{"id":23957,"date":"2023-12-06T09:01:36","date_gmt":"2023-12-06T09:01:36","guid":{"rendered":"https:\/\/masterskills.org\/blog\/loi-nhuan-dieu-chinh-theo-rui-ro-risk-adjusted-return-la-gi.html"},"modified":"2023-12-22T09:29:50","modified_gmt":"2023-12-22T02:29:50","slug":"loi-nhuan-dieu-chinh-theo-rui-ro-risk-adjusted-return-la-gi","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/loi-nhuan-dieu-chinh-theo-rui-ro-risk-adjusted-return-la-gi.html","title":{"rendered":"L\u1ee3i nhu\u1eadn \u0111i\u1ec1u ch\u1ec9nh theo r\u1ee7i ro (Risk-Adjusted Return) l\u00e0 g\u00ec?"},"content":{"rendered":"<div class=\"vnbcbc-body vceditor-content wi-active\" data-role=\"content\">\n<figure class=\"VCSortableInPreviewMode\" type=\"Photo\" style=\"\">\n<div><\/div><figcaption class=\"PhotoCMS_Caption\">\n<p data-placeholder=\"[Nh\u1eadp ch\u00fa th\u00edch \u1ea3nh]\" class=\"\">H\u00ecnh minh h\u1ecda<\/p>\n<\/figcaption><\/figure>\n<h2><font style=\"line-height: 22px; font-size: 22px;\" color=\"#3d85c6\"><span>L\u1ee3i nhu\u1eadn \u0111i\u1ec1u ch\u1ec9nh theo r\u1ee7i ro<\/span><\/font><\/h2>\n<p><b>Kh\u00e1i ni\u1ec7m<\/b><\/p>\n<p><b><span>L\u1ee3i nhu\u1eadn \u0111i\u1ec1u ch\u1ec9nh theo r\u1ee7i ro<\/span><\/b> trong ti\u1ebfng Anh l\u00e0 <b>Risk-Adjusted Return<\/b>.<\/p>\n<p><b><span>L\u1ee3i nhu\u1eadn \u0111i\u1ec1u ch\u1ec9nh theo r\u1ee7i ro<\/span>\u00a0<\/b>l\u00e0 vi\u1ec7c x\u00e1c \u0111\u1ecbnh l\u1ee3i nhu\u1eadn c\u1ee7a kho\u1ea3n \u0111\u1ea7u t\u01b0 b\u1eb1ng c\u00e1ch \u0111o l\u01b0\u1eddng m\u1ee9c \u0111\u1ed9 r\u1ee7i ro li\u00ean quan \u0111\u1ebfn vi\u1ec7c t\u1ea1o ra l\u1ee3i nhu\u1eadn \u0111\u00f3, th\u01b0\u1eddng \u0111\u01b0\u1ee3c bi\u1ec3u th\u1ecb d\u01b0\u1edbi d\u1ea1ng s\u1ed1 ho\u1eb7c x\u1ebfp h\u1ea1ng. <span>L\u1ee3i nhu\u1eadn \u0111i\u1ec1u ch\u1ec9nh theo r\u1ee7i ro<\/span> \u0111\u01b0\u1ee3c \u00e1p d\u1ee5ng cho ch\u1ee9ng kho\u00e1n ri\u00eang l\u1ebb, qu\u0129 \u0111\u1ea7u t\u01b0 v\u00e0 danh m\u1ee5c \u0111\u1ea7u t\u01b0.