´_µØùڥͳæ¤é¤Ï¦V¤@¿°òª÷ |
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¤T¦~ |
¤¦~ |
¤Q¦~ |
¼Ð·Ç®t | 34.09 | 25.21 | 23.34 | 22.89 | N/A |
Sharpe | -0.18 | -0.03 | 0.08 | 0.02 | N/A |
Alpha | 0.34 | -0.11 | -0.3 | -0.36 | N/A |
Beta | -0.94 | -0.95 | -0.99 | -1.03 | N/A |
R-squared | 0.98 | 0.97 | 0.98 | 0.98 | N/A |
»P«ü¼Æ¬ÛÃö«Y¼Æ | -0.9908 | -0.9826 | -0.9876 | -0.9878 | N/A |
Tracking Error | 69.85 | 51.11 | 46.38 | 44.8 | N/A |
Variance | 96.82 | 52.97 | 45.4 | 43.66 | 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 |
|
´_µØùڥͳæ¤é¤Ï¦V¤@¿°òª÷ |
¦PÃþ«¬¥§¡ |
¦PÃþ«¬±Æ¦W |
¦~¥§¡³ø¹S²v |
-4.8 |
-4.80 |
1/1 |
¦~¤Æ¼Ð·Ç®t |
25.21 |
25.21 |
1/1 |
b |
-0.9482 |
-0.9482 |
1/1 |
SHARPE |
-0.0339 |
-0.0339 |
1/1 |
Information Ratio |
N/A |
N/A |
N/A |
Jensen Index |
-0.107 |
-0.107 |
1/1 |
Treynor Index |
0.2608 |
0.2608 |
1/1 |
´_µØùڥͳæ¤é¤Ï¦V¤@¿°òª÷-¦~³ø¹S²v¤ñ¸ûªí |
|
2023 |
2022 |
2021 |
2020 |
2019 |
¦~¤Æ¼Ð·Ç®t |
22 |
37.83 |
15.19 |
21.3 |
19.19 |
b |
-1.01 |
-1 |
-1 |
-1 |
-1.02 |
SHARPE Ratio |
0.1363 |
0.0814 |
0.1567 |
-0.0612 |
-0.2119 |
Treynor Index |
-0.8587 |
-0.8882 |
-0.6898 |
0.3748 |
1.1554 |
Jensen Ratio |
-0.2904 |
-0.0601 |
-0.5053 |
-0.5288 |
-0.3484 |
Informaton Ratio |
0 |
0 |
0 |
0 |
0 |
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