Dzidza kuti ungashandisa sei Sharpe Ratio kuenzanisa zvikwereti
Muchikamu chino, tichaona kuti Sharpe Ratio inobatsira sei vatengi vanofananidza zviwanikwa mumatambudziko ose uye kudzoka.
Dambudziko-Rakadzorerwa Kudzorera 101
Nzira inowanikwa yakawanda yekuyera dambudziko ndeyekushandisa bheei coefficient, iyo inoyera kushambadzira kwebato kana mari yehurumende maererano nechinangwa seS & P 500 index. Kana sengo ine bheta ye1, vatengesi vanogona kutarisira kuti ive 10 muzana yakawanda kupfuura iyo S & P 500 index. Kuwedzera kwe30 muzana yeS & P 500, somuenzaniso, kunokonzera kuti 33 muzana kuwedzerwa mumatengo kana mari pamwe ne 1.1 beta (uye pamwe chete nekuderera) kubvira 30 muzana dzimwe nguva 1.1 yakaenzana ne 33 muzana.
Beta coefficients inogona kushandiswa kuverenga alpha yekutsvaga, iyo inofanirwa kudzokera kune njodzi iyo inokonzera njodzi. Alpha inoratidzirwa nokubvisa kuenzana kwekudzoka kunotarisirwa zvichienderana nebheji yaro yekoji uye mukana wekushaya mungozi nekudzoka kwayo kwose. Nhamba ine nhamba ye1 1.1 beta iyo inowedzera 40 muzana apo S & P 500 inowedzera makumi matatu kubva muzana inogona kubudisa alpha ye5 muzana ichifungidzira risina ngozi-2% (40 muzana - 33 muzana - 2 muzana = 5 muzana) - 5 pamatambudziko-akachinjwa kudzoka.
Zvakakosha kuziva kuti zvikwereti ne beta yakakwirira inofanira kuunza yakakwirira kudzoka kuzoona alpha yakanaka. Semuenzaniso, sengo ine beta ye1 1.1 inofanira kuunza 10 kubva muzana zvakadzoka zvakanyanya kudarika S & P 500 index pamwe nehuwandu husina hutachiwana hwekuita neutral alpha. Saka, nzvimbo dzakachengeteka dzinogona kuita kuti vanhu vakwanise kudzokera kune huwandu hwehutano hwakanaka kunyange kana vakabhadhara kudzoka kwepasi rose sezvo vachiita ngozi shomanana yekurashikirwa kwenguva refu.
Chii Chinonzi Sharpe Ratio?
Dambudziko re beta coefficients nderokuti ivo vane ukama panzvimbo yeiyo zvachose. Kana ruzivo rweR-squared ruchiderera kwazvo, somuenzaniso, ipapo coefficient bheta haisi inoreva uye alpha haina basa. Alpha hainawo kusiyana pakati pekodzero yekutsvaga kushambadzira kana ruzivo kana tarisa pane zvakakosha zvekutsvaga, izvo zvinogona kuita kuti zvive zvakaoma kushandisa semuenzaniso wekufananidza wemari kana mikana yekutsvaga kwevanhu.
Chiyero che Sharpe chiyero chekuverenga mitsva yekugadzirisa njodzi inogadzirisa nyaya idzi kuburikidza nokutora mutengo wekudzoka wakawana pamusoro pehuwandu hwekushaya pangozi pachikamu chimwe chekuvhiringidza kana dambudziko rose - chiyero chakanaka chematambudziko. Vashandi vanogona kuenzanisa zvakananga mari yakawanda uye kuongorora kuwanda kwematambudziko ayo mutungamiri mumwe nomumwe akatora kuti aite zvakaenzana zvikamu zvekudzoka, izvo zvinoita kuti kuenzanisa kwakanakisisa.
Kunyange zvazvo zviito izvi zvichiita kuti kuenzanisa kuve kwakanakisisa, vatengi vanofanira kuchengeta mupfungwa kuti zvikwereti zvine chikwata chepamusoro che Sharpe chinogona kuva chakanyanya kuwedzera kune avo vane chiyero chepasi. Nhamba yakakwirira ye Sharpe inongoratidzira kuti mari yekutengesa-ku-mubairo wepurogiramu yakakosha kana kuti yakaenzana kupfuura imwe. Zvakakoshawo kuziva kuti chidimbu che Sharpe hachina kuratidzirwa pamhando ipi zvayo yezviyero, izvo zvinoreva kuti zvinongobatsira chete pakuenzanisa zvasarudzo.
The Bottom Line
Varimi vanofanira kugara vachitarisa kudzoka kwakagadziriswa kunodzoka pakunongedza mikana yakasiyana-siyana, sezvo kusaregerera njodzi kunogona kuve yakakosha kupfuura kwenguva refu. Kunyange zvazvo beta uye alpha ndiyo nzira dzakanaka dzekuita kudaro, vatengesi vangave vachida kufungidzira kushandisa chiyero che Sharpe pane kupa shanduro yaro kusinganzwisisi panzvimbo yehutano hwehutano. Aya magetsi anogona kubatsira zvikuru pakuenzanisa mari yakasiyana kana mashizha kumarudzi akasiyana.
Vashandi vangave vachidawo kufunga nezvehumwe hutano hwehutano hwakagadziridzwa hunogona kubatsira mune mamwe mamiriro ezvinhu. Semuenzaniso, chiyero cheTreynor chinoshandisa kuwanda kwebheta panzvimbo yezvisizvo zvakasiyana-siyana kutora misika yekutengeserana, asi Jensen's Alpha anoshandisa mari yepamusoro yemari yemuenzaniso wekutengesa kuti aone kuti alpha yakawanda sei chikwereti chinokonzera maererano nemusika.
Vashandi vanofanira kuwana chiyero chinonyatsokodzera zvavanoda.
Panewo nzira dzakawanda dzekuongorora kukosha pakati pemakambani kana mari. Semuenzaniso, chikwata cheCAPE chinopa kuvandudzwa kwehuwandu hwemari-yebhadharo iyo inotarisa maitiro ekutenderera panzvimbo pekuita imwe yakawanda. Zvakakosha kutarisa kunze kwematricriki ekuenzanisa, uyewo matanho ekugadzirisa kudzoka kwematric, kuti awane mikana inokurudzira yekutsvaga.