<\/p>\n<p>M\u1ed9t s\u1ed1 th\u01b0\u1edbc \u0111o r\u1ee7i ro ph\u1ed5 bi\u1ebfn bao g\u1ed3m\u00a0h\u1ec7 s\u1ed1 Alpha,\u00a0h\u1ec7 s\u1ed1 Beta, h\u1ec7 s\u1ed1 R b\u00ecnh ph\u01b0\u01a1ng (R-Squared),\u00a0\u0111\u1ed9 l\u1ec7ch chu\u1ea9n\u00a0v\u00e0\u00a0t\u1ec9 l\u1ec7 Sharpe. Khi so s\u00e1nh hai ho\u1eb7c nhi\u1ec1u kho\u1ea3n \u0111\u1ea7u t\u01b0 ti\u1ec1m n\u0103ng, m\u1ed9t nh\u00e0 \u0111\u1ea7u t\u01b0 ph\u1ea3i lu\u00f4n s\u1eed d\u1ee5ng c\u00e1c th\u01b0\u1edbc \u0111o r\u1ee7i ro gi\u1ed1ng nhau.<\/p>\n<h3><font style=\"line-height: 22px; font-size: 22px;\" color=\"#3d85c6\">N\u1ed9i dung<\/font><\/h3>\n<p>Theo \u0111\u1ecbnh ngh\u0129a \u0111\u01a1n gi\u1ea3n nh\u1ea5t, <span>l\u1ee3i nhu\u1eadn \u0111i\u1ec1u ch\u1ec9nh theo r\u1ee7i ro<\/span> l\u00e0 l\u1ee3i nhu\u1eadn c\u1ee7a kho\u1ea3n \u0111\u1ea7u t\u01b0 so v\u1edbi m\u1ee9c r\u1ee7i ro c\u1ee7a n\u00f3 trong m\u1ed9t kho\u1ea3ng th\u1eddi gian nh\u1ea5t \u0111\u1ecbnh. N\u1ebfu hai ho\u1eb7c nhi\u1ec1u kho\u1ea3n \u0111\u1ea7u t\u01b0 c\u00f3 c\u00f9ng m\u1ee9c l\u1ee3i nhu\u1eadn trong m\u1ed9t kho\u1ea3ng th\u1eddi gian nh\u1ea5t \u0111\u1ecbnh, kho\u1ea3n \u0111\u1ea7u t\u01b0 n\u00e0o c\u00f3 r\u1ee7i ro th\u1ea5p nh\u1ea5t s\u1ebd c\u00f3 m\u1ee9c l\u00e3i \u0111\u00e3 \u0111i\u1ec1u ch\u1ec9nh r\u1ee7i ro t\u1ed1t h\u01a1n.<\/p>\n<p>Tuy nhi\u00ean, xem x\u00e9t r\u1eb1ng c\u00e1c th\u01b0\u1edbc \u0111o r\u1ee7i ro kh\u00e1c nhau s\u1ebd cho k\u1ebft qu\u1ea3 kh\u00e1c nhau, \u0111i\u1ec1u quan tr\u1ecdng l\u00e0 ph\u1ea3i r\u00f5 r\u00e0ng v\u1ec1 lo\u1ea1i l\u1ee3i nhu\u1eadn \u0111i\u1ec1u ch\u1ec9nh theo r\u1ee7i ro n\u00e0o \u0111ang \u0111\u01b0\u1ee3c xem x\u00e9t.<\/p>\n<p>L\u1ee3i nhu\u1eadn \u0111i\u1ec1u ch\u1ec9nh theo r\u1ee7i ro c\u00f3 t\u00e1c \u0111\u1ed9ng quan tr\u1ecdng \u0111\u1ebfn danh m\u1ee5c \u0111\u1ea7u t\u01b0. \u1ede c\u00e1c th\u1ecb tr\u01b0\u1eddng m\u1ea1nh, m\u1ed9t qu\u0129 c\u00f3 r\u1ee7i ro th\u1ea5p h\u01a1n \u0111i\u1ec3m chu\u1ea9n (benchmark) c\u00f3 th\u1ec3 c\u00f3 l\u1ee3i nhu\u1eadn h\u1ea1n ch\u1ebf v\u00e0 qu\u0129 ch\u1ea5p nh\u1eadn c\u00f3 r\u1ee7i ro cao h\u01a1n so v\u1edbi \u0111i\u1ec3m chu\u1ea9n c\u00f3 th\u1ec3 c\u00f3 l\u1ee3i nhu\u1eadn cao h\u01a1n.