¤¤°ê«H°Uùڥͤ¤°ê°ªªÑ®§ETF°òª÷ |
¶µ¥Ø(05/16) |
¤»Ó¤ë |
¤@¦~ |
¤T¦~ |
¤¦~ |
¤Q¦~ |
¼Ð·Ç®t | 30.17 | 22.19 | 19.72 | N/A | N/A |
Sharpe | 0.3 | 0.08 | -0.01 | N/A | N/A |
Alpha | 1.17 | 0.63 | 0.48 | N/A | N/A |
Beta | 0.88 | 0.86 | 0.61 | N/A | N/A |
R-squared | 0.89 | 0.84 | 0.56 | N/A | N/A |
»P«ü¼Æ¬ÛÃö«Y¼Æ | 0.9447 | 0.9139 | 0.7507 | N/A | N/A |
Tracking Error | 10.66 | 9.59 | 16.17 | N/A | N/A |
Variance | 75.84 | 41.04 | 32.42 | N/A | N/A |
1. ¤W¹Ïªí¥Ü©Ò¦³¦PÃþ«¬°òª÷³ø¹S²v¤Î¼Ð·Ç®t´²§G¹Ï¡C
2. ¦bX Y¹Ï¤Wµe¥X¦PÃþ«¬°òª÷¤§¥§¡³ø¹S²v»P¥§¡¼Ð·Ç®t¡C
3. ²Ä¤@¶H(¥k¤W¤è)¥Nªí¬Û¹ï°ª·ÀI°ª³ø¹Sªº°òª÷¡A¾A¦X¥i§Ô¨ü¸û°ªªi°Ê«×ªº¿n·¥«¬§ë¸ê¤H¡F²Ä¤G¶H(¥ª¤W¤è)ªº°òª÷¥Nªí¬Û¹ï§C·ÀI°ª³ø¹Sªº°òª÷¡A³Ìȱo§ë¸ê¡F²Ä¤T¶H(¥ª¤U¤è)¥Nªí§C·ÀI§C³ø¹Sªº°òª÷¡A¾A¦X«O¦u§ë¸ê¤H¡F²Ä¥|¶H(¥k¤U¤è)¥Nªí°ª·ÀI§C³ø¹Sªº°òª÷¡C
³ø¹S²v¤ñ¸ûªí |
|
¤¤°ê«H°Uùڥͤ¤°ê°ªªÑ®§ETF°òª÷ |
¦PÃþ«¬¥§¡ |
¦PÃþ«¬±Æ¦W |
¦~¥§¡³ø¹S²v |
5.11 |
12.93 |
87/138 |
¦~¤Æ¼Ð·Ç®t |
22.19 |
15.19 |
26/138 |
b |
0.8607 |
0.8028 |
67/138 |
SHARPE |
0.0774 |
0.2762 |
89/138 |
Information Ratio |
-0.0555 |
0.0428 |
81/138 |
Jensen Index |
0.626 |
0.3232 |
58/138 |
Treynor Index |
0.8253 |
2.1672 |
79/138 |
¤¤°ê«H°Uùڥͤ¤°ê°ªªÑ®§ETF°òª÷-¦~³ø¹S²v¤ñ¸ûªí |
|
2023 |
2022 |
2021 |
2020 |
2019 |
¦~¤Æ¼Ð·Ç®t |
16.06 |
27.92 |
17.79 |
N/A |
N/A |
b |
0.56 |
