WD sD + 2WWB WD sWB sD r WB D
sP = 0.0028 + 0.0041 + (2)(0.0025)
sP = 0.1091 or 10.91%
‫ﻣﻠﺧص ﺣﺳﺎب ﻋﺎﺋد وﻣﺧﺎطر اﻟﻣﺣﻔظﺔ‬
‫ﻣﺣﻔظﺔ‬ ‫‪D‬‬ ‫‪BW‬‬
‫‪8.4%‬‬ ‫‪8%‬‬ ‫‪9%‬‬ ‫ﻋﺎﺋد‬
‫‪10.91%‬‬ ‫‪10.65%‬‬ ‫‪13.5%‬‬ ‫اﻧﺣراف ﻣﻌﯾﺎري‬
‫ﻣﻌﺎﻣل اﻟﺗﺑﺎﯾن‬
‫‪1.29‬‬ ‫‪1.33‬‬ ‫‪1.5‬‬ ‫‪Coefficient‬‬
‫‪Variation‬‬
‫‪15‬‬
IMPORTANT NOTES
1. Coefficient of correlation = 0 , indicates no relation.

2. Coefficient of correlation = + 1 , indicates perfect
correlation in the same direction which in turns
reveals that the two assets are highly and strongly
related and hence this portfolio is not well-diversified.
3. Coefficient of correlation = - 1 , indicates perfectly
correlated assets but in the opposite direction which
in turns reveals that the investor might expose to less
risk if the portfolio is diversified between these two
assets.
IMPORTANT NOTES
4. The more accurate measure for risk is CV, it is

normally used to compare risk level either between
two assets or two portfolios.
5. Results of CV not always coincide with results of
Standard deviation.
6. In real life, Even the individual asset has lower CV
compared to the whole portfolio, it is more preferred
to invest in a portfolio to benefit from diversification
especially if the assets are not positively correlated.
END OF LECTURE J

Chapter Risk - Return - Part 2 - Spring 2024

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Chapter Risk - Return - Part 2 - Spring 2024

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‫اﻟﻔﺻل اﻟﺧﺎﻣس‪ -‬اﻟﺟزء‬

‫ورﻗﺔ ﻣﺎﻟﯾﺔ ب‬ ‫ورﻗﺔ ﻣﺎﻟﯾﺔ أ‬

‫‪%12.75‬‬ ‫اﻟﻌﺎﺋﺪ اﻟﻤﺘﻮﻗﻊ ﻟﻠﻤﺤﻔﻈﺔ‪:‬‬

‫ﻣﻌﺎﻣﻞ اﻻرﺗﺒﺎط‬ ‫اﻟﺘﻐﺎﯾﺮ ‪COV‬‬

‫وزن ﻷﺻل ‪ J‬ﻓﻲ اﻟﻣﺣﻔظﺔ‪ ).‬ﻧﺳﺑﺔ اﻻﺳﺗﺛﻣﺎرات(‬ ‫‪Wj‬‬

‫وزن ﻷﺻل ‪ K‬ﻓﻲ اﻟﻣﺣﻔظﺔ‪.‬‬ ‫‪Wk‬‬

‫اﻟﺗﻐﺎﯾر ﺑﯾن ﻋواﺋد اﻻﺳﺗﺛﻣﺎرﯾن ‪ k‬و ‪ J‬ﻓﻲ اﻟﻣﺣﻔظﺔ‪.‬‬ ‫‪COV jk‬‬

‫اﻧﺣراف ﻣﻌﯾﺎري ﻻﺳﺗﺛﻣﺎر ‪ J‬ﻓﻲ اﻟﻣﺣﻔظﺔ‬ ‫‪sj‬‬

‫§ ﻣﻊ وﺟود اﺳﺗﺛﻣﺎرﯾن ﻓﻲ اﻟﻣﺣﻔظﺔ‬

‫‪ v‬ﻟو ﻟدﯾك اﺳﺗﺛﻣﺎرﯾن ﻓﻲ اﻟﻣﺣﻔظﺔ ﺑﯾﺎﻧﺎﺗﮭم ﻛﺎﻟﺗﺎﻟﻲ ‪ ،‬اﻟﻣطﻠوب‬

‫اﺳﺗﺛﻣﺎر ‪B‬‬ ‫اﺳﺗﺛﻣﺎر‪A‬‬

‫‪8%‬‬ ‫‪9%‬‬ ‫‪R‬‬

RP = (0.036) + (0.048) = 0.084=8.4%

‫ﻣﺻﻔوﻓﺔ اﻟﺗﺑﺎﯾن واﻟﺗﻐﺎﯾر ﻟﻼﺳﺗﺛﻣﺎرﯾن‬

‫‪Col 1‬‬ ‫‪Col 2‬‬

‫ﻣﺻﻔوﻓﺔ اﻟﺗﺑﺎﯾن واﻟﺗﻐﺎﯾر ﻟﻼﺳﺗﺛﻣﺎرﯾن‬

‫‪Col 1‬‬ ‫‪Col 2‬‬

‫)‪Row 1 (0.4)(0.4)(0.0182‬‬ ‫)‪(0.4)(0.6)(0.0107‬‬

‫)‪Row 2 (0.6)(0.4)(0.0107‬‬ ‫)‪(0.6)(0.6)(0.0113‬‬

‫ﻣﺻﻔوﻓﺔ اﻟﺗﺑﺎﯾن واﻟﺗﻐﺎﯾر ﻟﻼﺳﺗﺛﻣﺎرﯾن‬

‫‪Row 1‬‬ ‫)‪(0.0029‬‬ ‫)‪(0.0025‬‬

‫‪Row 2‬‬ ‫)‪(0.0025‬‬ ‫)‪(0.0041‬‬

sP = 0.0028 + 0.0041 + (2)(0.0025)

‫‪8.4%‬‬ ‫‪8%‬‬ ‫‪9%‬‬ ‫ﻋﺎﺋد‬

‫‪10.91%‬‬ ‫‪10.65%‬‬ ‫‪13.5%‬‬ ‫اﻧﺣراف ﻣﻌﯾﺎري‬

1. Coefficient of correlation = 0 , indicates no relation.

4. The more accurate measure for risk is CV, it is

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