Yuav txhais li cas treynor piv?

Cov txheej txheem:

Yuav txhais li cas treynor piv?
Yuav txhais li cas treynor piv?

Video: Yuav txhais li cas treynor piv?

Video: Yuav txhais li cas treynor piv?
Video: Lis Yaj Pov : Nyob Li Cas Lawm 2024, Hlis ntuj nqeg
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Kev nkag siab txog Treynor Ratio Hauv qhov tseem ceeb, Treynor piv yog kev pheej hmoo-hloov ntsuas kev xa rov qab raws li qhov kev pheej hmooNws qhia ntau npaum li cas rov qab nqis peev, xws li cov ntaub ntawv ntawm cov khoom lag luam, cov peev nyiaj sib koom, lossis cov peev nyiaj pauv pauv, khwv tau los ntawm qhov kev pheej hmoo ntawm kev nqis peev uas xav tau.

Tus nqi Treynor yog dab tsi?

Thaum siv Treynor Ratio, nco ntsoov:

Piv txwv li, Treynor Ratio ntawm 0.5 zoo duaib qho ntawm 0.25, tab sis tsis tas yuav ob zaug li zoo. Tus lej yog qhov tshaj rov qab mus rau qhov tsis muaj kev pheej hmoo. Tus denominator yog Beta ntawm cov ntaub ntawv, los yog, nyob rau hauv lwm yam lus, ib qho kev ntsuas ntawm nws systematic txaus ntshai.

Tus nqi Treynor phem yog dab tsi?

Muab nws qhov beta ntawm 1.07, cov nyiaj tsis zoo Treynor piv qhia tias cov nyiaj tsis tau them nyiaj txaus nws cov tub ua lag luam rau qhov pheej hmoo nws tau ua rau lawv; nws cov nyiaj rov qab tau qis dua qhov pheej hmoo tsis pub rov qab los ntawm 3 xyoo dhau los.

Puas cov khoom lag luam nrog beta ntau dua 1 muaj qhov sib piv Treynor siab dua li kev ua lag luam?

Tus Treynor piv siv cov ntaub ntawv pov thawj "beta" raws li nws qhov kev pheej hmoo. … Ntau cov khoom lag luam tsis hloov pauv yuav muaj beta ntau dua ib qho, hos cov khoom lag luam tsawg dua muaj beta qis dua ib qho. Cov khoom lag luam beta siab nce thiab poob sai dua li cov beta qis qis hauv kev lag luam nce lossis nqis.

Qhov piv twg zoo dua Sharpe lossis Treynor?

Thaum tus qauv sib txawv ntsuas tag nrho cov kev pheej hmoo ntawm cov ntaub ntawv khaws cia, Beta ntsuas qhov kev pheej hmoo. … Yog li ntawd, Sharpe yog ib qho kev ntsuas zoo uas cov ntaub ntawv khaws cia tsis zoo sib txawv thaum Treynor yog qhov kev ntsuas zoo duaqhov chaw cov ntaub ntawv muaj ntau haiv neeg.

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