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Ratios & Metrics · Madhyam · 7 min read

Sharpe Ratio: Sahe Gaye Utaar-Chadhav Ke Muqable Return

Chhota jawab

Sharpe Ratio = (Portfolio Return − Risk-Free Rate) ÷ Standard Deviation. Yeh poochta hai ki sahe gaye utaar-chadhav ki har unit ke badle risk-free option se upar kitna return mila. 6% risk-free rate par 10% standard deviation ke saath 14% dene wale portfolio ka Sharpe ratio 0.80 hai; 4% deviation ke saath 11% dene wale ka 1.25 — yaani kam return wale portfolio ne utaar-chadhav ki har unit par zyada diya. Yeh historical, tulnatmak maap hai, quality ka score nahi.

Amit Chadha · Mutual Fund Distributor · AMFI ARN: 349461 · Aakhri review

Do investments ki tulna sirf return se karna aadhi jaankari par tulna karna hai. Ek ne apna return sehajta se diya ho sakta hai; doosra usi jagah pahunchne ke liye zordaar jhatke khata raha ho sakta hai.

Sharpe ratio dono hisson ko ek hi number mein rakh deta hai: safe option se upar aapne kya kamaya, bhaag diya us utaar-chadhav se jo kamane ke liye sehna pada.

Formula

Sharpe Ratio = (Portfolio Return − Risk-Free Rate) ÷ Portfolio returns ka Standard Deviation

Teeno inputs ek hi avadhi ke aur ek hi aadhaar par hone chahiye — aam taur par annualised. Saalana return ko monthly standard deviation se mila dene par number dekhne mein theek lagta hai aur uska koi matlab nahi hota.

Numerator ka matlab

Numerator — return mein se risk-free rate ghatakar — excess return hai. Yeh return ka wo hissa hai jisne aapko risk lene ka muaawza diya, us hisse ke ulat jo aapko bina koi risk liye bhi mil sakta tha.

Risk-free rate wo return hai jisme default ka risk lagbhag na ho; Indian context mein kam avadhi ki government security ki yield aam reference hai. Ise ghatana maayne rakhta hai: agar kisi portfolio ne 6% diya aur risk-free instrument ne bhi 6%, to excess return zero hai, aur saha gaya koi bhi utaar-chadhav puraskrit nahi hua.

Excess return negative bhi ho sakta hai. Jis portfolio ne risk-free rate se kam diya, uska Sharpe ratio negative nikalta hai — aur yeh saarthak nateeja hai: yeh kehta hai ki liya gaya risk sirf bekaar nahi, ulta pada.

Denominator ka matlab

Standard deviation maapta hai ki portfolio ke returns apne hi average ke aas-paas kitne faile rahe. Jis portfolio ke monthly returns paas-paas rehte hain uska standard deviation kam hota hai; jo bade munafe aur bade nuksan ke beech jhoolta hai uska zyada.

Volatility ka thos matlab yahi hai. Yeh is baat ka paimana nahi hai ki aap kitna ganwa sakte hain — yeh dono directions mein bikhraav naapta hai, isliye asaamaanya roop se accha mahina bhi standard deviation utna hi badhata hai jitna kharab mahina.

Poora solved example

Jab do portfolios ek hi risk-free rate par tole jaayein, tab yeh ratio sabse saaf dikhta hai.

Yeh ratio kaam ka kyun hai

Yeh headline wale return ko akele bolne nahi deta. Ek hi category ki do schemes ka return milta-julta ho sakta hai aur Sharpe ratio bahut alag — aur yahi farq wo baat batata hai jo return ki table nahi bata sakti: ek wahan zyada sehajta se pahunchi.

Yeh trade-off ko bhi khulkar saamne rakhta hai. Zyada utaar-chadhav lekar return badhane se Sharpe ratio nahi sudharta — wo tabhi sudharta hai jab utaar-chadhav ki har unit par zyada return mile. Isse sawaal badal jaata hai: "kisne zyada diya?" se "safar ke badle kise behtar muaawza mila?"

