{"id":2153,"date":"2025-02-16T12:30:37","date_gmt":"2025-02-16T04:30:37","guid":{"rendered":"https:\/\/zhuxinyong.com\/?p=2153"},"modified":"2025-02-16T12:36:04","modified_gmt":"2025-02-16T04:36:04","slug":"xia-pu-bi-lu-sharpe-ratio","status":"publish","type":"post","link":"https:\/\/zhuxinyong.com\/?p=2153","title":{"rendered":"\u590f\u666e\u6bd4\u7387\uff08Sharpe Ratio\uff09"},"content":{"rendered":"<p><strong>\u590f\u666e\u6bd4\u7387\uff08Sharpe Ratio\uff09<\/strong> \u662f\u8861\u91cf\u6295\u8d44\u7ec4\u5408\u6216\u8d44\u4ea7\u7684\u98ce\u9669\u8c03\u6574\u540e\u6536\u76ca\u7684\u91cd\u8981\u6307\u6807\uff0c\u65e8\u5728\u5e2e\u52a9\u6295\u8d44\u8005\u8bc4\u4f30\u6bcf\u627f\u53d7\u4e00\u5355\u4f4d\u98ce\u9669\u6240\u80fd\u83b7\u5f97\u7684\u989d\u5916\u56de\u62a5\u3002\u5b83\u7531\u8457\u540d\u7ecf\u6d4e\u5b66\u5bb6\u5a01\u5ec9\u00b7\u590f\u666e\uff08William Sharpe\uff09\u63d0\u51fa\uff0c\u662f\u73b0\u4ee3\u6295\u8d44\u7ec4\u5408\u7406\u8bba\u4e2d\u7684\u4e00\u4e2a\u6838\u5fc3\u6982\u5ff5\u3002<\/p>\n<h3><a id=\"1%E5%A4%8F%E6%99%AE%E6%AF%94%E7%8E%87%E7%9A%84%E5%AE%9A%E4%B9%89\" class=\"anchor\" aria-hidden=\"true\"><span class=\"octicon octicon-link\"><\/span><\/a>1. <strong>\u590f\u666e\u6bd4\u7387\u7684\u5b9a\u4e49<\/strong><\/h3>\n<p>\u590f\u666e\u6bd4\u7387\u7684\u8ba1\u7b97\u516c\u5f0f\u5982\u4e0b\uff1a<\/p>\n<p><img decoding=\"async\" src=\"https:\/\/zhuxinyong.com\/wp-content\/uploads\/2025\/02\/17396803103232.jpg\" alt=\"\" \/><\/p>\n<h3><a id=\"2%E5%A4%8F%E6%99%AE%E6%AF%94%E7%8E%87%E7%9A%84%E6%84%8F%E4%B9%89\" class=\"anchor\" aria-hidden=\"true\"><span class=\"octicon octicon-link\"><\/span><\/a>2. <strong>\u590f\u666e\u6bd4\u7387\u7684\u610f\u4e49<\/strong><\/h3>\n<ul>\n<li>\n<p><strong>\u9ad8\u590f\u666e\u6bd4\u7387<\/strong>\uff1a\u610f\u5473\u7740\u5728\u6bcf\u627f\u62c5\u4e00\u5355\u4f4d\u98ce\u9669\u65f6\uff0c\u6295\u8d44\u8005\u53ef\u4ee5\u83b7\u5f97\u66f4\u9ad8\u7684\u56de\u62a5\u3002\u9ad8\u590f\u666e\u6bd4\u7387\u901a\u5e38\u8868\u793a\u8be5\u6295\u8d44\u7ec4\u5408\u7684\u98ce\u9669\u56de\u62a5\u6bd4\u9ad8\uff0c\u8868\u73b0\u51fa\u8f83\u597d\u7684\u98ce\u9669\u8c03\u6574\u540e\u6536\u76ca\u3002<\/p>\n<\/li>\n<li>\n<p><strong>\u4f4e\u590f\u666e\u6bd4\u7387<\/strong>\uff1a\u610f\u5473\u7740\u98ce\u9669\u8f83\u9ad8\u4f46\u56de\u62a5\u76f8\u5bf9\u8f83\u4f4e\uff0c\u6216\u8005\u8bf4\uff0c\u627f\u62c5\u76f8\u540c\u7684\u98ce\u9669\u5374\u672a\u80fd\u5e26\u6765\u8db3\u591f\u7684\u56de\u62a5\u3002\u4f4e\u590f\u666e\u6bd4\u7387\u53cd\u6620\u51fa\u6295\u8d44\u7ec4\u5408\u53ef\u80fd\u6ca1\u6709\u6709\u6548\u5730\u7ba1\u7406\u98ce\u9669\u3002<\/p>\n<\/li>\n<\/ul>\n<h3><a