<\/p>\n<p>M\u1eb7c d\u00f9 c\u00e1c qu\u0129 ch\u1ea5p nh\u1eadn r\u1ee7i ro cao h\u01a1n c\u00f3 m\u1ee9c l\u1ed7 cao h\u01a1n trong th\u1eddi k\u00ec bi\u1ebfn \u0111\u1ed9ng l\u1edbn, nh\u01b0ng c\u00e1c qu\u0129 n\u00e0y c\u00f3 nhi\u1ec1u kh\u1ea3 n\u0103ng c\u00f3 l\u1ee3i nhu\u1eadn v\u01b0\u1ee3t tr\u1ed9i so v\u1edbi \u0111i\u1ec3m chu\u1ea9n trong to\u00e0n b\u1ed9 chu k\u00ec th\u1ecb tr\u01b0\u1eddng (full market cycles).<\/p>\n<h3><font style=\"line-height: 22px; font-size: 22px;\" color=\"#3d85c6\">V\u00ed d\u1ee5 v\u1ec1 t\u1ec9 l\u1ec7 Treynor<\/font><\/h3>\n<p><b>1. T\u1ec9 l\u1ec7 Treynor<\/b><\/p>\n<p>T\u1ec9 l\u1ec7 Treynor \u0111\u01b0\u1ee3c ph\u00e1t tri\u1ec3n b\u1edfi Jack Treynor, m\u1ed9t nh\u00e0 kinh t\u1ebf h\u1ecdc ng\u01b0\u1eddi M\u1ef9. \u00d4ng c\u0169ng l\u00e0 m\u1ed9t trong nh\u1eefng ng\u01b0\u1eddi ph\u00e1t minh ra M\u00f4 h\u00ecnh \u0111\u1ecbnh gi\u00e1 t\u00e0i s\u1ea3n v\u1ed1n (CAPM).<\/p>\n<p>T\u1ec9 l\u1ec7 Treynor d\u00f9ng \u0111\u1ec3 x\u00e1c \u0111\u1ecbnh m\u1ee9c\u00a0l\u1ee3i nhu\u1eadn th\u1eb7ng d\u01b0\u00a0\u0111\u01b0\u1ee3c t\u1ea1o ra tr\u00ean m\u1ed7i \u0111\u01a1n v\u1ecb r\u1ee7i ro c\u1ee7a m\u1ed9t danh m\u1ee5c \u0111\u1ea7u t\u01b0. R\u1ee7i ro \u0111\u01b0\u1ee3c \u0111\u1ec1 c\u1eadp trong t\u1ec9 l\u1ec7 Treynor l\u00e0 r\u1ee7i ro h\u1ec7 th\u1ed1ng \u0111\u01b0\u1ee3c \u0111o b\u1eb1ng h\u1ec7 s\u1ed1 Beta c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0. T\u1ec9 l\u1ec7 Treynor c\u00e0ng cao th\u00ec c\u00e0ng t\u1ed1t.<\/p>\n<p>C\u00f4ng th\u1ee9c t\u00ednh:<\/p>\n<figure class=\"VCSortableInPreviewMode\" type=\"Photo\" style=\"\">\n<div><\/div><figcaption class=\"PhotoCMS_Caption\">\n<p data-placeholder=\"[Nh\u1eadp ch\u00fa th\u00edch \u1ea3nh]\" class=\"\">C\u00f4ng th\u1ee9c t\u00ednh t\u1ec9 l\u1ec7 Treynor<\/p>\n<\/figcaption><\/figure>\n<p><i>Trong \u0111\u00f3:<\/i><br \/>&#8211; r<sub>p<\/sub>\u00a0: l\u1ee3i nhu\u1eadn c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0<br \/>&#8211; r<sub>f<\/sub>\u00a0 : l\u00e3i su\u1ea5t phi r\u1ee7i ro (th\u01b0\u1eddng l\u00e0 l\u00e3i su\u1ea5t c\u1ee7a t\u00edn phi\u1ebfu kho b\u1ea1c)<br \/>&#8211; \u03b2<sub>p<\/sub>\u00a0: h\u1ec7 s\u1ed1 Beta c\u1ee7a danh m\u1ee5c<\/p>\n<p><b>2. V\u00ed d\u1ee5<\/b><\/p>\n<p>Gi\u1ea3 s\u1eed\u00a0qu\u0129 