{"id":569248,"date":"2023-06-30T14:00:56","date_gmt":"2023-06-30T12:00:56","guid":{"rendered":"https:\/\/ftmo.com\/?p=569248"},"modified":"2023-07-19T15:40:36","modified_gmt":"2023-07-19T13:40:36","slug":"sharpeho-pomer-sleduje-nejen-vynosy-ale-i-riziko","status":"publish","type":"post","link":"https:\/\/ftmo.com\/cs\/sharpeho-pomer-sleduje-nejen-vynosy-ale-i-riziko\/","title":{"rendered":"Sharpeho pom\u011br sleduje nejen v\u00fdnosy, ale i riziko"},"content":{"rendered":"

V\u011bt\u0161ina trader\u016f a investor\u016f se p\u0159i hodnocen\u00ed sv\u00e9ho portfolia nebo strategie soust\u0159ed\u00ed pouze na dosa\u017een\u00e9 v\u00fdnosy. \u010casto ale zapom\u00ednaj\u00ed na riziko, kter\u00e9 je s\u00a0dosa\u017een\u00edm dan\u00e9ho v\u00fdnosu spojeno. I proto v\u00a0na\u0161\u00ed aplikaci MetriX najdete nov\u011b tzv. Sharpeho pom\u011br, kter\u00fd posuzuje v\u00fdsledky tradera s\u00a0ohledem na riziko, kter\u00e9 podstupuje.<\/em><\/p>\n

Objektivn\u011b hodnotit \u00fasp\u011b\u0161nost jednotliv\u00fdch investi\u010dn\u00edch n\u00e1stroj\u016f na finan\u010dn\u00edch trz\u00edch je pom\u011brn\u011b slo\u017eit\u00e9. V\u00fdnosnost investi\u010dn\u00edho instrumentu nemus\u00ed vypov\u00eddat nic o tom, s jak\u00fdm rizikem mus\u00ed p\u0159i investici do n\u011bj investor po\u010d\u00edtat.<\/p>\n

Nejde jen o v\u00fdnos<\/h2>\n

Stejn\u00e9 je to u obchodov\u00e1n\u00ed na forexu. Jeden obchodn\u00edk m\u016f\u017ee vyd\u011blat za m\u011bs\u00edc des\u00edtky procent, ale otev\u00edr\u00e1 velk\u00e9 pozice a podstupuje p\u0159itom ne\u00fam\u011brn\u00e9 riziko. Druh\u00fd obchodn\u00edk jede mnohem konzervativn\u011bj\u0161\u00ed p\u0159\u00edstup, neriskuje p\u0159\u00edli\u0161 velk\u00e9 procento sv\u00e9ho \u00fa\u010dtu na jeden obchod, ale tak\u00e9 netrh\u00e1 rekordy ve v\u00fdnosech. Z\u00a0dlouhodob\u00e9ho hlediska v\u0161ak m\u016f\u017ee b\u00fdt druh\u00fd p\u0159\u00edstup efektivn\u011bj\u0161\u00ed a zaj\u00edmav\u011bj\u0161\u00ed.<\/p>\n

I proto pat\u0159\u00ed mezi nejd\u016fle\u017eit\u011bj\u0161\u00ed podm\u00ednky pro zachov\u00e1n\u00ed FTMO Accountu pravidla risk managementu (Maxim\u00e1ln\u00ed ztr\u00e1ta a Maxim\u00e1ln\u00ed denn\u00ed ztr\u00e1ta), a tak\u00e9 proto zav\u00e1d\u00edme do na\u0161\u00ed aplikace MetriX st\u00e1le nov\u00e9 n\u00e1stroje slou\u017e\u00edc\u00ed k\u00a0hodnocen\u00ed \u00fasp\u011b\u0161nosti strategie, kter\u00e9 by mohly pomoci trader\u016fm k\u00a0dosahov\u00e1n\u00ed lep\u0161\u00edch v\u00fdsledk\u016f.<\/p>\n

\"\"<\/a><\/p>\n

Co je Sharpeho pom\u011br<\/h2>\n

Existuje n\u011bkolik ukazatel\u016f, kter\u00e9 berou v\u00a0potaz krom\u011b samotn\u00e9 v\u00fdkonnosti tak\u00e9 riziko a jedn\u00edm z\u00a0t\u011bch zn\u00e1m\u011bj\u0161\u00edch je tzv Sharpeho pom\u011br, nebo tak\u00e9 Sharpe ratio. Vytvo\u0159il jej americk\u00fd ekonom a dr\u017eitel Nobelovy ceny za ekonomii William Sharpe ji\u017e v\u00a0roce 1966. S\u00e1m jej sice nazval \u201epom\u011br v\u00fdnos\u016f k variabilit\u011b\u201c (reward to variability ratio), mezi ekonomy se v\u0161ak nakonec ukazatel roz\u0161\u00ed\u0159il jako Sharpeho pom\u011br a v\u00a0roce 1994 jej autor s\u00e1m aktualizoval. Sharpe ratio se dnes vyu\u017e\u00edv\u00e1 k m\u011b\u0159en\u00ed ziskovosti investice, resp. portfolia (\u010dasto se pou\u017e\u00edv\u00e1 k\u00a0hodnocen\u00ed pod\u00edlov\u00fdch fond\u016f) s\u00a0ohledem na m\u00edru podstupovan\u00e9ho rizika.<\/p>\n