id=\"3%E5%A6%82%E4%BD%95%E7%90%86%E8%A7%A3%E5%A4%8F%E6%99%AE%E6%AF%94%E7%8E%87\" class=\"anchor\" aria-hidden=\"true\"><span class=\"octicon octicon-link\"><\/span><\/a>3. <strong>\u5982\u4f55\u7406\u89e3\u590f\u666e\u6bd4\u7387<\/strong><\/h3>\n<ul>\n<li><strong>\u590f\u666e\u6bd4\u7387\u5927\u4e8e1<\/strong>\uff1a\u8868\u793a\u8be5\u6295\u8d44\u7ec4\u5408\u7684\u98ce\u9669\u8c03\u6574\u540e\u56de\u62a5\u662f\u6b63\u5411\u7684\uff0c\u4e14\u56de\u62a5\u9ad8\u4e8e\u65e0\u98ce\u9669\u5229\u7387\u3002\u6570\u503c\u8d8a\u5927\uff0c\u8868\u793a\u98ce\u9669\u56de\u62a5\u8d8a\u9ad8\uff0c\u6295\u8d44\u7684\u6027\u4ef7\u6bd4\u8d8a\u597d\u3002<\/li>\n<li><strong>\u590f\u666e\u6bd4\u7387\u7b49\u4e8e1<\/strong>\uff1a\u610f\u5473\u7740\u6295\u8d44\u7ec4\u5408\u7684\u56de\u62a5\u7b49\u4e8e\u627f\u53d7\u7684\u98ce\u9669\uff0c\u8868\u660e\u98ce\u9669\u56de\u62a5\u5e73\u8861\u3002<\/li>\n<li><strong>\u590f\u666e\u6bd4\u7387\u5c0f\u4e8e1<\/strong>\uff1a\u8868\u793a\u98ce\u9669\u56de\u62a5\u8f83\u4f4e\uff0c\u53ef\u80fd\u9700\u8981\u91cd\u65b0\u8003\u8651\u8be5\u6295\u8d44\u7ec4\u5408\u3002<\/li>\n<\/ul>\n<h3><a id=\"4%E5%A4%8F%E6%99%AE%E6%AF%94%E7%8E%87%E7%9A%84%E4%BC%98%E7%BC%BA%E7%82%B9\" class=\"anchor\" aria-hidden=\"true\"><span class=\"octicon octicon-link\"><\/span><\/a>4. <strong>\u590f\u666e\u6bd4\u7387\u7684\u4f18\u7f3a\u70b9<\/strong><\/h3>\n<p><strong>\u4f18\u70b9<\/strong>\uff1a<\/p>\n<ul>\n<li><strong>\u7b80\u6d01\u76f4\u89c2<\/strong>\uff1a\u590f\u666e\u6bd4\u7387\u662f\u4e00\u4e2a\u7efc\u5408\u6027\u7684\u8861\u91cf\u6307\u6807\uff0c\u80fd\u591f\u76f4\u63a5\u53cd\u6620\u6295\u8d44\u7684\u98ce\u9669\u4e0e\u6536\u76ca\u5173\u7cfb\u3002<\/li>\n<li><strong>\u98ce\u9669\u8c03\u6574\u540e\u7684\u56de\u62a5<\/strong>\uff1a\u5b83\u4e0d\u4ec5\u5173\u6ce8\u56de\u62a5\u672c\u8eab\uff0c\u8fd8\u8003\u8651\u4e86\u98ce\u9669\u56e0\u7d20\uff0c\u80fd\u591f\u5e2e\u52a9\u6295\u8d44\u8005\u66f4\u597d\u5730\u8bc4\u4f30\u6295\u8d44\u7684\u6027\u4ef7\u6bd4\u3002<\/li>\n<\/ul>\n<p><strong>\u7f3a\u70b9<\/strong>\uff1a<\/p>\n<ul>\n<li><strong>\u4f9d\u8d56\u4e8e\u6807\u51c6\u5dee<\/strong>\uff1a\u590f\u666e\u6bd4\u7387\u4f7f\u7528\u6807\u51c6\u5dee\u6765\u8861\u91cf\u98ce\u9669\uff0c\u800c\u6807\u51c6\u5dee\u662f\u4e00\u79cd\u5bf9\u79f0\u7684\u98ce\u9669