1. Kumvetsetsa Sharpe Ratio
M'dziko forex, cryptondipo CFD trading, ndi Sharpe Ratio ndi chida chofunika kwambiri traders amagwiritsa ntchito kuyesa kubwerera kwa ndalama poyerekezera ndi zake chiopsezo. Amatchedwa William F. Sharpe, yemwe adalandira mphotho ya Nobel, amayesa momwe ndalama zimagwirira ntchito motsutsana ndi chiwopsezo chopanda chiwopsezo, pambuyo posintha kuopsa kwake.
Njira yowerengera Sharpe Ratio ndiyosavuta:
- Chotsani chiwopsezo chopanda chiwopsezo kuchokera pakubweza kwapakati.
- Kenako gawani zotsatira ndi kutembenuka kwanthawi zonse.
Kuchuluka kwa Sharpe Ratio kumapereka ndalama zogwirira ntchito bwino, zopatsa phindu lalikulu pachiwopsezo chopatsidwa. Mosiyana ndi zimenezi, chiŵerengero chochepa chimasonyeza kuti ndalama sizikuyenda bwino, zomwe zimakhala zochepa pamlingo wofanana wa chiopsezo.
Komabe, ndikofunikira kumvetsetsa kuti Sharpe Ratio ndi mulingo wocheperako. Iyenera kugwiritsidwa ntchito yerekezerani ndalama zofanana kapena njira malonda, osati kudzipatula.
Kuphatikiza apo, pomwe Sharpe Ratio ndi chida champhamvu, ilibe malire. Choyamba, zimaganiza kuti zobwezera zimagawidwa, zomwe sizingakhale choncho nthawi zonse. Komanso sizimawerengera zotsatira za kuphatikiza.
Choncho, pamene Sharpe Ratio ikhoza kupereka zidziwitso zamtengo wapatali, ziyenera kugwiritsidwa ntchito pamodzi ndi ma metrics ndi zida zina kuti apange chithunzi chokwanira cha momwe ndalama zikuyendera.
1.1. Tanthauzo la Sharpe Ratio
M'dziko lamphamvu la forexcrypto, ndi CFD malonda, chiopsezo ndi kubwerera ndi mbali ziwiri za ndalama imodzi. Traders nthawi zonse amakhala akuyang'ana zida zomwe zingawathandize kuyeza ndikuwongolera mbali zofunika izi. Chida chimodzi chotere ndi Sharpe Ratio, muyeso womwe umathandiza traders kumvetsa kubwerera kwa ndalama poyerekeza ndi chiwopsezo chake.
Amatchulidwa pambuyo pa mphoto ya Nobel William F. Sharpe, Sharpe Ratio ndi njira yowunikira momwe ndalama zimagwirira ntchito pokonzekera chiopsezo chake. Ndi chiwongola dzanja chopezedwa mopyola mulingo wopanda chiwopsezo pa unit ya kusasinthasintha kapena chiopsezo chonse. Mlingo wopanda chiwopsezo ukhoza kukhala kubweza ngongole ya boma kapena ndalama za Treasury, zomwe zimaganiziridwa kukhala zopanda chiopsezo.
Sharpe Ratio ikhoza kufotokozedwa masamu monga:
- (Rx – Rf) / StdDev Rx
Kumene:
- Rx ndiye mulingo wapakati wobwerera wa x
- Rf ndiye mlingo wopanda chiopsezo
- StdDev Rx ndiye kupatuka kokhazikika kwa Rx (kubwerera kwa mbiri)
Kukwera kwa Sharpe Ratio, kumapangitsa kuti ndalama zomwe zimabwereranso zizikhala bwino ndi kuchuluka kwa chiwopsezo chomwe watenga. Kwenikweni, chiŵerengero ichi chimalola traders kuti awone phindu lomwe lingakhalepo kuchokera mubizinesi, ndikuganiziranso za chiwopsezo chomwe chingakhalepo. Izi zimapangitsa kukhala chida chamtengo wapatali mu arsenal iliyonse trader, kaya akulimbana nawo forexcrypto, kapena CFDs.
