´I¨¹ùڥͰê¥øETF°òª÷ |
¶µ¥Ø(01/24) |
¤»Ó¤ë |
¤@¦~ |
¤T¦~ |
¤¦~ |
¤Q¦~ |
¼Ð·Ç®t | 18.87 | 15.79 | 23.7 | 22.25 | N/A |
Sharpe | -0.53 | -0.55 | -0.26 | -0.15 | N/A |
Alpha | 0.25 | 0.41 | 0.14 | 0.002 | N/A |
Beta | 0.98 | 0.95 | 0.92 | 0.92 | N/A |
R-squared | 0.88 | 0.88 | 0.95 | 0.95 | N/A |
»P«ü¼Æ¬ÛÃö«Y¼Æ | 0.938 | 0.9356 | 0.9746 | 0.977 | N/A |
Tracking Error | 6.55 | 5.62 | 5.65 | 5.11 | N/A |
Variance | 29.68 | 20.77 | 46.8 | 41.24 | 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 |
|
´I¨¹ùڥͰê¥øETF°òª÷ |
¦PÃþ«¬¥§¡ |
¦PÃþ«¬±Æ¦W |
¦~¥§¡³ø¹S²v |
10.13 |
12.93 |
70/138 |
¦~¤Æ¼Ð·Ç®t |
15.79 |
15.19 |
52/138 |
b |
0.9534 |
0.8028 |
58/138 |
SHARPE |
-0.5523 |
0.2762 |
135/138 |
Information Ratio |
0.018 |
0.0428 |
61/138 |
Jensen Index |
0.4139 |
0.3232 |
69/138 |
Treynor Index |
-1.6118 |
2.1299 |
129/138 |
´I¨¹ùڥͰê¥øETF°òª÷-¦~³ø¹S²v¤ñ¸ûªí |
|
2023 |
2022 |
2021 |
2020 |
2019 |
¦~¤Æ¼Ð·Ç®t |
23.4 |
37.85 |
15.39 |
18.07 |
16.54 |
b |
0.92 |
0.92 |
0.91 |
0.97 |
0.86 |
SHARPE Ratio |
-0.1959 |
-0.0257 |
-0.5308 |
-0.1181 |
0.2108 |
Treynor Index |
-1.4365 |
-0.3067 |
-2.5822 |
-0.634 |
1.1761 |
Jensen Ratio |
-0.293 |
0.7878 |
-0.4308 |
-0.3856 |
0.2301 |
Informaton Ratio |
-0.4196 |
0.0873 |
-0.7098 |
-0.3832 |
-0.1726 |
ªþµù¡G |
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