\u5ea6\u91cf\uff0c\u5b83\u5e76\u6ca1\u6709\u533a\u5206\u5411\u4e0a\u6ce2\u52a8\u548c\u5411\u4e0b\u6ce2\u52a8\u7684\u98ce\u9669\u3002\u5728\u5b9e\u9645\u5e94\u7528\u4e2d\uff0c\u4e00\u4e9b\u6295\u8d44\u8005\u53ef\u80fd\u66f4\u5173\u6ce8\u4e0b\u884c\u98ce\u9669\uff0c\u800c\u590f\u666e\u6bd4\u7387\u5bf9\u8fd9\u79cd\u4e0b\u884c\u98ce\u9669\u7684\u53cd\u5e94\u8f83\u5f31\u3002<\/li>\n<li><strong>\u5047\u8bbe\u6b63\u6001\u5206\u5e03<\/strong>\uff1a\u590f\u666e\u6bd4\u7387\u5047\u8bbe\u6295\u8d44\u56de\u62a5\u670d\u4ece\u6b63\u6001\u5206\u5e03\uff0c\u4f46\u5b9e\u9645\u5e02\u573a\u4e2d\u7684\u56de\u62a5\u5f80\u5f80\u662f\u975e\u6b63\u6001\u5206\u5e03\uff0c\u7279\u522b\u662f\u5728\u6781\u7aef\u5e02\u573a\u60c5\u51b5\u4e0b\u3002<\/li>\n<\/ul>\n<h3><a id=\"5%E5%A4%8F%E6%99%AE%E6%AF%94%E7%8E%87%E7%9A%84%E5%AE%9E%E9%99%85%E5%BA%94%E7%94%A8\" class=\"anchor\" aria-hidden=\"true\"><span class=\"octicon octicon-link\"><\/span><\/a>5. <strong>\u590f\u666e\u6bd4\u7387\u7684\u5b9e\u9645\u5e94\u7528<\/strong><\/h3>\n<p>\u6295\u8d44\u8005\u548c\u57fa\u91d1\u7ecf\u7406\u901a\u5e38\u4f7f\u7528\u590f\u666e\u6bd4\u7387\u6765\u6bd4\u8f83\u4e0d\u540c\u6295\u8d44\u7ec4\u5408\u6216\u57fa\u91d1\u7684\u98ce\u9669\u8c03\u6574\u540e\u56de\u62a5\u3002\u4e00\u4e2a\u590f\u666e\u6bd4\u7387\u8f83\u9ad8\u7684\u6295\u8d44\u7ec4\u5408\uff0c\u901a\u5e38\u88ab\u8ba4\u4e3a\u662f\u66f4\u597d\u7684\u9009\u62e9\uff0c\u5c24\u5176\u662f\u5728\u540c\u7b49\u56de\u62a5\u60c5\u51b5\u4e0b\uff0c\u80fd\u591f\u63d0\u4f9b\u8f83\u4f4e\u7684\u98ce\u9669\u3002<\/p>\n<p>\u4f8b\u5982\uff0c\u5047\u8bbe\u4f60\u6709\u4e24\u4e2a\u6295\u8d44\u7ec4\u5408\uff1a<\/p>\n<ul>\n<li>\u6295\u8d44\u7ec4\u5408A\u7684\u5e74\u56de\u62a5\u7387\u4e3a12%\uff0c\u6807\u51c6\u5dee\u4e3a10%\u3002<\/li>\n<li>\u6295\u8d44\u7ec4\u5408B\u7684\u5e74\u56de\u62a5\u7387\u4e3a15%\uff0c\u6807\u51c6\u5dee\u4e3a20%\u3002<\/li>\n<\/ul>\n<p>\u5982\u679c\u65e0\u98ce\u9669\u5229\u7387\u4e3a2%\uff0c\u5219\uff1a<\/p>\n<p><img decoding=\"async\" src=\"https:\/\/zhuxinyong.com\/wp-content\/uploads\/2025\/02\/17396803376494.jpg\" alt=\"\" \/><\/p>\n<p>\u5c3d\u7ba1\u6295\u8d44\u7ec4\u5408B\u7684\u56de\u62a5\u8f83\u9ad8\uff0c\u4f46\u7531\u4e8e\u5176\u6ce2\u52a8\u6027\u8f83\u5927\uff08\u98ce\u9669\u8f83\u9ad8\uff09\uff0c\u5176\u590f\u666e\u6bd4\u7387\u4f4e\u4e8e\u6295\u8d44\u7ec4\u5408A\u3002\u6295\u8d44\u7ec4\u5408A\u7684\u98ce\u9669\u8c03\u6574\u540e\u56de\u62a5\u66f4\u597d\uff0c\u56e0\u6b64\u5728\u8fd9\u4e24\u8005\u4e4b\u95f4\uff0c\u6295\u8d44\u7ec4\u5408A\u53ef\u80fd\u662f\u66f4\u4f18\u7684\u9009\u62e9\u3002<\/p>\n<h3><a