Komabe, ndikofunika kuzindikira kuti Sharpe Ratio ndi chida chowonetseratu; zimatengera mbiri yakale ndipo sizimaneneratu zomwe zidzachitike m'tsogolo. Imakhudzidwanso ndi nthawi yomwe imagwiritsidwa ntchito powerengera. Chifukwa chake, ngakhale ndi chida chothandiza kufananizira mabizinesi, iyenera kugwiritsidwa ntchito molumikizana ndi ma metric ndi njira zina kuti muwone bwino momwe ndalama zimakhalira.
1.2. Kufunika kwa Sharpe Ratio pakugulitsa
Sharpe Ratio, wotchedwa Nobel Laureate William F. Sharpe, amagwira ntchito ngati chida chofunikira kwambiri traders mu forexcrypto, ndi CFD misika. Kufunika kwake sikunganenedwe mopambanitsa. Ndilo muyeso wa magwiridwe antchito osinthika, kulola traders kuti mumvetsetse kubweza kwa ndalama poyerekeza ndi chiwopsezo chake.
Koma chifukwa chiyani Sharpe Ratio ndi yofunika kwambiri?
Kukongola kwa Sharpe Ratio kuli pakutha kwake kuwerengera kusakhazikika komanso mphotho yomwe ingakhalepo pakugulitsa. Traders, kaya ndi akatswiri kapena akatswiri odziwa bwino ntchito, nthawi zonse amakhala akutsata njira zomwe zimabweretsa phindu lalikulu kwambiri popanda chiopsezo chochepa. Sharpe Ratio imapereka njira yodziwira njira zoterezi.
- Kuyerekeza kwa Investments: Sharpe Ratio imalola traders kuti afanizire magwiridwe antchito osinthika omwe ali pachiwopsezo cha njira zosiyanasiyana zamalonda kapena mabizinesi. Kuchuluka kwa Sharpe Ratio kumawonetsa kubwereranso kosinthika kwachiwopsezo.
- Kusamalira Ngozi: Kumvetsetsa Sharpe Ratio kungathandize traders amayendetsa bwino chiwopsezo. Podziwa chiŵerengero, traders akhoza kusintha njira zawo kuti akwaniritse bwino pakati pa chiopsezo ndi kubwerera.
- Muyezo wa Kachitidwe: Sharpe Ratio si lingaliro longoyerekeza; ndi chida chothandiza kuti traders amagwiritsa ntchito kuyeza momwe amachitira malonda awo. Njira yokhala ndi Sharpe Ratio yayikulu m'mbiri yakale yapereka kubwereranso kowonjezereka pamlingo womwewo wa chiopsezo.
Chofunika kwambiri, Sharpe Ratio si chida choyimira. Iyenera kugwiritsidwa ntchito molumikizana ndi ma metric ndi zizindikiro zina kupanga zisankho zodziwika bwino zamalonda. Ngakhale kuti imapereka zidziwitso zamtengo wapatali pazachiwopsezo ndi kubwereranso kwa njira, sizimawerengera kuthekera kwa kutayika kwakukulu kapena zochitika zenizeni za msika. Chifukwa chake, traders sayenera kudalira kokha pa Sharpe Ratio, koma m'malo mwake agwiritse ntchito ngati gawo la njira zonse zoyendetsera zoopsa.
1.3. Zochepa za Sharpe Ratio
Ngakhale kuti Sharpe Ratio ndi chida champhamvu mu zida za savvy iliyonse forexcrypto kapena CFD trader, sizili zopanda malire. Ndikofunika kumvetsetsa zovuta izi kuti mutsimikizire kuti mukupanga zisankho mwanzeru potengera kutanthauzira kolondola kwa ndalama zanu.
Choyamba, Sharpe Ratio imaganiza kuti ndalama zobwereranso zimagawidwa. Komabe, dziko lazamalonda, makamaka m'misika yosasinthika ngati crypto, nthawi zambiri imakhala ndi kurtosis. M'mawu a layman, izi zikutanthauza kuti kubweza kumatha kukhala ndi zochulukirapo mbali zonse zapakati, ndikupanga kugawa kocheperako komwe Sharpe Ratio ilibe zida zogwirira ntchito.
