1. Kunzwisisa Sharpe Ratio
Munyika forex, crypto, uye CFD kutengesa, ivo Sharpe Ratio chishandiso chakakosha icho traders kushandisa kuongorora kudzoka kweinvestment ichienzaniswa neyayo ngozi. Yakatumidzwa zita remubairo weNobel William F. Sharpe, inonyanya kuyera kuita kwekudyara kunopesana nehuwandu husina njodzi, mushure mekugadzirisa njodzi yayo.
Iyo formula yekuverenga iyo Sharpe Ratio iri nyore:
- Bvisa mwero wepasina njodzi kubva pamari yekudzoka.
- Zvadaro patsanura chigumisiro nekutsauka kwemaitiro ekudzokera.
Iyo yakakwira Sharpe Ratio inoratidza kudyara kwakanyanya, kupa kudzoka kwakakwira kune yakapihwa nhanho yenjodzi. Sezvineiwo, reshiyo yakaderera inoratidza mari shoma, ine kudzoka kwakaderera kune imwechete yengozi.
Nekudaro, zvakakosha kuti unzwisise kuti iyo Sharpe Ratio chiyero chehukama. Inofanira kushandiswa enzanisa mari yakafanana kana zvokutengeserana nzira, pane kuzviparadzanisa nevamwe.
Uyezve, nepo Sharpe Ratio iri chishandiso chine simba, haina miganhu yayo. Kune imwe, inotora kuti kudzoka kunowanzo kugoverwa, izvo zvingave zvisiri izvo nguva dzose. Izvo zvakare hazviverengere mhedzisiro yekusanganisa.
Naizvozvo, nepo Sharpe Ratio ichigona kupa ruzivo rwakakosha, inofanirwa kushandiswa pamwe chete nemamwe ma metrics uye maturusi kugadzira mufananidzo wakakwana wekuita kwekudyara.
1.1. Tsanangudzo yeSharpe Ratio
Munyika ine simba re forexcrypto, uye CFD kutengesa, njodzi uye kudzoka mativi maviri emari imwe chete. Traders vanogara vachitsvaga maturusi anogona kuvabatsira kuyera uye kubata izvi zvakakosha zvinhu. Chimwe chishandiso chakadaro ndicho Sharpe Ratio, chiyero chinobatsira traders kunzwisisa kudzoka kwekudyara zvichienzaniswa nenjodzi yayo.
Yakatumidzwa zita remubairo weNobel William F. Sharpe, Sharpe Ratio inzira yekuongorora kushanda kwekudyara nekugadzirisa njodzi yayo. Iavhareji yekudzoka inowanwa inodarika mwero wepasina njodzi payuniti ye kukanganisa kana ngozi zvachose. Mutengo wepasina njodzi unogona kunge uri kudzoka pachisungo chehurumende kana treasury bill, iyo inoonekwa seisina njodzi.
Iyo Sharpe Ratio inogona kutsanangurwa masvomhu se:
- (Rx – Rf) / StdDev Rx
Where:
- Rx muyero weavhareji wekudzoka we x
- Rf ndiyo chiyero chisina njodzi
- StdDev Rx ndiyo yakajairwa kutsauka kweRx (iyo portfolio kudzoka)
Iyo yakakwirira iyo Sharpe Ratio, zviri nani kudzoka kwekudyara kunoenderana nehuwandu hwengozi inotorwa. Muchidimbu, chiyero ichi chinobvumira traders yekuongorora mubairo unogona kubva mukudyara, uchifunga nezve njodzi inosanganisirwa. Izvi zvinoita kuti ive chishandiso chakakosha mune arsenal chero ipi zvayo trader, kana vari kubata nazvo forex, crypto, kana CFDs.
