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1.績效表中的:"年化標準差" "Sharpe" " β"各代表什麼意思
- 1 0 年前最佳解答
Sharpe ratio is a measure of how the asset (asset class) is doing (better or worse) against the the risk that you are taking (meaning volatility - in other words, standard deviation) in layman's term. It is a measure of the mean excess return per unit of risk in an investment asset or a trading strategy. It's to see if your choice of strategy is performing better than the amount of risk you are taking, and hence a good strategy. If the asset or strategy your banker is showing you right now has a good sharpe ratio - consider it, given that the volatility is within your acceptance range.
β is 'beta', which is the measure of the market norm (the market condition) against your stock. A positive beta means your stock will rise faster in a bull market than the market as a whole. A negative beta means your stock drops less than the market in a bear market. It is a measure of a stock (or portfolio)'s volatility in relation to the rest of the market. Beta is calculated for individual companies using regression analysis. It is a good measure when you are balancing your portfolio so that it is very positive (aka - higher risk), negative (aka - defensive), or to keep it neutral when counterbalancing a particular strategic holding/position - this is one of the methods used by hedge funds to become market neutral in equity long / short.
2007-06-02 02:22:43 補充：
高股息 (high dividend yield?) is yesterday's strategy (three years to be exact) - don't bother. US income tax laws takes a withholding tax on ALL dividend yields so your investment return AFTER TAX will be 40% less. This applies to ALL NATIONALITIES so it doesn't matter what you wrote on your W8 BEN.