TAILIEUCHUNG - Encyclopedic Dictionary of International Finance and Banking Phần 2

Mua bán ngoại tệ mua bán ngoại tệ An là một cá nhân hoặc doanh nghiệp thực hiện chênh lệch tìm kiếm được lợi nhuận phi rủi ro bằng cách tận dụng chênh lệch giá đồng thời tại các thị trường khác nhau. ARITHEMETIC AVERAGE RETURN VS. | 24 ARBITRAGEUR ARBITRAGEUR An arbitrageur is an individual or business that exercises arbitrage seeking to earn risk-free profits by taking advantage of simultaneous price differences in different markets. ARITHEMETIC AVERAGE RETURN VS. COMPOUND GEOMETRIC AVERAGE RETURN It is one thing to calculate the return for a single holding period but another to explain a series of returns over time. If you keep an investment for more than one period you need to understand how to derive the average of the successive rates of return. Two approaches to multiperiod average mean returns are the arithmetic average return and the compound geometric average return. The arithmetic average return is the simple mean of successive one-period rates of return defined as Arithmetic average return 1 n rt where n the number of time periods and r the single holding period return in time t. Caution The arithmetic average return can be misleading in multiperiod return computations. A better accurate measure of the actual return obtained from an investment over multiple periods is the compound geometric average return. The compound return over n periods is derived as follows Compound average return n 1 r 1 1 r2 1 rn - 1 EXAMPLE 16 Assume the price of a stock doubles in one period and depreciates back to the original price. Dividend income current income is nonexistent. t 0 Time periods t 1 t 2 Price end 40 80 40 of period HPR 100 -50 The arithmetic average return is the average of 100 and -50 or 25 as indicated below 100 --50 - 25 2 However the stock bought for 40 and sold for the same price two periods later did not earn 25 it earned zero. This can be illustrated by determining the compound average return. Note that n 2 r1 100 1 and r2 -50 . Then Compound return V 1 1 1 - - 1 d 2 - 1 41 - 1 1 - 1 0 ASIAN DEVELOPMENT BANK 25 EXAMPLE 17 Applying the formula to the data below indicates a compound average of percent somewhat less than the arithmetic average of percent. 1 Time

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