- Kusokonekera: Uwu ndiye muyeso wa asymmetry wa kuthekera kwagawidwe kwa zosinthika zenizeni zenizeni za tanthauzo lake. Ngati kubweza kwanu kuli kokhotakhota molakwika, zikuwonetsa kubweza koyipa kwambiri; ndipo ngati zokhotakhota, zotsatira zabwino kwambiri.
- Kurtosis: Izi zimayesa "mchira" wa mwayi wogawa wamtundu weniweni wamtengo wapatali. Kurtosis kokwezeka kumawonetsa kuthekera kwakukulu kwa zotsatira zoyipa, zabwino kapena zoyipa.
Kachiwiri, Sharpe Ratio ndi muyeso wobwereza. Imawerengetsera momwe ndalama zagwirira ntchito m'mbuyomu, koma sizingadziwike momwe zingakhalire zamtsogolo. Izi ndizofunika makamaka m'dziko lofulumira, lomwe likukula mofulumira la malonda a crypto, kumene machitidwe a m'mbuyomu nthawi zambiri samasonyeza zotsatira zamtsogolo.
Potsirizira pake, Sharpe Ratio amangoganizira za chiopsezo chonse cha mbiriyo, kulephera kusiyanitsa pakati pa chiopsezo chokhazikika (chiwopsezo chosasinthika) ndi chiopsezo chosasinthika (chiwopsezo chosiyana). Izi zitha kupangitsa kuti pakhale kuchulukitsidwa kwa magwiridwe antchito omwe ali ndi chiopsezo chachikulu chosakhazikika, chomwe chitha kuchepetsedwa zosiyana.
Ngakhale zoperewerazi sizikutsutsa phindu la Sharpe Ratio, zimakhala ngati chikumbutso kuti palibe metric imodzi yomwe iyenera kugwiritsidwa ntchito kudzipatula. Kusanthula mwatsatanetsatane momwe mumachita malonda anu nthawi zonse kuyenera kuphatikizira zida ndi zizindikiro zingapo, chilichonse chimakhala ndi mphamvu ndi zofooka zake.
2. Kuwerengera kwa Sharpe Ratio
Kulowera kudziko lazachuma, Sharpe Ratio ndi chida chofunikira kwambiri traders kuti mudziwe kubweza kwa ndalama poyerekeza ndi chiwopsezo chake. Njira yowerengera Sharpe Ratio ndiyosavuta: ndiye kusiyana pakati pa zobweza zandalama ndi chiwopsezo chopanda chiwopsezo, chogawidwa ndi kupatuka kobwerera kwa ndalamazo.
Sharpe Ratio = (Kubwerera kwa ndalama - Mlingo wopanda chiwopsezo) / Kupatuka kokhazikika kwa zobweza zandalama
Tiyeni tiphwanye. The 'Return of Investment' ndi phindu kapena kutayika kochokera ku ndalamazo, zomwe nthawi zambiri zimawonetsedwa ngati peresenti. The 'Mtengo wopanda chiopsezo' ndikubweza ndalama zopanda ngozi, monga chikole cha boma. Kusiyana pakati pa ziwirizi kumatipatsa kubweza kochulukirapo pamlingo wopanda chiopsezo.
Denominator ya formula, 'Standard deviation of investment returns', amayesa kusakhazikika kwa ndalama zomwe amagulitsa, zomwe zimagwiritsidwa ntchito ngati gwero lachiwopsezo. Kupatuka kwapamwamba kumatanthawuza kuti zobwererazo zimakhala ndi kufalikira kwakukulu mozungulira tanthauzo, zomwe zikuwonetsa chiopsezo chachikulu.
Nachi chitsanzo chosavuta. Tiyerekeze kuti muli ndi ndalama zobweza 15% pachaka, 2% yopanda chiwopsezo, komanso kupatuka kobwerera kwa 10%.
Sharpe Ration = (15% - 2%) / 10% = 1.3
Sharpe Ratio ya 1.3 ikuwonetsa kuti pagawo lililonse lachiwopsezo chomwe watenga, wobwereketsa akuyembekezeka kubweza mayunitsi 1.3 kuposa chiwopsezo chopanda chiwopsezo.
