{"id":31356,"date":"2023-12-07T10:34:21","date_gmt":"2023-12-07T10:34:21","guid":{"rendered":"https:\/\/masterskills.org\/blog\/ti-so-sortino-sortino-ratio-la-gi-cong-thuc-va-vi-du.html"},"modified":"2023-12-23T08:01:33","modified_gmt":"2023-12-23T01:01:33","slug":"ti-so-sortino-sortino-ratio-la-gi-cong-thuc-va-vi-du","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/ti-so-sortino-sortino-ratio-la-gi-cong-thuc-va-vi-du.html","title":{"rendered":"T\u1ec9 s\u1ed1 Sortino (Sortino Ratio) l\u00e0 g\u00ec? C\u00f4ng th\u1ee9c v\u00e0 v\u00ed d\u1ee5"},"content":{"rendered":"
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Hi\u0300nh minh ho\u0323a. Ngu\u00f4\u0300n: stockbook<\/i><\/p>\n<\/div>\n<\/div>\n

T\u1ec9 s\u1ed1 Sortino<\/font><\/h2>\n

Kha\u0301i ni\u1ec7<\/span>m<\/b><\/p>\n

T\u1ec9 s\u1ed1 Sortino<\/b> trong ti\u00ea\u0301ng Anh la\u0300 Sortino Ratio<\/b>.<\/p>\n

T\u1ec9 s\u1ed1 Sortino<\/i> l\u00e0 m\u1ed9t bi\u1ebfn th\u1ec3 c\u1ee7a t\u1ec9 l\u1ec7 Sharpe ph\u00e2n bi\u1ec7t bi\u1ebfn \u0111\u1ed9ng c\u00f3 h\u1ea1i v\u1edbi bi\u1ebfn \u0111\u1ed9ng t\u1ed5ng th\u1ec3 b\u1eb1ng c\u00e1ch s\u1eed d\u1ee5ng \u0111\u1ed9 l\u1ec7ch chu\u1ea9n c\u1ee7a t\u00e0i s\u1ea3n c\u00f3 l\u1ee3i nhu\u1eadn danh m\u1ee5c \u0111\u1ea7u t\u01b0 \u00e2m.<\/p>\n

T\u1ec9 s\u1ed1 Sortino<\/b> l\u1ea5y l\u1ee3i nhu\u1eadn c\u1ee7a m\u1ed9t t\u00e0i s\u1ea3n ho\u1eb7c m\u1ed9t danh m\u1ee5c \u0111\u1ea7u t\u01b0 v\u00e0 tr\u1eeb l\u00e3i su\u1ea5t phi r\u1ee7i ro, sau \u0111\u00f3 chia k\u1ebft qu\u1ea3 \u0111\u00f3 cho\u00a0\u0111\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7\u00a0c\u1ee7a t\u00e0i s\u1ea3n. T\u1ec9 s\u1ed1 n\u00e0y \u0111\u01b0\u1ee3c \u0111\u1eb7t theo t\u00ean c\u1ee7a Frank A. Sortino.<\/p>\n

C\u00f4ng th\u1ee9c t\u00ednh t\u1ec9 s\u1ed1 Sortino l\u00e0:<\/p>\n

T\u1ec9 s\u1ed1 Sortino = (Rp<\/sub> \u2013 rf<\/sub>)\/\u03c3d<\/sub><\/b><\/p>\n

Trong \u0111\u00f3:<\/p>\n

Rp<\/sub> l\u00e0 l\u1ee3i nhu\u1eadn danh m\u1ee5c \u0111\u1ea7u t\u01b0 th\u1ef1c t\u1ebf ho\u1eb7c d\u1ef1 ki\u1ebfn<\/p>\n

rf<\/sub> l\u00e0 l\u00e3i su\u1ea5t phi r\u1ee7i ro<\/p>\n

\u03c3d<\/sub> l\u00e0 \u0111\u1ed9 l\u1ec7ch chu\u1ea9n c\u1ee7a r\u1ee7i ro thua l\u1ed7<\/p>\n

