Funda indlela yokusebenzisa i-Sharpe Ratio ukuthelekisa utyalo-mali
Kule ngqaku, siza kujonga indlela i-Sharpe Ratio inokunceda ngayo abatyali-mali bathelekise utyalo-mali ngokubhekiselele kwimingcipheko kunye nokubuyela.
Ulungiso-Ulungiso olubuyiselwayo 101
Indlela eqhelekileyo yokulinganisa umngcipheko usebenzisa i-coafficient ye-beta, eyenza inqanaba lesitokisi okanye ukuxhaswa kwezimali ngokubhekiselele kwisibheno njengenombolo ye-S & P 500. Ukuba isitokethi sinesithathu se-beta, abatyali-mali banokulindela ukuba kubekho iipesenti ezili-10 ezithandekayo kuneS & P 500. Ukunyuka kweepesenti ezingama-30 kwi-S & P 500, umzekelo, kufuneka kubangele ukunyuka kwama-33 ekhulwini kwi-stock okanye kwingxowa-mali kunye ne-1.1 beta (kunye nokunye ukuhla kwehla) ukususela kuma-30 ekhulwini amaxesha ama-1.1 alingana nama-33 ekhulwini.
I-coefficients ye-Beta ingasetyenziselwa ukubala i-alpha yentsha-mali, eyibuyiselo elilungelelaniso lomngcipheko obika ingozi. I-Alpha ibalwa ngokususa ukubuya kwe-equity expected return based on coefficient yayo kunye nezinga lokungabikho komngcipheko ngokubuya kwayo yonke. Isitokethi esinomlinganiselo we-beta we-1.1 owandisa ama-40 ekhulwini xa i- S & P 500 ikhula ngamaphesenti angama-30 aya kuvelisa i-alpha ye-5 ekhulwini ngokuthatha inqanaba elingenamngcipheko we-2 ekhulwini (iipesenti ezingama-40 - iipesenti ezingama-33-iipesenti ezi-2 = iipesenti ezi-5) -i-5 ipesenti yokubuyisela ingozi.
Kubalulekile ukuqaphela ukuba utyalo-mali kunye ne-beta ephezulu kufuneka kuveliswe ukubuyela okuphezulu ukujonga i-alpha efanelekileyo. Ngokomzekelo, isitokethi esine-beta ye-1.1 kuya kufuneka ukuba ivelise i-10 ekhulwini yeenzuzo ngaphezulu kwe-S & P 500 kunye nezinga elingenamngcipheko wokuvelisa i-alpha engathathi hlangothi. Ngoko ke, iifowuni ezikhuselekileyo zingenza iirejista ezilungelelaniso eziphezulu nangona zivelisa ukubuyiswa kwexabiso eliphantsi kuba zibandakanya umngcipheko omncinci wokulahleka ngexesha elide.
Ulungelelwaniso lweSharpe?
Ingxaki kunye ne-beta coefficients kukuba zixhomekeke kunoko. Ukuba u-R-squared utshalomali luphantsi kakhulu, umzekelo, u-coafficient we-beta awunenjongo kwaye i-alpha ayinandaba. I-Alpha nayo ayifani ukwahlula phakathi kwekhono lokukhetha izitshixo okanye inhlanhla xa ikhangelelanisa iimfanelo zokutshala imali, ezinokukwenza kube nzima ukuyisebenzisa njengesixhobo sokuthelekisela imali okanye ngamathuba atyalo-mali ngamnye.
Umlinganiselo we-Sharpe umlinganiselo wokubala iingeniso ezilungelelaniso lomngcipheko osombulula le micimbi ngokuthatha umyinge oyingenelo ozuzwe ngaphezu kwezinga lokungabi nengozi nganye kwiyunithi yokutshatyalaliswa okanye umngcipheko opheleleyo - umlinganiselo opheleleyo wengozi. Abatyalomali banokuqhathanisa ngokuthe ngqo utyalo-mali kunye nokuvavanya inani lemngcipheko ukuba umphathi ngamnye athathe ukuba avelise amaphesenti afanayo okubuyela, okwenza ukuba uthelekise ngakumbi.
Nangona ezi zixhobo zizenzela ukufanisa, abatyali-mali kufuneka bahlale bekhumbula ukuba utyalo-mali olunomlinganiselo ophezulu lwe-Sharpe lunokuba lukhulu kunezinto ezinomlinganiselo ophantsi. Umlinganiselo ophezulu we-Sharpe ubonisa nje ukuba iphrofayili yomngcipheko wokufumana umngcipheko iphezulu kakhulu okanye ilinganayo kunomnye. Kwakhona kubalulekile ukuba uqaphele ukuba umlinganiselo we-Sharpe awubonakaliswa kunoma yiluphi uhlobo lwesilinganiselo, oko kuthetha ukuba kunceda xa uthelekisa ukhetho.
Ngaphantsi
Abatyalomali kufuneka bahlale bejonge ukubuyiselwa kweengcipheko xa bevavanya amathuba ahlukahlukeneyo, kuba ukungawunaki umngcipheko kunokubonakalisa kubi kakhulu ixesha elide. Nangona i-beta kunye ne-alpha ziindlela ezilungileyo zokwenza njalo, abatyali-mali bangathanda ukucinga ngokusebenzisa u-Sharpe ratio kunokuba banikwe ukusetyenziswa kwazo ngokupheleleyo kuneendlela ezinxulumene nobungozi. Ezi methrikhi zinokuba luncedo kakhulu xa zithelekisa iimali ezahlukileyo okanye iimpahla ezihlukeneyo kwiindidi ezahlukeneyo.
Abatyalomali bangaphinda bafune ukujonga ezinye iindlela zokubuyisela ukulungiswa kwemingcipheko ezinokuba luncedo kwiimeko ezithile. Umzekelo, umlinganiselo we-Treynor usebenzise i-coafficient ye-beta endaweni yokuphambuka okuqhelekileyo ukuthabatha ukusebenza kweevenkile kwi-akhawunti, ngoxa i-Alpha ye-Jensen isebenzisa imodeli yentengo yexabiso lemali ukujonga ukuba ingaba i-alpha iphothifoliyo yenza ntoni ngokuthethelelekileyo kwimarike.
Abatyalomali kufuneka bafumane imilinganiselo ehambelana nezidingo zabo.
Kukho iindlela ezininzi zokuvavanya ukulinganisa phakathi kweenkampani okanye iimali. Ngokomzekelo, umlinganiselo we-CAPE unikezela inguqu ephuculweyo yemilinganiselo yemali-ntlawulo ejongene neziphathamandla zokuziphatha kunokuziphindaphinda. Kubalulekile ukujonga ngaphaya kweemitha zamanani ezilinganisileyo, kunye nokubuyiswa kwemetrikhi yokubuyisela ingozi, ukufumana amathuba okutyalo-mali athembisayo.