Ndikofunikira kudziwa kuti Sharpe Ratio ndi muyeso wofananiza. Ndibwino kugwiritsidwa ntchito kufananiza zobwezera zomwe zasinthidwa pachiwopsezo zamabizinesi osiyanasiyana kapena njira zamalonda. Kuchuluka kwa Sharpe Ratio kumawonetsa kubwereranso kosinthika kwachiwopsezo.
2.1. Kuzindikiritsa Zida Zofunikira
Tisanadumphire pamutu pazawerengero za Sharpe Ratio, ndikofunikira kuti timvetsetse zigawo zazikulu zomwe zimafunikira pantchito yomwe ikugwira. Zigawozi ndizo msana wa kuwerengera kwanu, magiya omwe amapangitsa makinawo kuyenda bwino.
Chigawo choyamba ndi kuyembekezera kubwerera. Uwu ndiye mulingo womwe ukuyembekezeredwa kubweza pazachuma chanu pakanthawi yodziwika. Ndikofunika kuzindikira kuti uku ndikulosera, osati chitsimikizo. Kubwerera koyembekezeka kungawerengedwe mwa kuchulukitsa zotsatira zomwe zingatheke mwa mwayi woti zichitike, ndiyeno kuwonjezera zotsatirazi palimodzi.
Chotsatira ndicho mlingo wopanda chiopsezo. M'dziko lazachuma, uku ndi kubweza ndalama zomwe sizikhala pachiwopsezo. Nthawi zambiri, izi zimayimiridwa ndi zokolola za miyezi itatu ku US Treasury bill. Imagwiritsidwa ntchito ngati benchmark pakuwerengera kwa Sharpe Ratio kuyeza kubweza kopitilira muyeso, kapena premium yangozi, pakuyika pachiwopsezo chowonjezera.
Chomaliza koma chocheperako ndicho portfolio standard kupatuka. Uwu ndi muyeso wa kuchuluka kwa kusinthika kapena kubalalitsidwa kwamagulu angapo. Pankhani yazachuma, imagwiritsidwa ntchito poyesa kusinthasintha kwa ndalama zogulira. Kupatuka kwapang'onopang'ono kumawonetsa kusasunthika kochepa, pomwe kupatuka kwapamwamba kumatanthawuza kusakhazikika kwakukulu.
Mwachidule, zigawo zitatuzi ndizo mizati yomwe Sharpe Ratio imayima. Iliyonse imakhala ndi gawo lofunikira pakuwerengera, kupereka chidziwitso chofunikira pazangozi komanso kubweza mawonekedwe abizinesi. Ndizigawozi m'manja, muli panjira yodziwa luso lowerengera ndikutanthauzira Sharpe Ratio.
- Kubwereranso kwa mbiriyakale
- Mlingo wopanda chiopsezo
- Portfolio standard kupatuka
2.2. Ndondomeko Yowerengera Pang'onopang'ono
Kulowa mu ndondomeko yowerengera, chinthu choyamba chimene muyenera kudziwa ndikuti Sharpe Ratio ndi muyeso wobwereranso pangozi. Ndi njira traders kuti amvetsetse kuchuluka kwa ndalama zomwe akulandira chifukwa chakusakhazikika komwe akupirira chifukwa chokhala ndi katundu wowopsa. Tsopano, tiyeni tigawane ndondomekoyi kuti ikhale yotheka.
Khwerero 1: Werengerani Kubwerera Kwambiri Kwakatundu
Kuti muyambe, muyenera kuwerengera kuchuluka kwa kubweza kwa katunduyo. Izi zimachitika pochotsa mulingo wopanda chiwopsezo kuchokera pakubweza kwapakati pa katunduyo. Mtengo wopanda chiwopsezo nthawi zambiri umaimiridwa ndi bili ya miyezi itatu ya Treasury kapena ndalama zina zilizonse zomwe zimawonedwa kuti 'zopanda chiwopsezo'. Nayi njira:
- Kubwerera Kwambiri = Kubwerera Kwapakati Kwakatundu - Mtengo Wopanda Chiwopsezo
Khwerero 2: Werengerani Kupatuka Kwanthawi Zonse kwa Katundu Wazobweza
Kenako, muwerengeretsa kupatuka kokhazikika kwa zobweza za katunduyo. Izi zikuyimira kusakhazikika kapena chiwopsezo chokhudzana ndi ndalamazo. Kuchulukitsidwa kwapang'onopang'ono, m'pamenenso chiwopsezo cha ndalama chikukula.