T\u1ec9 s\u1ed1 Sortino<\/b> l\u00e0 m\u1ed9t c\u00f4ng c\u1ee5 h\u1eefu \u00edch cho c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0, nh\u00e0 ph\u00e2n t\u00edch v\u00e0 nh\u00e0 qu\u1ea3n l\u00ed danh m\u1ee5c \u0111\u1ea7u t\u01b0 \u0111\u00e1nh gi\u00e1 l\u1ee3i t\u1ee9c \u0111\u1ea7u t\u01b0 v\u1edbi m\u1ed9t m\u1ee9c \u0111\u1ed9 r\u1ee7i ro x\u1ea5u nh\u1ea5t \u0111\u1ecbnh. Do t\u1ec9 l\u1ec7 n\u00e0y ch\u1ec9 s\u1eed d\u1ee5ng \u0111\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7 l\u00e0m th\u01b0\u1edbc \u0111o r\u1ee7i ro, n\u00ean n\u00f3 gi\u1ea3i quy\u1ebft v\u1ea5n \u0111\u1ec1 khi s\u1eed d\u1ee5ng r\u1ee7i ro t\u1ed5ng th\u1ec3 hay \u0111\u1ed9 l\u1ec7ch chu\u1ea9n, \u0111i\u1ec1u n\u00e0y r\u1ea5t quan tr\u1ecdng v\u00ec bi\u1ebfn \u0111\u1ed9ng t\u00edch c\u1ef1c c\u00f3 l\u1ee3i cho nh\u00e0 \u0111\u1ea7u t\u01b0 v\u00e0 kh\u00f4ng ph\u1ea3i l\u00e0 y\u1ebfu t\u1ed1 m\u00e0 h\u1ea7u h\u1ebft c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 e ng\u1ea1i.<\/p>\n

V\u00ed d\u1ee5 v\u1ec1 t\u1ec9 s\u1ed1 Sortino<\/font><\/h3>\n

C\u0169ng gi\u1ed1ng nh\u01b0 t\u1ec9 l\u1ec7 Sharpe<\/b>, gi\u00e1 tr\u1ecb t\u1ec9 s\u1ed1 Sortino c\u00e0ng cao c\u00e0ng t\u1ed1t. Khi xem x\u00e9t hai kho\u1ea3n \u0111\u1ea7u t\u01b0 t\u01b0\u01a1ng t\u1ef1 nhau, m\u1ed9t nh\u00e0 \u0111\u1ea7u t\u01b0 h\u1ee3p l\u00ed s\u1ebd th\u00edch m\u1ed9t kho\u1ea3n \u0111\u1ea7u t\u01b0 c\u00f3 t\u1ec9 s\u1ed1 Sortino cao h\u01a1n b\u1edfi v\u00ec \u0111i\u1ec1u \u0111\u00f3 c\u00f3 ngh\u0129a l\u00e0 kho\u1ea3n \u0111\u1ea7u t\u01b0 \u0111ang ki\u1ebfm \u0111\u01b0\u1ee3c nhi\u1ec1u ti\u1ec1n l\u00e3i h\u01a1n tr\u00ean m\u1ed7i \u0111\u01a1n v\u1ecb r\u1ee7i ro x\u1ea5u m\u00e0 n\u00f3 ph\u1ea3i ch\u1ecbu.<\/p>\n

V\u00ed d\u1ee5: gi\u1ea3 s\u1eed Qu\u0129 t\u01b0\u01a1ng h\u1ed7 X c\u00f3 t\u1ec9 l\u1ec7 ho\u00e0n v\u1ed1n h\u00e0ng n\u0103m l\u00e0 12% v\u00e0 \u0111\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7 l\u00e0 10%. Qu\u0129 t\u01b0\u01a1ng h\u1ed7 Z c\u00f3 l\u1ee3i nhu\u1eadn h\u00e0ng n\u0103m l\u00e0 10% v\u00e0 \u0111\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7 l\u00e0 7%. T\u1ec9 l\u1ec7 l\u00e3i su\u1ea5t phi r\u1ee7i ro l\u00e0 2.5%. T\u1ec9 s\u1ed1 Sortino cho c\u1ea3 hai qu\u0129 s\u1ebd \u0111\u01b0\u1ee3c t\u00ednh nh\u01b0 sau:<\/p>\n

T\u1ec9 s\u1ed1 Sortino c\u1ee7a Qu\u0129 t\u01b0\u01a1ng h\u1ed7 X = (12% – 2.5%)\/ 10% = 0.95<\/p>\n

T\u1ec9 s\u1ed1 Sortino c\u1ee7a Qu\u0129 t\u01b0\u01a1ng h\u1ed7 Z = (10% – 2.5%)\/ 7% = 1.07<\/p>\n

M\u1eb7c d\u00f9 Qu\u0129 t\u01b0\u01a1ng h\u1ed7 X c\u00f3 t\u1ec9 su\u1ea5t l\u1ee3i nhu\u1eadn cao h\u01a1n 2%, nh\u01b0ng n\u00f3 kh\u00f4ng ki\u1ebfm \u0111\u01b0\u1ee3c l\u1ee3i nhu\u1eadn \u0111\u00f3 hi\u1ec7u qu\u1ea3 nh\u01b0 Qu\u0129 t\u01b0\u01a1ng h\u1ed7 Z, ch\u1ee9ng minh b\u1edfi c\u00e1c \u0111\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7 c\u1ee7a h\u1ecd. D\u1ef1a tr\u00ean k\u1ebft qu\u1ea3 n\u00e0y, Qu\u0129 t\u01b0\u01a1ng h\u1ed7 Z l\u00e0 l\u1ef1a ch\u1ecdn \u0111\u1ea7u t\u01b0 t\u1ed1t h\u01a1n.<\/p>\n

