Lakiō ʻoi

Ua hoʻomohala ʻia ka Sharpe Ratio e William Sharpe

Hoʻohana nui ʻia nā ratios i ka honua kālā, ʻoi aku ka loiloi a hoʻohālikelike i ke kūlana waiwai o nā ʻoihana like ʻole. Akā aia kekahi mau ratios e kōkua iā mākou e nānā i ke kālā, e like me ka Sharpe Ratio, a mākou e kamaʻilio ai i kēia ʻatikala.

He ratio ia E kōkua nui ia iā mākou ke makemake mākou e hoʻohālikelike i nā kālā hoʻopukapuka like ʻole. E wehewehe mākou i ke ʻano o ka Sharpe Ratio, he aha kona ʻano a pehea e wehewehe ai i ka hopena. Manaʻo wau e ʻike ʻoe he mea pono a hoihoi.

He aha ka Sharpe Ratio?

ʻO ka pahuhopu o ka Sharpe Ratio ʻo ia ke ana i ka pilina ma waena o ka hoʻihoʻi ʻana a me ka volatility mōʻaukala o kahi waihona kālā

E like me kou ike, ʻO nā ratios nā hōʻailona o ke kūlana waiwai o kahi hui. Mahalo iā lākou hiki iā mākou ke hoʻokō i nā loiloi piha i nā ʻoihana ma ka hoʻokumu ʻana i kahi pilina ma waena o nā ʻāpana kālā like ʻole. ʻO ka hopena i loaʻa ma o kā lākou helu ʻana ʻo ke kūlana kālā a i ʻole ke koena waiwai o ka ʻoihana i nīnau ʻia, ʻoiai mākou e wehewehe pololei i ka hopena.

Ma ka hoʻohālikelike ʻana i nā lakio like ʻole i ka manawa i hāʻawi ʻia, hiki iā mākou ke ʻike hou aku e pili ana i ka hoʻokele ʻana o ka ʻoihana, inā ua lawa a ʻaʻole paha. Ma kēia ʻano e maʻalahi iā mākou ke hoʻololi i nā loli e hiki mai ana a pane aku iā lākou me nā haʻina kūpono.

No ka Sharpe Ratio, ua hoʻomohala ʻia e ka mea hoʻokele waiwai ʻAmelika ʻo William Sharpe, ka mea i loaʻa i ka Nobel Prize. ʻO ka pahuhopu o kēia ratio ʻo ia ke ana helu i ka pilina ma waena o ka loaʻa kālā a me ka volatility mōʻaukala o a waihona kālā kālā. No ka hana ʻana i kēia, pono mākou e puʻunaue i ka loaʻa kālā o ka waihona e makemake ai mākou, e unuhi i ka uku paneʻe me ka ʻole o ka pilikia, ma waena o ka deviation maʻamau a i ʻole volatility o kēlā loaʻa kālā i ka manawa like. Penei ke kumu:

Lakiō Sharpe = Hoʻihoʻi kālā – uku pānaʻi pilikia ʻole (ʻekolu mahina) / Moʻolelo volatility (ka hoʻihoʻi maʻamau)

Pehea ka wehewehe ʻana i ka ratio Sharpe?

ʻO ka Sharpe Ratio kahi ana e hoʻohālikelike ai i ʻelua a ʻoi aku paha kālā i kekahi i kekahi

I kēia manawa ua ʻike mākou i ke ʻano o ka Sharpe Ratio a pehea e helu ai, pono mākou e ʻike pehea e wehewehe ai i ka hopena. ʻAe, ʻoi aku ka kiʻekiʻe o ka Sharpe Ratio, ʻoi aku ka maikaʻi o ka loaʻa kālā o ka waihona i nīnau ʻia. ʻAe ʻoiaʻiʻo, e pili ana i ka nui o ka pilikia i loko o ka hoʻokomo kālā.

ʻOi aku ka nui o ka volatility, ʻoi aku ka kiʻekiʻe o ka pilikia. ʻO kēia no ka mea ʻoi aku ka nui o ka loaʻa ʻana o ka waihona kālā a mākou e helu nei i nā hoʻihoʻi maikaʻi ʻole. Eia naʻe, ke kiʻekiʻe ka volatility, ʻoi aku ka maikaʻi o nā hoʻihoʻi maikaʻi.