Khwerero 3: Werengani Kuwerengera kwa Sharpe
Pomaliza, mutha kuwerengera Sharpe Ratio. Izi zimachitika pogawa kubweza kopitilira muyeso ndikupatuka kokhazikika. Nayi njira:
- Sharpe Ratio = Kubwerera Kwambiri / Kupatuka Kwambiri
Zotsatira zake zikuyimira kubwezeredwa kwachiwopsezo kwa ndalamazo. Kuchuluka kwa Sharpe Ratio kumawonetsa ndalama zomwe zikufunika kwambiri, chifukwa zikutanthauza kuti mukupeza phindu lochulukirapo pagawo lililonse lachiwopsezo chomwe mwachita. Mosiyana ndi zimenezo, chiŵerengero chochepa chikhoza kusonyeza kuti chiwopsezo chokhudzana ndi ndalamazo sichingakhale chovomerezeka ndi kubweza komwe kungabwere.
Kumbukirani, ngakhale Sharpe Ratio ndi chida chothandiza, sichiyenera kukhala chokhacho chomwe chimatsimikizira zisankho zanu zachuma. Ndikofunikira nthawi zonse kuganizira zinthu zina ndi ma metrics, komanso kumvetsetsa momwe ndalama zimakhalira.
3. Kutanthauzira Sharpe Ratio
Sharpe Ratio ndi chida chofunikira kwambiri forexcrypto, ndi CFD traders. Ndi muyeso wa kubweza kusinthidwa chiopsezo, kulola traders kuti mumvetsetse kubweza kwa ndalama poyerekeza ndi chiwopsezo chake. Koma mumatanthauzira bwanji?
Sharpe Ratio yabwino ikuwonetsa kuti ndalamazo zapereka kale phindu lochulukirapo pamlingo wowopsa womwe watengedwa. Kukwera kwa Sharpe Ratio, m'pamenenso kusinthika kwachiwopsezo kwa mbiri yakale kwachitika bwino. Ngati Sharpe Ratio ndi yolakwika, zikutanthauza kuti chiwopsezo chopanda chiwopsezo ndi chachikulu kuposa kubwereranso kwa mbiriyo, kapena kubweza kwa mbiriyo kuyenera kukhala kolakwika.
Pachifukwa ichi, wochita malonda wotsutsa chiwopsezo angachite bwino kuyika ndalama zopanda chitetezo. Kuphatikiza apo, poyerekeza Sharpe Ratios, onetsetsani kuti mukufanizira ndalama zofanana. Kuyerekeza Sharpe Ratio ya a forex njira yogulitsira ndi njira yamalonda ya crypto ikhoza kubweretsa malingaliro osokeretsa, chifukwa chiwopsezo ndi mawonekedwe obwerera m'misikayi zitha kukhala zosiyana kwambiri.
3.1. Kumvetsetsa Sharpe Ratio Scale
Kulowera pamtima pamutuwu, Sharpe Ratio Scale ndi chida chofunikira kwa aliyense trader kuyang'ana kukulitsa zobwerera zawo. Sikelo iyi, yotchedwa Nobel Laureate William F. Sharpe, ndi muyeso womwe umagwiritsidwa ntchito kumvetsetsa kubwerera kwa ndalama poyerekeza ndi chiopsezo chake.
Chofunikira cha Sharpe Ratio ndikuti imawerengera kubweza komwe wogulitsa angayembekezere chifukwa chakusakhazikika kowonjezereka komwe kumapirira pokhala ndi katundu wa riskier. Kuchuluka kwa Sharpe Ratio kumawonetsa kubwereranso kosinthika kwachiwopsezo.
