´_µØùڥͳæ¤é¥¿¦V¤G¿°òª÷ |
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¼Ð·Ç®t | 76.54 | 55.63 | 46.23 | 43.8 | N/A |
Sharpe | 0.21 | 0.03 | -0.12 | -0.06 | N/A |
Alpha | -0.16 | 0.18 | 0.06 | 0.09 | N/A |
Beta | 2.13 | 2.13 | 1.98 | 1.98 | N/A |
R-squared | 1 | 1 | 0.99 | 0.99 | N/A |
»P«ü¼Æ¬ÛÃö«Y¼Æ | 0.9988 | 0.9981 | 0.9952 | 0.9957 | N/A |
Tracking Error | 40.7 | 29.6 | 23.27 | 21.94 | N/A |
Variance | 488.17 | 257.9 | 178.07 | 159.87 | 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 |
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´_µØùڥͳæ¤é¥¿¦V¤G¿°òª÷ |
¦PÃþ«¬¥§¡ |
¦PÃþ«¬±Æ¦W |
¦~¥§¡³ø¹S²v |
-5.27 |
-7.41 |
1/2 |
¦~¤Æ¼Ð·Ç®t |
55.63 |
50.02 |
1/2 |
b |
2.1253 |
1.1776 |
1/2 |
SHARPE |
0.0305 |
-0.0098 |
1/2 |
Information Ratio |
0.1397 |
0 |
1/2 |
Jensen Index |
0.1774 |
-0.3901 |
1/2 |
Treynor Index |
0.2301 |
-0.0555 |
1/2 |
´_µØùڥͳæ¤é¥¿¦V¤G¿°òª÷-¦~³ø¹S²v¤ñ¸ûªí |
|
2023 |
2022 |
2021 |
2020 |
2019 |
¦~¤Æ¼Ð·Ç®t |
40.38 |
75.59 |
28.16 |
44.1 |
37.4 |
b |
1.85 |
2.02 |
1.84 |
2.08 |
1.98 |
SHARPE Ratio |
-0.2266 |
-0.0476 |
-0.2972 |
-0.0176 |
0.1879 |
Treynor Index |
-1.4249 |
-0.5132 |
-1.3139 |
-0.1082 |
1.025 |
Jensen Ratio |
-0.5156 |
0.8799 |
-0.215 |
0.0911 |
0.4207 |
Informaton Ratio |
-0.0339 |
0.2853 |
0.365 |
-0.5098 |
-0.3139 |
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