V\u00fdpo\u010det<\/h2>\n

Vzorec pro v\u00fdpo\u010det Sharpeho pom\u011bru je pom\u011brn\u011b jednoduch\u00fd:<\/p>\n

SR = (pr\u016fm\u011brn\u00fd v\u00fdnos \u2013 bezrizikov\u00fd v\u00fdnos) \/ sm\u011brodatn\u00e1 odchylka<\/strong><\/p>\n

Ze vzorce vypl\u00fdv\u00e1, \u017ee Sharpeho pom\u011br vyjad\u0159uje m\u00edru pr\u00e9mie investice k\u00a0podstoupen\u00e9mu riziku. \u010c\u00edm je tedy hodnota vy\u0161\u0161\u00ed, t\u00edm l\u00e9pe. Z\u00e1porn\u00e1 hodnota pak znamen\u00e1, \u017ee investi\u010dn\u00ed n\u00e1stroj nen\u00ed schopen p\u0159ekonat ani v\u00fdnos bezrizikov\u00fdch n\u00e1stroj\u016f, co\u017e je samoz\u0159ejm\u011b \u0161patn\u011b.<\/p>\n

Nam\u00edsto pr\u016fm\u011brn\u00e9ho v\u00fdnosu m\u016f\u017eeme dosadit celkov\u00fd v\u00fdnos za ur\u010dit\u00e9 obdob\u00ed, za bezrizikov\u00fd v\u00fdnos lze pova\u017eovat v\u00fdnos st\u00e1tn\u00edch dluhopis\u016f apod. Sm\u011brodatn\u00e1 odchylka je pak ukazatelem rizika, resp. volatility investi\u010dn\u00edho n\u00e1stroje v\u00a0dan\u00e9m \u010dasov\u00e9m obdob\u00ed.<\/p>\n

\"\"<\/a><\/p>\n

Sharpeho pom\u011br a Forex<\/h2>\n

Sharpeho pom\u011br lze vyu\u017e\u00edvat tak\u00e9 k\u00a0hodnocen\u00ed efektivnosti strategie na forexov\u00e9m trhu, p\u0159i\u010dem\u017e je dobr\u00fdm ukazatelem toho, jestli dosa\u017een\u00fd zisk u dan\u00e9 strategie stoj\u00ed za podstoupen\u00e9 riziko. Na rozd\u00edl od jin\u00fdch investi\u010dn\u00edch aktiv na forexu by bylo slo\u017eit\u00e9 stanovit bezrizikov\u00fd v\u00fdnos. Z\u00a0tohoto d\u016fvodu pou\u017e\u00edv\u00e1me u Sharpeho pom\u011bru v\u00a0r\u00e1mci aplikace Metrix<\/a> pouze v\u00fdnos za dan\u00e9 obdob\u00ed. Ten se pak vyd\u011bl\u00ed volatilitou, kterou reprezentuje sm\u011brodatn\u00e1 odchylka v\u00fdnos\u016f na dan\u00e9m \u00fa\u010dtu. Jeliko\u017e po\u010d\u00edt\u00e1me s\u00a0maxim\u00e1ln\u00edm obdob\u00edm dvou m\u011bs\u00edc\u016f, bereme do \u00favahy sm\u011brodatnou odchylku denn\u00edch v\u00fdnos\u016f.<\/p>\n

\"\"<\/p>\n

Pokud maj\u00ed dv\u011b r\u016fzn\u00e9 strategie stejn\u00fd v\u00fdnos, ale r\u016fzn\u00e9 hodnoty Sharpeho pom\u011bru, m\u016f\u017ee to znamenat, \u017ee strategie s vy\u0161\u0161\u00edm Sharpeho pom\u011brem m\u00e1 ni\u017e\u0161\u00ed riziko. Co\u017e je ten lep\u0161\u00ed p\u0159\u00edpad, co\u017e je vid\u011bt i na na\u0161em p\u0159\u00edkladu v\u00fd\u0161e. Obchodn\u00edk sice pat\u0159\u00ed mezi scalpery, kte\u0159\u00ed otev\u0159ou velk\u00fd po\u010det pozic, ale riziko m\u00e1 pod kontrolou, m\u00e1 docela konzistentn\u00ed p\u0159\u00edstup<\/a> a dok\u00e1zal vyd\u011blat v\u00edce ne\u017e 20 %.<\/p>\n

