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表 7：投資組合在績效回測期間年化報酬率

自行預測每股盈餘 券商預測每股盈餘
年度 項目
期間報酬率 年化報酬率 期間報酬率 年化報酬率
2014 Equal Weight 6.07% 13.52% 7.89% 17.57%

Markowitz Weight 22.04% 49.04% 7.81% 17.38%

Risk Parity Weight 6.38% 14.20% 8.20% 18.25%

元大 0050 9.75% 21.71% 9.75% 21.71%

加權指數 10.53% 23.44% 10.53% 23.44%

2015 Equal Weight -5.31% -11.75% 5.96% 13.19%
Markowitz Weight -0.57% -12.52% 12.98% 28.71%

Risk Parity Weight -4.83% -10.69% 6.89% 15.25%

元大 0050 0.74% 1.63% 0.74% 1.63%

加權指數 0.99% 2.20% 0.99% 2.20%

2016 Equal Weight 10.36% 23.19% 15.57% 34.86%
Markowitz Weight 5.26% 11.78% 28.96% 64.86%

Risk Parity Weight 9.32% 20.88% 15.41% 34.52%

元大 0050 9.03% 20.22% 9.03% 20.22%

加權指數 10.15% 22.73% 10.15% 22.73%

2017 Equal Weight 2.76% 6.07% -2.72% -5.99%
Markowitz Weight 6.32% 13.89% -3.87% -8.52%

Risk Parity Weight 4.00% 8.79% -1.72% -3.79%

元大 0050 -1.48% -3.26% -1.48% -3.26%

加權指數 0.26% 0.56% 0.26% 0.56%

2018 Equal Weight 13.93% 30.63% 24.78% 54.50%
Markowitz Weight 7.71% 16.96% 64.17% 141.09%

Risk Parity Weight 15.94% 35.05% 27.34% 60.12%

元大 0050 10.01% 22.01% 10.01% 22.01%

加權指數 11.61% 25.54% 11.61% 25.54%

2019 Equal Weight -7.04% -15.39% 1.29% 2.82%
Markowitz Weight -0.25% -5.49% 3.93% 8.58%

Risk Parity Weight -8.17% -17.86% -3.13% -6.83%

元大 0050 -4.36% -9.52% -4.36% -9.52%

加權指數 -4.63% -10.12% -4.63% -10.12%

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