00685L-SIM 曝險再平衡多區間回測
共 19 個區間
初始配置：00685L-SIM 0.5／現金 0.5
目標占比：00685L-SIM 50.0%／現金 50.0%
曝險目標：100.0%（上限 120.0%／下限 90.0%）
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 | -2.39% | 52.23% | 21 | 15.44% | -0.046 | -0.004 | -11.22% | 21.45% | 105.2% | 7.1% | 5 | 3 |
| 2005-01~2009-12 | 11.62% | 54.81% | 26 | 20.49% | 0.212 | 0.555 | 71.66% | 25.83% | 106.2% | 7.2% | 4 | 4 |
| 2006-01~2010-12 | 11.77% | 54.42% | 37 | 20.69% | 0.216 | 0.556 | 72.84% | 26.27% | 104.4% | 6.8% | 5 | 4 |
| 2007-01~2011-12 | 2.90% | 54.08% | 37 | 20.98% | 0.054 | 0.239 | 15.09% | 26.74% | 102.6% | 7.2% | 6 | 4 |
| 2008-01~2012-12 | 4.75% | 50.53% | 23 | 18.95% | 0.094 | 0.307 | 25.61% | 26.04% | 104.1% | 7.3% | 5 | 3 |
| 2009-01~2013-12 | 20.25% | 21.72% | 32 | 8.89% | 0.932 | 0.985 | 147.57% | 21.02% | 106.3% | 7.7% | 2 | 4 |
| 2010-01~2014-12 | 6.93% | 24.38% | 34 | 10.58% | 0.284 | 0.520 | 39.00% | 15.10% | 107.3% | 7.1% | 0 | 1 |
| 2011-01~2015-12 | 1.83% | 21.72% | 32 | 9.24% | 0.084 | 0.203 | 9.34% | 13.37% | 106.7% | 8.0% | 3 | 2 |
| 2012-01~2016-12 | 7.81% | 15.09% | 17 | 6.45% | 0.518 | 0.751 | 44.74% | 10.82% | 106.0% | 5.9% | 0 | 1 |
| 2013-01~2017-12 | 10.43% | 14.28% | 17 | 5.43% | 0.730 | 1.195 | 62.89% | 8.64% | 103.6% | 6.6% | 0 | 2 |
| 2014-01~2018-12 | 6.50% | 15.66% | 17 | 6.66% | 0.415 | 0.610 | 36.29% | 11.42% | 109.9% | 5.6% | 0 | 1 |
| 2015-01~2019-12 | 10.08% | 14.04% | 16 | 6.27% | 0.718 | 0.885 | 60.34% | 11.67% | 108.7% | 6.5% | 1 | 2 |
| 2016-01~2020-12 | 19.88% | 20.73% | 10 | 4.96% | 0.959 | 1.131 | 143.83% | 17.47% | 109.8% | 6.3% | 1 | 3 |
| 2017-01~2021-12 | 22.82% | 19.60% | 7 | 4.36% | 1.164 | 1.272 | 174.76% | 17.47% | 108.5% | 6.7% | 2 | 4 |
| 2018-01~2022-12 | 12.64% | 26.13% | 12 | 8.12% | 0.484 | 0.684 | 79.55% | 20.45% | 106.0% | 6.9% | 3 | 3 |
| 2019-01~2023-12 | 21.27% | 26.13% | 17 | 7.92% | 0.814 | 1.056 | 158.11% | 20.27% | 107.2% | 6.8% | 2 | 4 |
| 2020-01~2024-12 | 22.19% | 26.13% | 17 | 7.76% | 0.849 | 1.075 | 167.91% | 20.71% | 107.5% | 6.5% | 2 | 4 |
| 2021-01~2025-12 | 18.21% | 24.02% | 16 | 7.43% | 0.758 | 1.019 | 127.62% | 18.09% | 106.5% | 7.3% | 2 | 4 |
| 2022-01~2026-09 | 27.66% | 22.69% | 13 | 7.25% | 1.219 | 1.135 | 212.58% | 24.17% | 105.4% | 7.0% | 3 | 5 |