0050-ADJ 曝險再平衡多區間回測
共 19 個區間
初始配置：0050 0.5／現金 0.5
目標占比：0050 50.0%／現金 50.0%
曝險目標：50.0%（上限 60.0%／下限 45.0%）
檢查頻率：每月 調整比例：100%
| 區間 | CAGR | 最大回撤 | 最大回撤持續期間（月） | Ulcer Index | Calmar | Sharpe | 總報酬 | 年化波動率 | 平均曝險 | 曝險標準差 | 加倉次數 | 減倉次數 |
|---|
| 2004-01~2008-12 | -0.88% | 28.66% | 20 | 7.95% | -0.031 | -0.040 | -4.27% | 9.95% | 51.0% | 3.4% | 2 | 1 |
| 2005-01~2009-12 | 5.77% | 30.62% | 26 | 10.65% | 0.188 | 0.526 | 31.75% | 12.04% | 52.1% | 3.4% | 2 | 2 |
| 2006-01~2010-12 | 5.81% | 30.61% | 36 | 10.78% | 0.190 | 0.513 | 32.01% | 12.56% | 52.5% | 3.0% | 3 | 2 |
| 2007-01~2011-12 | 1.39% | 31.68% | 37 | 11.90% | 0.044 | 0.170 | 7.01% | 13.05% | 53.0% | 2.7% | 2 | 1 |
| 2008-01~2012-12 | 2.61% | 28.02% | 23 | 10.01% | 0.093 | 0.267 | 13.51% | 12.56% | 53.3% | 2.7% | 2 | 1 |
| 2009-01~2013-12 | 9.49% | 12.10% | 32 | 4.90% | 0.784 | 0.944 | 56.13% | 10.17% | 54.7% | 2.4% | 0 | 1 |
| 2010-01~2014-12 | 4.47% | 11.50% | 32 | 4.52% | 0.388 | 0.624 | 23.96% | 7.45% | 53.5% | 2.8% | 0 | 0 |
| 2011-01~2015-12 | 1.78% | 10.40% | 32 | 4.20% | 0.172 | 0.304 | 9.08% | 6.51% | 52.0% | 3.3% | 1 | 1 |
| 2012-01~2016-12 | 5.14% | 8.42% | 14 | 3.23% | 0.611 | 0.856 | 27.94% | 6.08% | 54.7% | 3.3% | 0 | 1 |
| 2013-01~2017-12 | 6.03% | 8.12% | 14 | 2.84% | 0.742 | 1.121 | 33.37% | 5.37% | 54.3% | 2.8% | 0 | 1 |
| 2014-01~2018-12 | 4.67% | 7.86% | 14 | 3.14% | 0.593 | 0.774 | 25.13% | 6.14% | 53.5% | 2.5% | 0 | 1 |
| 2015-01~2019-12 | 5.75% | 7.74% | 14 | 3.29% | 0.743 | 0.888 | 31.63% | 6.55% | 53.7% | 3.7% | 0 | 1 |
| 2016-01~2020-12 | 10.38% | 10.31% | 12 | 2.62% | 1.006 | 1.176 | 62.48% | 8.75% | 53.0% | 3.6% | 0 | 2 |
| 2017-01~2021-12 | 10.10% | 11.25% | 12 | 2.86% | 0.898 | 1.085 | 60.50% | 9.30% | 54.7% | 2.6% | 0 | 1 |
| 2018-01~2022-12 | 4.83% | 16.11% | 12 | 4.85% | 0.299 | 0.503 | 26.07% | 10.46% | 51.8% | 2.8% | 0 | 1 |
| 2019-01~2023-12 | 8.69% | 16.66% | 23 | 5.23% | 0.521 | 0.823 | 50.64% | 10.85% | 54.2% | 2.4% | 0 | 1 |
| 2020-01~2024-12 | 11.12% | 15.52% | 22 | 4.46% | 0.717 | 1.040 | 67.94% | 10.72% | 52.5% | 3.1% | 1 | 2 |
| 2021-01~2025-12 | 10.18% | 15.61% | 22 | 4.73% | 0.652 | 0.989 | 61.06% | 10.37% | 53.9% | 3.1% | 1 | 2 |
| 2022-01~2026-09 | 16.80% | 15.05% | 22 | 4.70% | 1.116 | 1.238 | 106.41% | 13.31% | 52.5% | 3.0% | 1 | 3 |