0.71 |
0.52 |
N/A |
N/A |
SHARPE Ratio |
-0.1538 |
-0.0522 |
0.0177 |
N/A |
N/A |
Treynor Index |
-1.265 |
-0.5917 |
0.176 |
N/A |
N/A |
Jensen Ratio |
-0.0667 |
0.2537 |
0.8743 |
N/A |
N/A |
Informaton Ratio |
-0.3487 |
0.1039 |
0.0084 |
N/A |
N/A |
ªþµù¡G |
µù1: |
°òª÷ÁZ®Äpºâ¬Ò¦³¦Ò¼{°t®§¡A°òª÷°t®§²v¤£¥Nªí°òª÷³ø¹S²v¡A¥B¹L¥h°t®§²v¤£¥Nªí¥¼¨Ó°t®§²v¡C©Ò¦³°òª÷ÁZ®Ä¡A§¡¬°¹L¥hÁZ®Ä¡A¤£¥Nªí¥¼¨Ó¤§ÁZ®Äªí²{¡A¥ç¤£«OÃÒ°òª÷¤§³Ì§C§ë¸ê¦¬¯q¡C |
µù2: |
°òª÷²bÈ¥i¯à¦]¥«³õ¦]¯À¦Ó¤W¤Uªi°Ê¡A°òª÷²bȶȨѰѦҡA¹ê»Ú¥H°òª÷¤½¥q¤½§i¤§²bȬ°·Ç¡F³¡¥÷°òª÷±ÄÂùy³ø»ù¡A¹ê»Ú¥æ©ö¥H°òª÷¤½¥q©Ò¤½§iªº¶R¦^»ù¢A½æ¥X»ù¬°pºâ°ò¦¡C |
µù3: |
¤Wz¾P°â¶O¥Î¶È¨Ñ°Ñ¦Ò¡A¹ê»Ú¶O²v¥H¦U¾P°â¾÷ºc¬°¥D¡C |
µù4: |
¤Wzµu½u¥æ©ö³W©w¸ê®Æ¶È¨Ñ°Ñ¦Ò¡A¹ê»Ú³W©wÀ³¥H°òª÷¤½¶}»¡©ú®Ñ¬°¥D¡C |
µù5: |
¹Ò¤º°òª÷¸g¦æ¬F°|ª÷¿ÄºÊ·þºÞ²z©eû·|®Öã¦b°ê¤º¶Ò¶°¤Î¾P°â¡A±©¤£ªí¥Üµ´µL·ÀI¡C°òª÷¸g²z¤½¥q¥H©¹¤§¸g²zÁZ®Ä¤£«OÃÒ°òª÷¤§³Ì§C§ë¸ê¦¬¯q¡F°òª÷¸g²z¤½¥q°£ºÉµ½¨}ºÞ²z¤H¤§ª`·N¸q°È¥~¡A¤£t³d¥»°òª÷¤§¬ÕÁ«¡A¥ç¤£«OÃҳ̧C¤§¦¬¯q¡A§ë¸ê¤H¥ÓÁÊ«eÀ³¸Ô¾\°òª÷¤½¶}»¡©ú®Ñ¡C |
µù6: |
¨Ìª÷ºÞ·|³W©w°òª÷§ë¸ê¤j³°ÃҨ饫³õ¤§¦³»ùÃҨ餣±o¶W¹L¥»°òª÷¸ê²£²bȤ§10%¡A·í¸Ó°òª÷§ë¸ê¦a°Ï¥]§t¤¤°ê¤j³°¤Î»´ä¡A°òª÷²bÈ¥i¯à¦]¬°¤j³°¦a°Ï¤§ªk¥O¡B¬Fªv©Î¸gÀÙÀô¹Ò§ïÅܦӨü¤£¦Pµ{«×¤§¼vÅT¡C |
µù7: |
¤Wz¸ê®Æ¥u¨Ñ°Ñ¦Ò¥Î³~¡A¹Å¹ê¸ê°T¦Û·íºÉ¤O´£¨Ñ¥¿½T°T®§¡A¦ý¦p¦³¿ùº|©Î²¨©¿¡A¥»¤½¥q©ÎÃö«Y¥ø·~»P¨ä¥ô¦ó¸³¨Æ©Î¥ô¦ó¨ü¹µ¤H¡A®¤¤£t¥ô¦óªk«ß³d¥ô¡C |