0050-ADJ + 00685L-SIM 曝險再平衡多區間回測 (433)
共 19 個區間
初始配置：0050 0.4／00685L-SIM 0.3／現金 0.3
目標占比：0050 40.0%／00685L-SIM 30.0%／現金 30.0%
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 | -2.90% | 52.20% | 21 | 15.46% | -0.056 | -0.039 | -13.49% | 20.49% | 102.1% | 6.7% | 3 | 1 |
| 2005-01~2009-12 | 10.44% | 54.60% | 26 | 20.96% | 0.191 | 0.527 | 62.97% | 24.68% | 105.1% | 7.2% | 2 | 2 |
| 2006-01~2010-12 | 10.40% | 54.48% | 37 | 21.73% | 0.191 | 0.518 | 62.68% | 25.33% | 103.7% | 6.0% | 3 | 2 |
| 2007-01~2011-12 | 0.93% | 55.38% | 38 | 23.33% | 0.017 | 0.167 | 4.67% | 26.51% | 105.7% | 6.3% | 2 | 1 |
| 2008-01~2012-12 | 3.43% | 50.08% | 28 | 19.71% | 0.068 | 0.258 | 18.01% | 25.52% | 105.6% | 5.9% | 2 | 1 |
| 2009-01~2013-12 | 19.43% | 24.24% | 34 | 10.42% | 0.801 | 0.948 | 139.36% | 21.12% | 109.6% | 5.2% | 0 | 1 |
| 2010-01~2014-12 | 7.69% | 22.95% | 34 | 9.61% | 0.335 | 0.577 | 43.96% | 14.75% | 106.3% | 5.7% | 0 | 0 |
| 2011-01~2015-12 | 2.41% | 21.06% | 32 | 8.96% | 0.115 | 0.248 | 12.44% | 13.04% | 105.3% | 8.2% | 1 | 1 |
| 2012-01~2016-12 | 8.87% | 16.24% | 16 | 6.60% | 0.546 | 0.802 | 51.89% | 11.44% | 110.3% | 6.3% | 0 | 0 |
| 2013-01~2017-12 | 11.14% | 15.76% | 16 | 5.80% | 0.707 | 1.145 | 68.06% | 9.67% | 109.1% | 5.2% | 0 | 1 |
| 2014-01~2018-12 | 7.85% | 14.99% | 16 | 6.14% | 0.524 | 0.737 | 45.01% | 11.12% | 105.7% | 5.4% | 0 | 1 |
| 2015-01~2019-12 | 10.50% | 14.30% | 16 | 6.32% | 0.734 | 0.897 | 63.38% | 11.99% | 106.6% | 7.7% | 0 | 1 |
| 2016-01~2020-12 | 19.85% | 20.81% | 12 | 4.95% | 0.954 | 1.160 | 143.55% | 16.93% | 105.6% | 6.2% | 0 | 2 |
| 2017-01~2021-12 | 22.14% | 18.80% | 12 | 4.82% | 1.178 | 1.236 | 167.37% | 17.53% | 109.7% | 5.7% | 1 | 2 |
| 2018-01~2022-12 | 10.28% | 28.50% | 12 | 8.88% | 0.361 | 0.581 | 61.80% | 20.43% | 104.9% | 6.4% | 0 | 1 |
| 2019-01~2023-12 | 18.77% | 29.41% | 22 | 9.31% | 0.638 | 0.923 | 133.01% | 21.13% | 109.9% | 6.4% | 0 | 2 |
| 2020-01~2024-12 | 21.92% | 29.41% | 22 | 8.88% | 0.745 | 1.040 | 164.99% | 21.34% | 110.5% | 6.6% | 1 | 2 |
| 2021-01~2025-12 | 18.43% | 28.05% | 22 | 8.92% | 0.657 | 0.990 | 129.74% | 18.97% | 107.3% | 5.3% | 0 | 1 |
| 2022-01~2026-09 | 30.21% | 24.54% | 16 | 7.80% | 1.231 | 1.190 | 242.81% | 24.89% | 107.7% | 7.5% | 1 | 2 |