t\u01b0\u01a1ng h\u1ed7\u00a0A c\u00f3 l\u1ee3i nhu\u1eadn 12% trong n\u0103m qua v\u00e0 c\u00f3 \u0111\u1ed9 l\u1ec7ch chu\u1ea9n l\u00e0 10%. Qu\u0129 t\u01b0\u01a1ng h\u1ed7 B c\u00f3 l\u1ee3i nhu\u1eadn 10% v\u00e0 \u0111\u1ed9 l\u1ec7ch chu\u1ea9n l\u00e0 7%. L\u00e3i su\u1ea5t phi r\u1ee7i ro trong k\u00ec l\u00e0 3% v\u00e0 Beta c\u1ee7a c\u1ea3 hai qu\u0129 l\u00e0 0.75.<\/p>\n<p>T\u1ec9 l\u1ec7 Treynor \u0111\u01b0\u1ee3c t\u00ednh nh\u01b0 sau:<\/p>\n<p>Qu\u0129 t\u01b0\u01a1ng h\u1ed7 A: (12% &#8211; 3%) \/ 0,75 = 0,12<\/p>\n<p>Qu\u0129 t\u01b0\u01a1ng h\u1ed7 B: (10% &#8211; 3%) \/ 0,75 = 0,09<\/p>\n<p>T\u1eeb k\u1ebft qu\u1ea3 tr\u00ean ta th\u1ea5y, qu\u0129 A c\u00f3 t\u1ec9 l\u1ec7 Treynor cao h\u01a1n, c\u00f3 ngh\u0129a l\u00e0 qu\u0129 \u0111ang ki\u1ebfm \u0111\u01b0\u1ee3c nhi\u1ec1u ti\u1ec1n l\u00e3i tr\u00ean m\u1ed7i \u0111\u01a1n v\u1ecb r\u1ee7i ro h\u1ec7 th\u1ed1ng h\u01a1n so v\u1edbi qu\u0129 B.<\/p>\n<p>(Ngu\u1ed3n tham kh\u1ea3o: <i>Investopedia<\/i>)<\/p>\n<\/p><\/div>\n","protected":false},"excerpt":{"rendered":"<div class=\"vnbcbc-sapo\" data-role=\"sapo\">\n                            L\u1ee3i nhu\u1eadn \u0111i\u1ec1u ch\u1ec9nh theo r\u1ee7i ro (ti\u1ebfng Anh: Risk-Adjusted Return) l\u00e0 vi\u1ec7c x\u00e1c \u0111\u1ecbnh l\u1ee3i nhu\u1eadn c\u1ee7a kho\u1ea3n \u0111\u1ea7u t\u01b0 b\u1eb1ng c\u00e1ch \u0111o l\u01b0\u1eddng m\u1ee9c \u0111\u1ed9 r\u1ee7i ro li\u00ean quan \u0111\u1ebfn vi\u1ec7c t\u1ea1o ra l\u1ee3i nhu\u1eadn \u0111\u00f3, th\u01b0\u1eddng \u0111\u01b0\u1ee3c bi\u1ec3u th\u1ecb d\u01b0\u1edbi d\u1ea1ng s\u1ed1 ho\u1eb7c x\u1ebfp h\u1ea1ng.\n                        <\/div>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[414],"tags":[],"_links":{"self":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/23957"}],"collection":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/comments?post=23957"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/23957\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=23957"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=23957"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=23957"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}