Sharpe ratio

Iyo Sharpe Ratio yakagadzirwa naWilliam Sharpe

Ratio inoshandiswa zvakanyanya munyika yezvemari, kunyanya kuongorora nekuenzanisa mamiriro ehupfumi emakambani akasiyana-siyana. Asi kune zvakare mareshiyo anotibatsira kuongorora mari, zvakadai seSharpe Ratio, iyo yatichataura nezvayo muchinyorwa chino.

Ireshiyo iyoyo Zvichatibatsira zvakanyanya kana tichida kuenzanisa mari dzakasiyana dzekudyara. Tichatsanangura kuti Sharpe Ratio chii, maitiro ayo uye sei kududzira mhedzisiro. Ndinovimba unozviwana zvichibatsira uye zvinonakidza.

Chii chinonzi Sharpe Ratio?

Chinangwa cheSharpe Ratio ndechekuyera hukama pakati pekudzoka uye kusagadzikana kwenhoroondo kwehomwe yekudyara

Sezvaunonyatsoziva, Ratio zviratidzo zvemamiriro ehupfumi hwekambani. Kutenda kwavari isu tinokwanisa kuita ongororo yakazara pamakambani nekutanga hukama pakati pezvikamu zvakasiyana zvemari. Mhedzisiro yakawanikwa kuburikidza nekuverenga kwavo ndiyo mamiriro emari kana chiyero chehupfumi chekambani iri mubvunzo, chero isu tichidudzira nemazvo mhedzisiro.

Nekuenzanisa zviyero zvakasiyana pane imwe nguva yakatarwa, tinogona kuziva zvakawanda nezve manejimendi ekambani, ingave yakakwana kana kwete. Nenzira iyi zvichava nyore kwatiri kuchinjika kune zvinobvira kuchinja mune ramangwana uye kuvapindura nemhinduro dzinoshanda.

Kana iri Sharpe Ratio, yakagadziridzwa nenyanzvi yezvehupfumi yekuAmerica, William Sharpe, akapihwa mubairo weNobel. Chinangwa chereshiyo iyi kuyerwa nenhamba hukama huri pakati pekudzoka uye kusashanduka kwenhoroondo ye investment fund. Kuti tiite izvi, isu tinongofanira kupatsanura purofiti yehomwe inotifarira, tichibvisa mubereko pasina njodzi, pakati pekutsauka kwakajairwa kana kushanduka kweiyo purofiti panguva imwe chete yenguva. Iyo formula ingave iyi:

Sharpe ratio = Fund kudzoka - njodzi-isina mubereko (mabhiri emwedzi mitatu) / Historical volatility (yakajairwa kutsauka kwekudzoka)

Ko reshiyo yeSharpe inodudzirwa sei?

Iyo Sharpe Ratio chiyero chekuenzanisa maviri kana anopfuura mari kune mumwe nemumwe

Iye zvino zvatinoziva kuti Sharpe Ratio chii uye kuti tingaiverenga sei, zvakakosha kuti tizive kududzira mhedzisiro. Zvakanaka, iyo yakakwira iyo Sharpe Ratio, zviri nani purofiti yehomwe iri mubvunzo. Hongu zvirokwazvo, maererano nehuwandu hwengozi inobatanidzwa mukutsvaga.

Kuwanda kwekusagadzikana kuripo, kunowedzera njodzi. Izvi zvinodaro nekuti mukana wekuti homwe yatiri kuverenga ichave nechakaipa kudzoka inogara yakakura zvakanyanya kushanduka kuripo mukudzoka kwayo. Nekudaro, kana kushata kwakakwira, kudzoka kwakanaka kwakanyanya kunowanzoitika.

Nokuda kwechikonzero ichi, Sharpe Ratio yakaderera uye denominator ye equation yakakwirira kana homwe yacho iine simba guru. Mune mamwe mazwi: Kana homwe yeNAV yave ichifamba pakati pe80 ne120 kwegore rose, kusagadzikana kwayo kwezvakaitika kare kwakakwirira kudarika kwehomwe iyo NAV yave ichifamba pakati pe95 ne105 kwegore iroro. Vazhinji vemarivhari havasi kungotsvaga mari idzo dzakashuma kudzoka kwepamusoro munhoroondo, asi panzvimbo tsvaga mari dzakashandukawo nguva nenguva, pasina kusangana nekukwira nekudzika kukuru. Kuti tinzwisise Sharpe Ratio zvishoma zviri nani, isu tichapa muenzaniso pazasi.

Muenzaniso

Ngatitii kune maviri equity mutual funds anoita mari yavo mumusika mumwe chete. Isu tinoyera sei yako Sharpe Ratio? Tiri kuzoiverenga mukati megore rimwe chete, tinotanga ne mari A:

  • Kubhadhara pa1 gore: 18%
  • Volatility pa1 gore: 15%
  • 3-mwedzi mabhiri: 5%
  • Zvishoma zvegore: -5%
  • Kukwirira kwegore: + 22%
  • Sharpe ratio = (18-5) / 15 = 0,86

Pane kudaro, zvikamu zve kumashure B zvinotevera:

  • Kubhadhara pa1 gore: 25%
  • Volatility pa1 gore: 24%
  • 3-mwedzi mabhiri: 5%
  • Zvishoma zvegore: -15%
  • Kukwirira kwegore: + 32%
  • Sharpe ratio = (25-5) / 24 = 0,83

Kunyangwe kudzoka kwehomwe A kwakaderera pane homwe B, chiyero chayo cheSharpe chakakwira. Izvi zvinodaro nekuti kusamira zvakanaka kwehomwe iyi kwadzikira. Nemamwe mashoko: Fund A yakawedzera zvishoma pane homwe B, iyo yakave neinokwira nekudzika yakawanda kupfuura yekutanga. Kunyange zvazvo pakupedzisira purofiti yehomwe A yave yakaderera, haina kumbobvira yarasikirwa zvakanyanya sehomwe B. Pakuipisisa kwayo, kudzoka kwaiva -5%, asi imwe homwe yakarasikirwa kusvika ku15%.

Ini ndinofungidzira kuti iwe watoona kuti kuverenga iyo Sharpe Ratio yehomwe imwe chete haina basa shoma kwatiri. Zviri nani kutenga mari mbiri kana kupfuura kubva kune mumwe nemumwe, sezvataita mumuenzaniso uyu.

Nepo zvimwe zviratidzo zvinoyera mari nekutsauka kwavo kubva kune yavo index index, inozivikanwa sebhenji, iyo Sharpe Ratio isarudzo huru. kuyera kutsauka kwakajairwa kana kushanduka kwenhoroondo yekudzoka kwemari dzakasiyana-siyana uye kuenzanisa nenzira iyi. Zviri nani kuve wakachengeteka!


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  1. Inotarisira iyo data: Miguel Ángel Gatón
  2. Chinangwa cheiyo data: Kudzora SPAM, manejimendi manejimendi.
  3. Legitimation: Kubvuma kwako
  4. Kutaurirana kwedata
  5. Dhata yekuchengetedza: Dhatabhesi inobatwa neOccentus Networks (EU)
  6. Kodzero: Panguva ipi neipi iwe unogona kudzora, kupora uye kudzima ruzivo rwako