Volatility Lessons
研究发现市场、价值股和小盘股的超额收益虽然长期为正，但高波动性使得在3至5年评估期内出现负收益的概率很大，甚至10至20年也不容忽视。
The average monthly premium of the Market return over the one-month T-bill return is substantial, as are average premiums of value and small stocks over Market. As the return horizon increases, premium distributions become more disperse, but they move to the right (toward higher values) faster than they become more disperse. There is, however, some bad news. Even if future expected premiums match high past averages, high volatility means that for the 3- and 5-year periods commonly used to evaluate asset allocations, the probabilities of negative realized premiums are substantial, and the probabilities are nontrivial for 10- and 20-year periods.