Iski seemayein

Yeh upar aur neeche ke utaar-chadhav ko ek jaisa maanta hai. Jo portfolio apratyaashit roop se chadha, use utna hi dandit kiya jaata hai jitna girne wale ko — aur yeh is baat se mel nahi khata ki koi bhi investor in dono ko kaise mehsoos karta hai. Sortino ratio isi wajah se bana hai, jo sirf neeche ki or ke deviation ko naapta hai.

Yeh maan leta hai ki standard deviation risk ka theek saar hai, jo tab kamzor padta hai jab returns symmetric roop se baante na hon — aur market ke returns aksar nahi hote, jinmein kabhi-kabhaar badi giravtein aati hain jinhein shaant daur par nikla standard deviation kam karke aankta hai.

Yeh chuni gayi avadhi aur istemaal ki gayi risk-free rate ke prati sensitive hai. Ek hi scheme ke do chhape hue Sharpe ratio alag avadhi ya alag reference rate ki wajah se jaayaz taur par alag ho sakte hain.

Aur yeh poori tarah peeche dekhne wala hai. Ooncha purana Sharpe ratio ek aise daur ka varnan hai jo beet chuka.

Ise akele kyun istemaal nahi karna chahiye

Ratio ek saar hai, aur har saar kuch jaankari chhod deta hai. Sharpe ratio utaar-chadhav ki direction, returns ke batware ki banawat, scheme ka daayra, uski laagat, uska sankendran aur yeh baat chhod deta hai ki naapi gayi avadhi uski shaili ke anukool thi ya nahi.

Scheme ki category, uske benchmark, uske beta, uski giravat ke itihaas aur uske expense ratio ke saath padha jaaye to yeh kuch asli jodta hai. Chunne ki soochi ki tarah istemaal ho to yeh chupchaap usi shaili ko inaam deta hai jo naapi gayi avadhi mein sanyog se theek baithi.

Beta aur standard deviation se iska naata

Standard deviation kisi bhi srot se aayi kul volatility naapta hai. Beta sirf us hisse ko naapta hai jo market ke saath chala. Sharpe ratio kul volatility istemaal karta hai, isliye wo portfolio se market ki asthirta ke saath-saath company-vishesh asthirta ka bhi hisaab leta hai.

Isiliye kisi sankendrit portfolio ka beta madhyam aur Sharpe ratio phir bhi kamzor ho sakta hai: uski zyadatar asthirta market se nahi, uski apni holdings se aayi, aur Sharpe ratio us sab ko ginta hai.

Mukhya baatein

  • Sharpe Ratio = (Return − Risk-Free Rate) ÷ Standard Deviation.
  • Numerator excess return hai — safe option se upar risk lene par asli mein kya mila.
  • Denominator kul volatility hai, jo dono directions mein bikhraav naapta hai.
  • Ooncha ratio yaani utaar-chadhav ki har unit par zyada return, ooncha return nahi.
  • Teeno inputs ek hi avadhi ke, ek hi aadhaar par — aam taur par annualised — hone chahiye.
  • Yeh upar ki asthirta ko bhi utna hi dandit karta hai jitna neeche ki, aur poori tarah historical hai.
  • Yeh kai inputs mein se ek hai — akele chunne ki soochi kabhi nahi.

Apne numbers par aazmaiye

Aksar pooche jaane wale sawaal

Sources aur editorial review

Aage kya padhein

Beta Kya Hai? Market Ke Saath Kitna Hilta Hai, Yeh Naapne Ka TareekaBeta kya maapta hai, 1 ke aaspaas, 1 se upar, 1 se neeche aur negative values ko kaise padhein, yeh concept ke level par kaise nikalta hai, aur yeh returns ki prediction kyun nahi karta.Mutual Fund Mein Risk Kya Hai?Mutual fund jo khaas tarah ke risk rakhta hai — market, credit, interest-rate, liquidity, concentration aur sequence — aur volatility, permanent loss, risk tolerance aur risk capacity ke beech ka fark.Mutual Fund Ka Return Asal Mein Kaise Kaam Karta HaiAbsolute banaam annualised returns, CAGR banaam XIRR, point-to-point banaam rolling returns, aur fund jo return batata hai wo aksar investor ke asal experience kiye return se alag kyun hota hai.

Sirf educational content. Investment advice nahi.

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