Nekudaro, zvakakosha kuti uzive kuti iyo Sharpe Ratio chishandiso chekudzosera kumashure; zvinobva panhoroondo dzekare uye haafemberi kuita ramangwana. Inotarisisa zvakare kunguva yenguva inoshandiswa pakuverenga. Naizvozvo, kunyangwe chiri chishandiso chinoshanda chekuenzanisa mainvestries, chinofanira kushandiswa pamwe chete nemamwe ma metrics nemaitiro ekuona kwakadzama kwenzvimbo yekudyara.
1.2. Kukosha kweSharpe Ratio muKutengesera
The Sharpe Ratio, yakatumidzwa zita reNobel Laureate William F. Sharpe, inoshanda sechinhu chakakosha chekushandisa traders mu forexcrypto, uye CFD markets. Kukosha kwaro hakugoni kuwedzeredzwa. Icho chiyero chengozi-yakagadziriswa kushanda, kubvumira traders kuti unzwisise kudzoka kwekudyara zvichienzaniswa nenjodzi yayo.
Asi nei Sharpe Ratio yakakosha zvakadaro?
Runako rweSharpe Ratio rwuri mukukwanisa kwayo kuyera kushata uye mukana wemubairo wekudyara. Traders, vangave vatsva kana nyanzvi dzine ruzivo, vanogara vachitsvaga nzira dzinopa kudzoka kwepamusoro kunobvira nehuwandu hushoma hwengozi. Iyo Sharpe Ratio inopa nzira yekuziva nzira dzakadaro.
- Kuenzanisa kwe Investments: Iyo Sharpe Ratio inobvumira traders kuenzanisa iyo njodzi-yakagadziridzwa kuita kweakasiyana nzira dzekutengesa kana mari. Iyo yakakwira Sharpe Ratio inoratidza kudzoka kwakagadziridzwa njodzi.
- Risk Management: Kunzwisisa Sharpe Ratio kunogona kubatsira traders kutonga njodzi zvakanyanya. Nekuziva ratio, traders vanogona kugadzirisa maitiro avo kuti vawane chiyero chakakwana pakati penjodzi nekudzoka.
- Kuyera Kwekuita: Iyo Sharpe Ratio haingori pfungwa yedzidziso; chinhu chinoshanda icho traders vanoshandisa kuyera kuita kwemaitiro avo ekutengesa. Zano rine yakakwira Sharpe Ratio yakambopa kudzoka kwakawanda kune imwechete yengozi.
Zvine hutsinye, iyo Sharpe Ratio haisi yega yega chishandiso. Inofanirwa kushandiswa pamwe chete nemamwe ma metrics uye zviratidzo kuita zvine ruzivo rwekutengesa sarudzo. Kunyange ichipa ruzivo rwakakosha munjodzi uye kudzoka kwehurongwa, haiverengeri mukana wekurasikirwa kwakanyanya kana mamiriro chaiwo emusika. Naizvozvo, traders haifanire kuvimba chete neSharpe Ratio, asi kuti ishandise sechikamu chenzira yakazara yekutarisira njodzi.
1.3. Kuganhurirwa kweSharpe Ratio
Nepo iyo Sharpe Ratio iri zvechokwadi chishandiso chine simba mune arsenal yechero savvy forex, crypto kana CFD trader, haisi pasina miganhu yayo. Izvo zvakakosha kuti unzwisise zvipingaidzo izvi kuti uve nechokwadi chekuti uri kuita sarudzo dzine ruzivo zvichienderana nekududzirwa kwakaringana kwekudyara kwako.
Chekutanga, iyo Sharpe Ratio inofunga kuti kudzoka kwekudyara kunowanzo kugoverwa. Nekudaro, iyo nyika yekutengeserana, kunyanya mumisika isina kugadzikana senge crypto, inowanzo sangana yakakosha skewness uye kurtosis. Mukutaura kwevaraidzo, izvi zvinoreva kuti kudzoka kunogona kuve neakanyanya kukosha kune rimwe divi reavhareji, kugadzira kugovera kwakadzikira uko iyo Sharpe Ratio haina-yakashongedzerwa kubata.
