0050-ADJ + 00685L-SIM 曝險再平衡多區間回測 (442)
共 19 個區間
初始配置：0050 0.4／00685L-SIM 0.4／現金 0.2
目標占比：0050 40.0%／00685L-SIM 40.0%／現金 20.0%
曝險目標：120.0%（上限 144.0%／下限 108.0%）
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 | -3.38% | 58.54% | 21 | 17.63% | -0.058 | -0.012 | -15.53% | 24.75% | 122.4% | 6.7% | 3 | 1 |
| 2005-01~2009-12 | 13.62% | 61.05% | 26 | 23.33% | 0.223 | 0.575 | 87.34% | 30.19% | 126.0% | 7.9% | 3 | 2 |
| 2006-01~2010-12 | 11.10% | 64.17% | 38 | 27.87% | 0.173 | 0.493 | 67.77% | 31.57% | 127.3% | 9.2% | 1 | 1 |
| 2007-01~2011-12 | 1.45% | 62.15% | 37 | 26.27% | 0.023 | 0.203 | 7.33% | 31.85% | 124.9% | 6.6% | 2 | 1 |
| 2008-01~2012-12 | 4.37% | 56.78% | 28 | 22.35% | 0.077 | 0.291 | 23.42% | 30.64% | 124.1% | 6.4% | 2 | 1 |
| 2009-01~2013-12 | 23.06% | 27.51% | 34 | 11.93% | 0.838 | 0.954 | 177.40% | 25.10% | 127.5% | 5.0% | 0 | 1 |
| 2010-01~2014-12 | 8.92% | 26.79% | 34 | 11.29% | 0.333 | 0.577 | 52.22% | 17.50% | 125.5% | 5.1% | 0 | 0 |
| 2011-01~2015-12 | 1.86% | 25.13% | 32 | 11.16% | 0.074 | 0.196 | 9.50% | 15.84% | 127.1% | 6.8% | 1 | 0 |
| 2012-01~2016-12 | 10.26% | 18.57% | 16 | 7.64% | 0.552 | 0.799 | 61.61% | 13.37% | 129.0% | 5.5% | 0 | 0 |
| 2013-01~2017-12 | 13.39% | 18.18% | 16 | 6.73% | 0.736 | 1.164 | 85.48% | 11.41% | 130.0% | 5.5% | 0 | 0 |
| 2014-01~2018-12 | 8.64% | 17.48% | 16 | 7.41% | 0.494 | 0.675 | 50.28% | 13.72% | 128.8% | 6.2% | 0 | 0 |
| 2015-01~2019-12 | 12.49% | 16.67% | 16 | 7.43% | 0.749 | 0.913 | 78.33% | 14.04% | 126.3% | 7.2% | 0 | 0 |
| 2016-01~2020-12 | 25.53% | 22.54% | 10 | 5.85% | 1.132 | 1.208 | 205.81% | 20.73% | 133.0% | 7.1% | 1 | 2 |
| 2017-01~2021-12 | 25.53% | 25.87% | 10 | 6.17% | 0.987 | 1.167 | 205.83% | 21.62% | 130.4% | 5.2% | 0 | 1 |
| 2018-01~2022-12 | 12.81% | 31.26% | 12 | 9.97% | 0.410 | 0.624 | 80.87% | 23.86% | 123.2% | 6.6% | 0 | 1 |
| 2019-01~2023-12 | 22.70% | 32.30% | 22 | 10.36% | 0.703 | 0.957 | 173.40% | 24.65% | 128.3% | 5.1% | 0 | 1 |
| 2020-01~2024-12 | 26.74% | 30.45% | 18 | 9.01% | 0.878 | 1.103 | 220.64% | 24.28% | 125.9% | 8.4% | 1 | 2 |
| 2021-01~2025-12 | 21.91% | 32.30% | 22 | 10.23% | 0.678 | 1.007 | 164.83% | 22.22% | 126.0% | 7.6% | 0 | 1 |
| 2022-01~2026-09 | 35.92% | 28.67% | 16 | 9.05% | 1.253 | 1.175 | 318.85% | 30.01% | 124.4% | 8.9% | 1 | 2 |