No kēia kumu, ʻoi aku ka haʻahaʻa o ka Sharpe Ratio a ʻoi aku ka kiʻekiʻe o ka denominator o ka hoʻohālikelike inā loaʻa ka volatility kiʻekiʻe o ka waihona. Ma nā huaʻōlelo ʻē aʻe: Inā e lele ana ka NAV o kahi waihona ma waena o 80 a me 120 no ka makahiki holoʻokoʻa, ʻoi aku ka kiʻekiʻe o ka mōʻaukala ma mua o kahi waihona nona ka NAV e lele ana ma waena o 95 a me 105 no kēlā makahiki. ʻAʻole ʻimi ka hapa nui o nā mea kālā i nā kālā i hōʻike i nā hoʻihoʻi kiʻekiʻe ma ka mōʻaukala, akā e ʻimi i nā kālā i ulu mau i ka wā, me ka ʻike ʻole i nā piʻi nui a me nā haʻahaʻa. No ka hoʻomaopopo maikaʻi ʻana i ka Sharpe Ratio, e hāʻawi mākou i kahi laʻana ma lalo nei.

Pākuʻi

Inā paha he ʻelua kālā like ʻole e hoʻokō i kā lākou hoʻopukapuka ma ka mākeke hoʻokahi. Pehea mākou e ana i kāu Sharpe Ratio? E helu ana mākou i ka manawa o hoʻokahi makahiki, hoʻomaka mākou me ka kālā A:

  • Hua ma 1 makahiki: 18%
  • Volatility ma 1 makahiki: 15%
  • Nā bila 3 mahina: 5%
  • Ka palena iki o ka makahiki: -5%
  • Kiʻekiʻe o ka makahiki: + 22%
  • Lakiō oi = (18-5) / 15 = 0,86

Akā, nā pākēneka o hope B Eia nāʻano penei:

  • Hua ma 1 makahiki: 25%
  • Volatility ma 1 makahiki: 24%
  • Nā bila 3 mahina: 5%
  • Ka palena iki o ka makahiki: -15%
  • Kiʻekiʻe o ka makahiki: + 32%
  • Lakiō oi = (25-5) / 24 = 0,83

ʻOiai ʻoi aku ka haʻahaʻa o ka hoʻihoʻi ʻana o ke kālā A ma mua o ka waihona B, ʻoi aku ka kiʻekiʻe o kāna ratio Sharpe. ʻO kēia no ka mea ua emi ka volatility o kēia waihona. ʻO ia hoʻi: Ua emi iho ka waihona A ma mua o ka waihona B, ʻoi aku ka nui o nā piʻi a me nā haʻahaʻa ma mua o ka mua. ʻOiai i ka hopena, ua emi iho ka loaʻa kālā o ka waihona A, ʻaʻole i nalowale ka nui e like me ke kālā B. ʻO ka mea ʻoi loa, ʻo ka hoʻihoʻi ʻana he -5%, ʻoiai ua nalowale ka waihona kālā a hiki i 15%.

Manaʻo wau ua ʻike mua ʻoe i ka helu ʻana i ka Sharpe Ratio o kahi kālā hoʻokahi he mea liʻiliʻi iā mākou. He mea ia e kuai i elua a oi mau dala mai kekahi i kekahi, e like me kā mākou i hana ai ma kēia laʻana.

ʻOiai ʻo nā hōʻailona ʻē aʻe e ana i nā kālā ma o kā lākou haʻalele ʻana mai kā lākou kuhikuhi kuhikuhi, i ʻike ʻia he benchmark, ʻo ka Sharpe Ratio kahi koho maikaʻi loa. e ana i ka hoʻokaʻawale maʻamau a i ʻole volatility mōʻaukala o ka hoʻihoʻi ʻana o nā kālā like ʻole a hoʻohālikelike iā lākou ma keia ano. ʻOi aku ka maikaʻi o ka palekana!


Hoʻopili ka ʻike o ka ʻatikala i kā mākou kumumanaʻo o ka hoʻoponopono hoʻoponopono. E hōʻike i kahi kaomi hemahema ʻaneʻi.

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  1. He kuleana no ka ʻikepili: Miguel Ángel Gatón
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