- Skewness: Ichi ndicho chiyero cheasymmetry yekugoneka kugoverwa kweiyo chaiyo-yakakosha isingarondedzereki inosiyana maererano nezvayo. Kana kudzoka kwako kwakatsveyamiswa, kunoratidza kudzoka kwakanyanyisa kwakashata; uye kana zvakatsveyamiswa, zvakanyanyisa zvinodzoka zvakanaka.
- Kurtosis: Izvi zvinoyera "tailedness" yekugona kugoverwa kweiyo chaiyo-valued random variable. Yepamusoro kurtosis inoratidza mukana wepamusoro wemigumisiro yakanyanyisa, ingave yakanaka kana yakaipa.
Kechipiri, iyo Sharpe Ratio chiyero chekudzoka. Iyo inoverengera kuita kwekare kwekudyara, asi haigone kufanotaura ramangwana rekuita. Iyi miganhu inonyanya kukosha munyika inomhanya-mhanya, inokurumidza kubuda yecrypto yekutengesa, uko kuita kwekare kazhinji kusingaratidzi mhedzisiro yeramangwana.
Pakupedzisira, Sharpe Ratio inongotarisa ngozi yose yepodfolio, kukundikana kusiyanisa pakati pengozi yakarongeka (ngozi isina-diversifiable) uye njodzi isina kugadzikana (ngozi yakasiyana-siyana). Izvi zvinogona kutungamira kune kuwandisa kwekuita kwema portfolio ane yakakwira unsystematic njodzi, iyo inogona kudzikiswa kuburikidza. diversification.
Nepo izvi zvipimo zvisingaregi kubatsira kweSharpe Ratio, zvinoshanda sechiyeuchidzo chekuti hapana metric imwe chete inofanirwa kushandiswa yakazvimiririra. Ongororo yakazara yekushanda kwako kwekutengesa kunofanirwa kugara ichibatanidza huwandu hwezvishandiso uye zviratidzo, imwe neimwe iine simba rayo uye kushaya simba.
2. Kuverenga kweSharpe Ratio
Kupinda munyika yemametric emari, iyo Sharpe Ratio chishandiso chakakosha che traders kuti uone kudzoka kwekudyara zvichienzaniswa nenjodzi yayo. Iyo formula yekuverenga iyo Sharpe Ratio iri nyore: ndiwo mutsauko pakati pezvidzoreso zvekudyara uye chiyero-chisina njodzi, chakakamurwa nekutsauka kwakajairwa kwekudzoka kwekudyara.
Sharpe Ratio = (Kudzoka kwekudyara - Risk-isina mwero) / Yakajairwa kutsauka kwekudzoka kwekudyara
Ngatizviparadze. The 'Kudzoka kwekudyara' ndiko kuwana kana kurasikirwa kunoitwa kubva mukudyara, kazhinji kunoratidzwa sechikamu. The 'Risk-free rate' ndiko kudzoka kwemari isina njodzi, sechisungo chehurumende. Musiyano uripo pakati pezviviri izvi unotipa kudzoka kwakawandisa pamusoro peyero isina njodzi.
Denominator yeformula, 'Kutsauswa kwakajairika kwekudzoka kwekudyara', inoyera kusagadzikana kwekudyara, iyo inoshandiswa semumiriri wenjodzi. Kutsauswa kwepamusoro-soro kunoreva kuti madzosero ane kupararira kwakapararira kwakatenderedza chirevo, zvichiratidza mwero wepamusoro wengozi.
Heino muenzaniso wakapfava. Ngatitii une investimendi ine kudzoka kwegore negore kwe15%, chiyero chisina njodzi che2%, uye kutsauka kwakajairwa kwekudzoka pa10%.
Sharpe Ratio = (15% - 2%) / 10% = 1.3
A Sharpe Ratio ye1.3 inoratidza kuti kune yega yega yengozi inotorwa, mutyairi anotarisirwa kuwana 1.3 mayunitsi ekudzoka pamusoro peyero isina njodzi.