id=\"6%E6%80%BB%E7%BB%93\" class=\"anchor\" aria-hidden=\"true\"><span class=\"octicon octicon-link\"><\/span><\/a>6. <strong>\u603b\u7ed3<\/strong><\/h3>\n<p>\u590f\u666e\u6bd4\u7387\u662f\u8bc4\u4f30\u6295\u8d44\u7ec4\u5408\u98ce\u9669\u4e0e\u56de\u62a5\u5173\u7cfb\u7684\u6709\u6548\u5de5\u5177\uff0c\u80fd\u591f\u5e2e\u52a9\u6295\u8d44\u8005\u5728\u4e0d\u540c\u6295\u8d44\u9009\u62e9\u4e2d\u627e\u5230\u6700\u5177\u6027\u4ef7\u6bd4\u7684\u65b9\u6848\u3002\u9ad8\u590f\u666e\u6bd4\u7387\u610f\u5473\u7740\u6bcf\u5355\u4f4d\u98ce\u9669\u6240\u5e26\u6765\u7684\u56de\u62a5\u66f4\u9ad8\uff0c\u56e0\u6b64\uff0c\u901a\u5e38\u6295\u8d44\u8005\u503e\u5411\u4e8e\u9009\u62e9\u590f\u666e\u6bd4\u7387\u8f83\u9ad8\u7684\u6295\u8d44\u7ec4\u5408\u6216\u57fa\u91d1\u3002<\/p>\n","protected":false},"excerpt":{"rendered":"<p>\u590f\u666e\u6bd4\u7387\uff08Sharpe Ratio\uff09 \u662f\u8861\u91cf\u6295\u8d44\u7ec4\u5408\u6216\u8d44\u4ea7\u7684\u98ce\u9669\u8c03\u6574\u540e\u6536\u76ca\u7684\u91cd\u8981\u6307\u6807\uff0c\u65e8\u5728\u5e2e\u52a9\u6295\u8d44\u8005&#46;&#46;&#46;<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[263],"tags":[264],"class_list":["post-2153","post","type-post","status-publish","format-standard","hentry","category-263","tag-264"],"_links":{"self":[{"href":"https:\/\/zhuxinyong.com\/index.php?rest_route=\/wp\/v2\/posts\/2153","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/zhuxinyong.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/zhuxinyong.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/zhuxinyong.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/zhuxinyong.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=2153"}],"version-history":[{"count":2,"href":"https:\/\/zhuxinyong.com\/index.php?rest_route=\/wp\/v2\/posts\/2153\/revisions"}],"predecessor-version":[{"id":2155,"href":"https:\/\/zhuxinyong.com\/index.php?rest_route=\/wp\/v2\/posts\/2153\/revisions\/2155"}],"wp:attachment":[{"href":"https:\/\/zhuxinyong.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2153"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/zhuxinyong.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2153"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/zhuxinyong.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2153"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}