{"id":31355,"date":"2023-12-07T10:34:16","date_gmt":"2023-12-07T10:34:16","guid":{"rendered":"https:\/\/masterskills.org\/blog\/do-lech-rui-ro-thua-lo-downside-deviation-la-gi-vi-du.html"},"modified":"2023-12-23T08:01:32","modified_gmt":"2023-12-23T01:01:32","slug":"do-lech-rui-ro-thua-lo-downside-deviation-la-gi-vi-du","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/do-lech-rui-ro-thua-lo-downside-deviation-la-gi-vi-du.html","title":{"rendered":"\u0110\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7 (Downside Deviation) l\u00e0 g\u00ec? V\u00ed d\u1ee5"},"content":{"rendered":"
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Hi\u0300nh minh ho\u0323a. Ngu\u00f4\u0300n: Thebalance.com<\/i><\/p>\n<\/div>\n<\/div>\n

\u0110\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7<\/font><\/h2>\n

Kha\u0301i ni\u00ea\u0323m<\/b><\/p>\n

\u0110\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7<\/b>\u00a0trong ti\u00ea\u0301ng Anh la\u0300 Downside Deviation<\/b>.<\/p>\n

\u0110\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7<\/i> l\u00e0 th\u01b0\u1edbc \u0111o r\u1ee7i ro thua l\u1ed7, khi l\u1ee3i nhu\u1eadn gi\u1ea3m d\u01b0\u1edbi ng\u01b0\u1ee1ng t\u1ed1i thi\u1ec3u ho\u1eb7c l\u1ee3i nhu\u1eadn t\u1ed1i thi\u1ec3u c\u00f3 th\u1ec3 ch\u1ea5p nh\u1eadn \u0111\u01b0\u1ee3c (MAR).
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\u0110\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7<\/b> \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng trong t\u00ednh to\u00e1n\u00a0t\u1ec9 s\u1ed1 Sortino, m\u1ed9t th\u01b0\u1edbc \u0111o l\u1ee3i nhu\u1eadn \u0111\u01b0\u1ee3c \u0111i\u1ec1u ch\u1ec9nh theo r\u1ee7i ro. T\u1ec9 s\u1ed1 Sortino gi\u1ed1ng nh\u01b0 t\u1ec9 l\u1ec7 Sharpe, ngo\u1ea1i tr\u1eeb vi\u1ec7c thay th\u1ebf \u0111\u1ed9 l\u1ec7ch chu\u1ea9n b\u1eb1ng \u0111\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7.\u00a0<\/p>\n

\u0110\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7 \u0111o l\u01b0\u1eddng r\u1ee7i ro thua l\u1ed7 hay r\u1ee7i ro l\u1ee3i nhu\u1eadn gi\u1ea3m xu\u1ed1ng d\u01b0\u1edbi ng\u01b0\u1ee1ng l\u1ee3i nhu\u1eadn t\u1ed1i thi\u1ec3u hay l\u1ee3i nhu\u1eadn t\u1ed1i thi\u1ec3u c\u00f3 th\u1ec3 ch\u1ea5p nh\u1eadn (MAR).\u00a0<\/p>\n

\u0110\u1eb7c \u0111i\u1ec3m \u0111\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7<\/font><\/h3>\n

\u0110\u1ed9 l\u1ec7ch chu\u1ea9n, th\u01b0\u1edbc \u0111o r\u1ee7i ro \u0111\u1ea7u t\u01b0 \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng r\u1ed9ng r\u00e3i nh\u1ea5t c\u00f3 m\u1ed9t s\u1ed1 h\u1ea1n ch\u1ebf nh\u01b0 n\u00f3 bao h\u00e0m t\u1ea5t c\u1ea3 c\u00e1c bi\u1ebfn \u0111\u1ed9ng so v\u1edbi m\u1ee9c gi\u00e1 tr\u1ecb trung b\u00ecnh b\u1ea5t k\u1ec3 bi\u1ebfn \u0111\u1ed9ng l\u00e0 t\u00edch c\u1ef1c hay ti\u00eau c\u1ef1c, \u0111\u1ed9 l\u1ec7ch chu\u1ea9n xem ch\u00fang nh\u01b0 nhau. Tuy nhi\u00ean, c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 th\u01b0\u1eddng quan t\u00e2m \u0111\u1ebfn s\u1ef1 ph\u00e2n k\u00ec ti\u00eau c\u1ef1c h\u01a1n so v\u1edbi nh\u1eefng t\u00edch c\u1ef1c, t\u1ee9c l\u00e0 r\u1ee7i ro gi\u1ea3m gi\u00e1 l\u00e0 m\u1ed9t m\u1ed1i quan t\u00e2m l\u1edbn h\u01a1n \u0111\u1ed1i v\u1edbi c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0.\u00a0<\/p>\n