Izvo zvakakosha kuti uzive kuti iyo Sharpe Ratio chiyero chekuenzanisa. Zviri nani kushandiswa kuenzanisa njodzi-yakagadziriswa kudzoka kwekudyara kwakasiyana kana nzira dzekutengesa. Iyo yakakwira Sharpe Ratio inoratidza kudzoka kwakagadziridzwa njodzi.
2.1. Kuziva Zvinodiwa Zvikamu
Tisati tanyura mumusoro munyika yeSharpe Ratio kuverenga, zvakakosha kuti tinzwisise zvakakosha zvinodikanwa pabasa riripo. Izvi zvikamu ndiwo musana wekuverenga kwako, magiya anoita kuti muchina ufambe zvakanaka.
Chikamu chekutanga ndeche inotarisirwa kudzoka portfolio. Uyu ndiwo chiyero chinotarisirwa chekudzoka pane yako yekudyara portfolio pane imwe nguva yakatarwa. Zvakakosha kuziva kuti uku kufanotaura, kwete vimbiso. Kudzoka kunotarisirwa kunogona kuverengerwa nekuwanza zvingangoitika nemukana wekuti zviitike, wobva wawedzera izvi pamwe chete.
Inotevera kumusoro ndeye chiyero chisina njodzi. Munyika yezvemari, uku ndiko kudzoka kwekudyara izvo zvisina njodzi. Kazhinji, izvi zvinomiririrwa negoho pamwedzi mitatu yeUS Treasury bill. Inoshandiswa sechiyero muSharpe Ratio calculation kuyera yakawandisa kudzoka, kana njodzi premium, yekutora imwe njodzi.
Chekupedzisira asi chisiri chidiki ndicho portfolio standard deviation. Ichi chiyero chehuwandu hwekusiyana kana kupararira kweseti yezvikoshi. Muchirevo chemari, inoshandiswa kuyera kushata kweiyo investment portfolio. Kutsauka kwakaderera kunoratidza potfolio isinganyanyi kushanduka, nepo kutsauswa kwepamusoro kunoratidza kushanduka kwepamusoro.
Muchidimbu, zvikamu zvitatu izvi ndiwo mbiru painomira Sharpe Ratio. Imwe neimwe inobata basa rakakosha mukuverenga, ichipa nzwisiso yakakosha munjodzi uye kudzorera maitiro eiyo investment portfolio. Nezvikamu izvi zviri muruoko, uri munzira yekugona hunyanzvi hwekuverenga nekududzira iyo Sharpe Ratio.
- Inotarisirwa kudzoka
- Risk-isina mwero
- Portfolio standard kutsauka
2.2. Nhanho-ne-Nhanho Yekuverenga Maitiro
Kunyura mukati memaitiro ekuverenga, chinhu chekutanga chaunofanira kuziva ndechekuti Sharpe Ratio chiyero chekudzoka kwakagadziriswa njodzi. Inzira yekuti traders kuti vanzwisise kuti imarii yakawedzerwa yekudzoka yavari kugamuchira yekuwedzera kusimba kwavari kutsungirira kubata chinhu cheriskier. Zvino, ngatitsemure nzira yacho kuita matanho anogoneka.
Danho 1: Verenga iyo Asset Yakawandisa Kudzoka
Kuti utange, unozofanira kuverenga zvakawandisa kudzoka kweasset. Izvi zvinoitwa nekubvisa chiyero chisina njodzi kubva paavhareji yekudzoka kweasset. Mari isina njodzi inowanzomiririrwa nemwedzi mitatu yehomwe yemari kana chero imwe mari inoonekwa se'isina njodzi'. Heino formula:
- Yakawandisa Kudzoka = Avhareji Kudzoka kweAsset - Njodzi-Yemahara Rate
Danho rechipiri: Verenga Kutsauswa Kwemaitiro eKudzoka kweAsset
Tevere, iwe unozoverenga kutsauswa kwakajairwa kwezvidzoreso zveasset. Izvi zvinomiririra kusagadzikana kana njodzi inoenderana nekudyara. Iyo yakakura iyo mwero kutsauka, iyo yakakura njodzi yekudyara.