M\u1eb7c d\u00f9 t\u1ec9 l\u1ec7 l\u1ee3i nhu\u1eadn phi r\u1ee7i ro \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng ph\u1ed5 bi\u1ebfn h\u01a1n, c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 v\u1eabn c\u00f3 th\u1ec3 s\u1eed d\u1ee5ng l\u1ee3i nhu\u1eadn k\u00ec v\u1ecdng trong t\u00ednh to\u00e1n. \u0110\u1ec3 gi\u1eef cho c\u00f4ng th\u1ee9c \u0111\u01b0\u1ee3c chu\u1ea9n x\u00e1c, nh\u00e0 \u0111\u1ea7u t\u01b0 n\u00ean nh\u1ea5t qu\u00e1n s\u1eed d\u1ee5ng m\u1ed9t lo\u1ea1i l\u1ee3i nhu\u1eadn.<\/p>\n

S\u1ef1 kh\u00e1c bi\u1ec7t gi\u1eefa t\u1ec9 s\u1ed1 Sortino v\u00e0 t\u1ec9 l\u1ec7 Sharpe<\/font><\/h3>\n

T\u1ec9 s\u1ed1 Sortino<\/b> c\u1ea3i thi\u1ec7n t\u1ec9 l\u1ec7 Sharpe b\u1eb1ng c\u00e1ch c\u00e1ch li bi\u1ebfn \u0111\u1ed9ng ti\u00eau c\u1ef1c hay bi\u1ebfn \u0111\u1ed9ng \u00e2m kh\u1ecfi bi\u1ebfn \u0111\u1ed9ng t\u1ed5ng th\u1ec3 b\u1eb1ng c\u00e1ch chia l\u1ee3i nhu\u1eadn th\u1eb7ng d\u01b0 cho \u0111\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7 thay v\u00ec \u0111\u1ed9 l\u1ec7ch chu\u1ea9n c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0 ho\u1eb7c t\u00e0i s\u1ea3n.<\/p>\n

T\u1ec9 l\u1ec7 Sharpe bao h\u00e0m c\u1ea3 r\u1ee7i ro t\u1ed1t mang l\u1ea1i l\u1ee3i nhu\u1eadn t\u00edch c\u1ef1c cho c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 v\u00e0 xem n\u00f3 nh\u01b0 r\u1ee7i ro ti\u00eau c\u1ef1c, l\u00e0 m\u1ed1i h\u1ea1i \u0111\u1ebfn danh m\u1ee5c \u0111\u1ea7u t\u01b0 hay t\u00e0i s\u1ea3n. Tuy nhi\u00ean, vi\u1ec7c s\u1eed d\u1ee5ng t\u1ec9 l\u1ec7 n\u00e0o s\u1ebd t\u00f9y thu\u1ed9c v\u00e0o vi\u1ec7c nh\u00e0 \u0111\u1ea7u t\u01b0 mu\u1ed1n t\u1eadp trung v\u00e0o \u0111\u1ed9 l\u1ec7ch t\u1ed5ng th\u1ec3 (\u0111\u1ed9 l\u1ec7ch chu\u1ea9n) hay l\u00e0 ch\u1ec9 \u0111\u1ed9 l\u1ec7ch r\u1ee7i ro thua l\u1ed7.<\/p>\n

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

\n T\u1ec9 s\u1ed1 Sortino (ti\u1ebfng Anh: Sortino Ratio) l\u00e0 m\u1ed9t bi\u1ebfn th\u1ec3 c\u1ee7a t\u1ec9 l\u1ec7 Sharpe ph\u00e2n bi\u1ec7t bi\u1ebfn \u0111\u1ed9ng c\u00f3 h\u1ea1i v\u1edbi bi\u1ebfn \u0111\u1ed9ng t\u1ed5ng th\u1ec3 b\u1eb1ng c\u00e1ch s\u1eed d\u1ee5ng \u0111\u1ed9 l\u1ec7ch chu\u1ea9n c\u1ee7a t\u00e0i s\u1ea3n c\u00f3 l\u1ee3i nhu\u1eadn danh m\u1ee5c \u0111\u1ea7u t\u01b0 \u00e2m.\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\/31356"}],"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=31356"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/31356\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=31356"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=31356"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=31356"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}