Nawa ma benchmarks ena:
- A Sharpe Ration ya 1 kapena zambiri zimaganiziridwa zabwino, kusonyeza kuti zobwezera zimaposa zoopsa.
- A Sharpe Ration ya 2 is zabwino kwambiri, kutanthauza kuti zobweza ndi kawiri kuposa chiopsezo.
- A Sharpe Ration ya 3 kapena zambiri chabwino, kusonyeza kuti zobwezera ndi katatu chiopsezo.
Chenjezo ngakhale - kukwera kwa Sharpe Ratio sikukutanthauza kubweza kwakukulu. Zimangosonyeza kuti zobwererazo ndizokhazikika komanso zosasunthika. Chifukwa chake, ndalama zokhala ndi chiwopsezo chochepa chokhala ndi kubweza kosasintha zimatha kukhala ndi Sharpe Ratio yayikulu kuposa ndalama zomwe zimakhala pachiwopsezo chachikulu chokhala ndi kubweza kosasinthika.
Kumbukirani, chinsinsi chakuchita bwino pamalonda sikungofuna kubweza ndalama zambiri, koma kumvetsetsa ndikuwongolera zoopsa zomwe zingachitike. Sharpe Ratio Scale ndi chida chimodzi chomwe chimathandiza traders kukwaniritsa izi.
3.2. Kufananiza Sharpe Magawo a Ma Portfolio Osiyanasiyana
Zikafika pakufanizira ma Sharpe Ratios amitundu yosiyanasiyana, ndikofunikira kumvetsetsa kuti kuchuluka kwa Sharpe Ratio kukuwonetsa kubweza kowoneka bwino kosintha chiopsezo. Izi zikutanthauza kuti pagawo lililonse lachiwopsezo chomwe chimachitika, mbiriyo imabweretsa phindu lochulukirapo.
Komabe, ndikofunikira kuzindikira kuti Sharpe Ratio sikuyenera kukhala chizindikiro chokhacho chomwe chimagwiritsidwa ntchito poyerekeza ma portfolio. Zinthu zina, monga mbiri ya chiwopsezo chambiri, njira yoyendetsera ndalama, komanso kulolerana kwachiwopsezo kwa Investor payekha, ziyeneranso kuganiziridwa.
Tiyerekeze kuti tili ndi zigawo ziwiri: Portfolio A yokhala ndi Sharpe Ratio ya 1.5 ndi Portfolio B yokhala ndi Sharpe Ratio ya 1.2. Poyang'ana koyamba, zitha kuwoneka kuti Portfolio A ndiye chisankho chabwinoko popeza ili ndi Sharpe Ratio yayikulu. Komabe, ngati Portfolio A idayikidwa ndalama zambiri muzinthu zosasinthika ngati ma cryptocurrencies kapena omwe ali pachiwopsezo chachikulu. m'matangadza, sikungakhale chisankho chabwino kwambiri kwa woyika ndalama wotsutsa zoopsa.
Kumbukirani, Sharpe Ratio ndi muyeso wa kubwerera kosinthika, osati kubwerera kotheratu. Mbiri yokhala ndi Sharpe Ratio yayikulu sikuti ibweretsa phindu lalikulu kwambiri - ibweretsa kubweza kwapamwamba kwambiri pachiwopsezo chomwe chatengedwa.
Poyerekeza ma portfolios, ndizoyeneranso kuyang'ana Chiwerengero cha Sortino, zomwe zimasinthira ku chiopsezo chotsika, kapena chiopsezo cha kubwereranso koyipa. Izi zitha kupereka chithunzithunzi chambiri chambiri pachiwopsezo cha mbiriyo, makamaka pamagawo omwe ali ndi magawo obwereza a asymmetric.
- Portfolio A: Sharpe Ratio 1.5, Sortino Ratio 2.0
- Portfolio B: Sharpe Ratio 1.2, Sortino Ratio 1.8
Pamenepa, Portfolio A ikuwonekabe kukhala yabwinoko, popeza ili ndi Sharpe ndi Sortino Ratio yapamwamba. Komabe, chisankho pamapeto pake chimadalira kulolerana kwa chiwopsezo chamunthu payekha komanso zolinga zandalama.