Nhanho 3: Verenga iyo Sharpe Ratio
Pakupedzisira, iwe unogona kuverenga iyo Sharpe Ratio. Izvi zvinoitwa nekugovanisa kudzoka kwakawandisa neyakajairwa kutsauka. Heino formula:
- Sharpe Ratio = Kuwedzera Kudzoka / Kutsauka Kwemaitiro
Nhamba inoguma inomiririra kudzoka kwakagadziridzwa njodzi yekudyara. Iyo yakakwira Sharpe Ratio inoratidza inodiwa mari yakawanda, sezvo zvichireva kuti uri kuwana kudzoka kwakawanda kune yega yega chikamu chenjodzi inotorwa. Sezvineiwo, reshiyo yakaderera inogona kuratidza kuti njodzi inosanganisirwa nekudyara inogona kunge isingakodzeri nezvinozodzoka.
Rangarira, nepo Sharpe Ratio iri chishandiso chinobatsira, haifanirwe kunge iri iyo yega inogadzirisa yako yekudyara sarudzo. Zvinogara zvakakosha kufunga zvimwe zvinhu uye metrics, uye kunzwisisa zvizere mamiriro ekudyara.
3. Kududzira Iyo Sharpe Ratio
Iyo Sharpe Ratio chishandiso chakakosha kune forexcrypto, uye CFD traders. Icho chiyero chenjodzi-yakagadziriswa kudzoka, kubvumira traders kuti unzwisise kudzoka kwekudyara zvichienzaniswa nenjodzi yayo. Asi unozvidudzira sei?
A positive Sharpe Ratio inoratidza kuti mari iyi yakagara yakapa kudzoka kwakanaka kwehuwandu hwenjodzi yakatorwa. Iyo yakakwirira iyo Sharpe Ratio, zviri nani iyo yekudyara nhoroondo yenjodzi-yakagadziridzwa kuita kwave. Kana iyo Sharpe Ratio isina kunaka, zvinoreva kuti chiyero chisina njodzi chakakura pane kudzoka kwepodfolio, kana kudzoka kwepodfolio kunotarisirwa kuve kwakashata.
Muchiitiko ichi, mutengi-anovenga investor angave nani pakuisa mari mukuchengetedza-isina kuchengetedzwa. Uyezve, kana tichienzanisa Sharpe Ratios, iva nechokwadi chokuti uri kuenzanisa mari yakafanana. Kuenzanisa Sharpe Ratio ye forex nzira yekutengesa neicho cheiyo crypto yekutengesa nzira inogona kutungamirira kune zvinotsausa mhedziso, sezvo njodzi uye kudzoka maitiro emisika iyi inogona kusiyana zvakanyanya.
3.1. Kunzwisisa iyo Sharpe Ratio Scale
Kunyura mukati memoyo wemusoro wenyaya, iyo Sharpe Ratio Scale chishandiso chakakosha kune chero trader kutarisa kuti vawedzere kudzoka kwavo. Ichi chikero, chakatumidzwa zita reNobel Laureate William F. Sharpe, chiyero chinoshandiswa kunzwisisa kudzoka kwemari kana ichienzaniswa nenjodzi yayo.
Iyo yakakosha yeSharpe Ratio ndeyekuti inoverengera kudzoserwa kungave kutariswa nemutyairi kune imwezve kusimba kwakatsungirirwa kana akabata riskier asset. Iyo yakakwira Sharpe Ratio inoratidza kudzoka kwakagadziridzwa njodzi.
Heano mamwe mabhenji mabhenji:
- A Sharpe Ratio ye1 kana zvakawanda zvinofungwa kugona, zvichiratidza kuti kudzoka kunodarika njodzi.