\u0110\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7<\/b> gi\u1ea3i quy\u1ebft v\u1ea5n \u0111\u1ec1 n\u00e0y b\u1eb1ng c\u00e1ch ch\u1ec9 t\u1eadp trung v\u00e0o r\u1ee7i ro thua l\u1ed7 hay c\u00e1c bi\u1ebfn \u0111\u1ed9ng ti\u00eau c\u1ef1c. M\u1ed9t \u01b0u \u0111i\u1ec3m kh\u00e1c so v\u1edbi \u0111\u1ed9 l\u1ec7ch chu\u1ea9n l\u00e0 \u0111\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7 c\u0169ng c\u00f3 th\u1ec3 \u0111\u01b0\u1ee3c \u0111i\u1ec1u ch\u1ec9nh theo c\u00e1c m\u1ee5c ti\u00eau v\u00e0 h\u1ed3 s\u01a1 r\u1ee7i ro c\u1ee5 th\u1ec3 c\u1ee7a c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 kh\u00e1c nhau v\u1edbi m\u1ee9c l\u1ee3i nhu\u1eadn t\u1ed1i thi\u1ec3u ch\u1ea5p nh\u1eadn \u0111\u01b0\u1ee3c kh\u00e1c nhau.<\/p>\n

V\u00ed d\u1ee5 v\u1ec1 \u0111\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7<\/font><\/h3>\n

M\u1ee5c \u0111\u00edch c\u1ee7a t\u1ec9 s\u1ed1 Sortino v\u00e0 t\u1ec9 l\u1ec7 Sharpe l\u00e0 cho ph\u00e9p c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 so s\u00e1nh c\u00e1c kho\u1ea3n \u0111\u1ea7u t\u01b0 c\u00f3 m\u1ee9c \u0111\u1ed9 bi\u1ebfn \u0111\u1ed9ng kh\u00e1c nhau, c\u1ee5 th\u1ec3 \u0111\u1ed1i v\u1edbi t\u1ec9 s\u1ed1 Sortino l\u00e0 r\u1ee7i ro gi\u1ea3m gi\u00e1.\u00a0<\/p>\n

C\u1ea3 hai t\u1ec9 l\u1ec7 \u0111\u1ec1u nh\u00ecn v\u00e0o l\u1ee3i nhu\u1eadn th\u1eb7ng d\u01b0, hay t\u1ec9 l\u1ec7 ho\u00e0n v\u1ed1n v\u01b0\u1ee3t qu\u00e1 t\u1ec9 l\u1ec7 l\u1ee3i nhu\u1eadn phi r\u1ee7i ro. Ch\u1ee9ng kho\u00e1n kho b\u1ea1c ng\u1eafn h\u1ea1n l\u00e0 \u0111\u1ea1i di\u1ec7n ti\u00eau bi\u1ec3u c\u00f3 l\u00e3i su\u1ea5t phi r\u1ee7i ro<\/b>.\u00a0<\/p>\n

N\u1ebfu hai kho\u1ea3n \u0111\u1ea7u t\u01b0 c\u00f3 c\u00f9ng t\u1ec9 su\u1ea5t l\u1ee3i nhu\u1eadn gi\u1ea3 s\u1eed l\u00e0 10%, nh\u01b0ng m\u1ed9t kho\u1ea3n \u0111\u1ea7u t\u01b0 c\u00f3 \u0111\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7 9% v\u00e0 kho\u1ea3n \u0111\u1ea7u t\u01b0 kh\u00e1c c\u00f3 \u0111\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7 5%.<\/p>\n

Theo b\u1ea1n kho\u1ea3n \u0111\u1ea7u t\u01b0 n\u00e0o s\u1ebd t\u1ed1t h\u01a1n?\u00a0<\/p>\n

N\u1ebfu t\u1ec9 l\u1ec7 phi r\u1ee7i ro l\u00e0 1%, th\u00ec:<\/p>\n

T\u1ec9 s\u1ed1 Sortino cho kho\u1ea3n \u0111\u1ea7u t\u01b0 \u0111\u1ea7u ti\u00ean = (10% – 1%)\/9% = 1.\u00a0<\/p>\n

T\u1ec9 s\u1ed1 Sortino cho kho\u1ea3n \u0111\u1ea7u t\u01b0 th\u1ee9 hai = (10% -1%)\/5% = 2.<\/p>\n

Trong v\u00ed d\u1ee5 n\u00e0y, t\u1ec9 s\u1ed1 Sortino cho th\u1ea5y kho\u1ea3n \u0111\u1ea7u t\u01b0 th\u1ee9 hai t\u1ed1t h\u01a1n.<\/p>\n

(Theo Investopedia<\/i>)<\/p>\n<\/p><\/div>\n","protected":false},"excerpt":{"rendered":"

\n \u0110\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7 (ti\u1ebfng Anh: Downside Deviation) l\u00e0 th\u01b0\u1edbc \u0111o r\u1ee7i ro thua l\u1ed7, khi l\u1ee3i nhu\u1eadn gi\u1ea3m d\u01b0\u1edbi ng\u01b0\u1ee1ng t\u1ed1i thi\u1ec3u ho\u1eb7c l\u1ee3i nhu\u1eadn t\u1ed1i thi\u1ec3u c\u00f3 th\u1ec3 ch\u1ea5p nh\u1eadn \u0111\u01b0\u1ee3c (MAR).\n <\/div>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[417],"tags":[],"_links":{"self":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/31355"}],"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=31355"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/31355\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=31355"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=31355"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=31355"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}