V m\u00e9n\u011b ide\u00e1ln\u00edm p\u0159\u00edpad\u011b lze vy\u0161\u0161\u00ed hodnotu Sharpeho pom\u011bru dos\u00e1hnou nav\u00fd\u0161en\u00edm v\u00fdnos\u016f, ale to v\u011bt\u0161inou znamen\u00e1 podstupov\u00e1n\u00ed vy\u0161\u0161\u00edho rizika, co\u017e m\u016f\u017ee v\u00e9st k v\u00fdrazn\u011bj\u0161\u00edm propad\u016fm. U FTMO Accountu tak hroz\u00ed v\u011bt\u0161\u00ed riziko poru\u0161en\u00ed Pravidel obchodov\u00e1n\u00ed a vymaz\u00e1n\u00ed \u00fa\u010dtu<\/a>.<\/p>\n

\"\"<\/a><\/p>\n

Nev\u00fdhody<\/h2>\n

Pravd\u011bpodobn\u011b neexistuje ide\u00e1ln\u00ed n\u00e1stroj na m\u011b\u0159en\u00ed v\u00fdkonnost a efektivnosti investice a Sharpeho pom\u011br toho nen\u00ed v\u00fdjimkou. Jednou z\u00a0nev\u00fdhod je skute\u010dnost, \u017ee za jednotliv\u00e9 prom\u011bnn\u00e9 lze dosazovat r\u016fzn\u00e9 hodnoty. V\u00a0klasick\u00e9m proveden\u00ed m\u016f\u017eeme jako bezrizikov\u00fd v\u00fdnos vyu\u017e\u00edvat diskontn\u00ed, nebo depozitn\u00ed sazbu, ve Forexu pak tato hodnota b\u00fdt v\u016fbec nemus\u00ed. To samoz\u0159ejm\u011b ovliv\u0148uje v\u00fdsledky.<\/p>\n

Sharpeho pom\u011br m\u00e1 tak\u00e9 probl\u00e9m s asymetrick\u00fdm rizikem a \u0161patn\u011b hodnot\u00ed maxim\u00e1ln\u00ed v\u00fdkyvy. N\u00e1stroje, kter\u00e9 zaznamenaj\u00ed jedno obdob\u00ed s v\u00fdraznou ztr\u00e1tou budou m\u00edt Sharpeho pom\u011br lep\u0161\u00ed, ne\u017e investi\u010dn\u00ed n\u00e1stroj s pr\u016fm\u011brnou volatilitou (a celkov\u00fd v\u00fdnos maj\u00ed lep\u0161\u00ed). Pro hodnocen\u00ed hedge fond\u016f, nebo opc\u00ed se tedy tento n\u00e1stroj velmi nehod\u00ed.<\/p>\n

Z\u00e1v\u011br<\/h2>\n

Stejn\u011b jako jak\u00fdkoli jin\u00fd podobn\u00fd n\u00e1stroj, ani Sharpeho pom\u011br nen\u00ed v\u0161e\u0159\u00edkaj\u00edc\u00ed ukazatel a je pot\u0159eba jej pou\u017e\u00edvat v\u00a0kombinaci s\u00a0jin\u00fdmi n\u00e1stroji, kter\u00e9 mohou pomoci p\u0159i hodnocen\u00ed efektivnosti portfolia nebo strategie. Ur\u010dit\u011b v\u0161ak jde o zaj\u00edmav\u00fd ukazatel, kter\u00fd investor\u016fm i obchodn\u00edk\u016fm m\u016f\u017ee pomoci p\u0159i vyhodnocov\u00e1n\u00ed jejich strategie a zav\u00e1d\u011bn\u00ed zm\u011bn s\u00a0c\u00edlem zlep\u0161en\u00ed jejich v\u00fdsledk\u016f.<\/p>\n","protected":false},"excerpt":{"rendered":"

V\u011bt\u0161ina trader\u016f a investor\u016f se p\u0159i hodnocen\u00ed sv\u00e9ho portfolia nebo strategie soust\u0159ed\u00ed pouze na dosa\u017een\u00e9 v\u00fdnosy. \u010casto ale zapom\u00ednaj\u00ed na riziko, kter\u00e9 je s\u00a0dosa\u017een\u00edm dan\u00e9ho v\u00fdnosu spojeno. I proto v\u00a0na\u0161\u00ed aplikaci MetriX najdete nov\u011b tzv. Sharpeho pom\u011br, kter\u00fd posuzuje v\u00fdsledky tradera s\u00a0ohledem na riziko, kter\u00e9 podstupuje. Objektivn\u011b hodnotit \u00fasp\u011b\u0161nost jednotliv\u00fdch investi\u010dn\u00edch n\u00e1stroj\u016f na finan\u010dn\u00edch trz\u00edch […]<\/p>\n","protected":false},"author":44,"featured_media":569444,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"inline_featured_image":false,"footnotes":""},"categories":[88909],"tags":[],"class_list":["post-569248","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-rady-a-tipy"],"acf":[],"yoast_head":"\nSharpeho pom\u011br sleduje nejen v\u00fdnosy, ale i riziko | FTMO<\/title>\n<meta name=\"description\" content=\"Sharpeho pom\u011br, Sharpe ratio se vyu\u017e\u00edv\u00e1 k m\u011b\u0159en\u00ed ziskovosti investice, resp. portfolia s\u00a0ohledem na m\u00edru podstupovan\u00e9ho rizika.\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link 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