- A Sharpe Ratio ye2 is kugona chose, zvichiratidza kuti zvinodzoka zvakapetwa kaviri njodzi.
- A Sharpe Ratio ye3 kana kupfuura ndizvo chakanakisisa, zvichiratidza kuti vanodzoka ndivo katatu ngozi.
Izwi renyevero zvakadaro - yakakwira Sharpe Ratio haireve kudzoka kwakakwira. Zvinongoratidza kuti kudzoka kunowedzera kuenderana uye kushoma kuderera. Nekudaro, iyo yakaderera-ine njodzi yekudyara neinodzoreredza inodzoka inogona kuve yakakwira Sharpe Ratio pane yakanyanya-njodzi yekudyara nekudzoka kwakashata.
Rangarira, kiyi yekubudirira kutengeserana haingori yekudzingirira kudzoka kwakakwirira, asi kunzwisisa uye kugadzirisa njodzi dziripo. Iyo Sharpe Ratio Scale ndechimwe chishandiso chinobatsira traders kuwana chiyero ichi.
3.2. Kuenzanisa Sharpe Ratios yeAkasiyana Portfolios
Kana zvasvika pakuenzanisa iyo Sharpe Ratios yemapotifolio akasiyana, zvakakosha kuti unzwisise kuti yakakwira Sharpe Ratio inoratidza kudzoka kunokwezva kwakagadziridzwa njodzi. Izvi zvinoreva kuti kune yega yega yengozi inotorwa, iyo portfolio iri kuunza yakawanda kudzoka.
Nekudaro, zvakakosha kuti uzive kuti iyo Sharpe Ratio haifanirwe kunge iri iyo chete chiratidzo chinoshandiswa kana uchienzanisa portfolio. Zvimwe zvikonzero, zvakadai sehuwandu hwehuwandu hwehuwandu hwehuwandu hwehuwandu hwehuwandu hwehuwandu hwehuwandu hwehuwandu hwehuwandu hwehuwandu hwehuwandu hwehuwandu hwehuwandu hwehuwandu hwehuwandu hwemari, nzira yekudyara, uye kushivirira kwengozi yemunhu wega wega, inofanirawo kutariswa.
Ngatimbofungidzirai tine mapotfolio maviri: Portfolio A ine Sharpe Ratio ye1.5 uye Portfolio B ine Sharpe Ratio ye1.2. Pakutanga kuona, zvingaite sekuti Portfolio A ndiyo sarudzo iri nani sezvo iine yakakwira Sharpe Ratio. Nekudaro, kana Portfolio A yakadyarwa zvakanyanya muzvinhu zvinoshanduka senge cryptocurrencies kana yakanyanya njodzi. mumatanda, inogona kunge isiri iyo yakanakisa sarudzo kune ane njodzi-averse investor.
Yeuka, iyo Sharpe Ratio chiyero chekudzoka kwakagadziridzwa njodzi, kwete kudzoka kwakakwana. Iyo portfolio ine yakakwira Sharpe Ratio haifanire kuunza iyo yakanyanya kudzoka - ichaunza iyo yakanyanya kudzoserwa padanho renjodzi inotorwa.
Kana uchienzanisa portfolios, zvakakoshawo kutarisa iyo Sortino Ratio, iyo inogadzirisa njodzi yekuderera, kana njodzi yekudzoka kwakashata. Izvi zvinogona kupa maonero akajeka eiyo portfolio yenjodzi profiles, kunyanya kune portfolio ine asymmetric kudzoka kugovera.
- Portfolio A: Sharpe Ratio 1.5, Sortino Ratio 2.0
- Portfolio B: Sharpe Ratio 1.2, Sortino Ratio 1.8
Muchiitiko ichi, Portfolio A ichiri kuratidzika seyo sarudzo iri nani, sezvo iine ese ari maviri epamusoro Sharpe uye Sortino Ratio. Nekudaro, sarudzo inozopedzisira yatsamira pane wega wega njodzi yekushivirira uye zvinangwa zvekudyara.
