{
  "data_end": "2026-06-09",
  "last_quarter": "2026-Q1",
  "benchmark_2018": {
    "name": "0050 含息",
    "start": "2018-01-02",
    "end": "2026-06-09",
    "cagr": 25.05,
    "daily_sharpe": 1.22,
    "daily_sortino": 1.67,
    "monthly_sortino": 1.92,
    "max_drawdown": -33.96,
    "total_return": 558.5
  },
  "benchmark_long": {
    "name": "0050 含息",
    "start": "2013-04-24",
    "end": "2026-05-15",
    "cagr": 19.47,
    "daily_sharpe": 1.09,
    "daily_sortino": 1.48,
    "monthly_sortino": 1.73,
    "max_drawdown": -33.96,
    "total_return": 920.2
  },
  "descriptive": [
    {
      "factor": "稅後淨利率",
      "quarter": "2026-Q1",
      "count": 1922,
      "mean": -2872.1,
      "std": 122896.64,
      "min": -5387700.0,
      "q25": 0.37,
      "median": 6.39,
      "q75": 14.04,
      "max": 2964.68
    },
    {
      "factor": "總資產週轉率",
      "quarter": "2026-Q1",
      "count": 1926,
      "mean": 0.16,
      "std": 0.12,
      "min": -0.04,
      "q25": 0.09,
      "median": 0.14,
      "q75": 0.2,
      "max": 0.99
    },
    {
      "factor": "權益乘數",
      "quarter": "2026-Q1",
      "count": 1925,
      "mean": 3.39,
      "std": 58.49,
      "min": 1.01,
      "q25": 1.38,
      "median": 1.7,
      "q75": 2.22,
      "max": 2567.06
    }
  ],
  "negative_equity_count": 0,
  "negative_equity_ids": [],
  "npm_zero_spike": {
    "n_0_to_2": 154,
    "n_minus2_to_0": 50,
    "n_negative": 458
  },
  "quintiles": {
    "淨利率": [
      {
        "name": "淨利率 Q1",
        "start": "2013-04-29",
        "end": "2026-05-15",
        "cagr": 3.89,
        "daily_sharpe": 0.36,
        "daily_sortino": 0.37,
        "monthly_sortino": 0.44,
        "max_drawdown": -47.1,
        "total_return": 64.4,
        "avg_holdings": 352.1
      },
      {
        "name": "淨利率 Q2",
        "start": "2013-04-24",
        "end": "2026-05-15",
        "cagr": 6.77,
        "daily_sharpe": 0.55,
        "daily_sortino": 0.56,
        "monthly_sortino": 0.69,
        "max_drawdown": -35.37,
        "total_return": 135.3,
        "avg_holdings": 352.0
      },
      {
        "name": "淨利率 Q3",
        "start": "2013-04-25",
        "end": "2026-05-15",
        "cagr": 12.26,
        "daily_sharpe": 0.92,
        "daily_sortino": 0.95,
        "monthly_sortino": 1.23,
        "max_drawdown": -29.19,
        "total_return": 352.4,
        "avg_holdings": 350.5
      },
      {
        "name": "淨利率 Q4",
        "start": "2013-04-24",
        "end": "2026-05-15",
        "cagr": 13.85,
        "daily_sharpe": 0.99,
        "daily_sortino": 1.05,
        "monthly_sortino": 1.35,
        "max_drawdown": -30.63,
        "total_return": 443.9,
        "avg_holdings": 350.9
      },
      {
        "name": "淨利率 Q5",
        "start": "2013-04-19",
        "end": "2026-05-15",
        "cagr": 14.35,
        "daily_sharpe": 1.01,
        "daily_sortino": 1.1,
        "monthly_sortino": 1.33,
        "max_drawdown": -28.58,
        "total_return": 476.7,
        "avg_holdings": 351.9
      }
    ],
    "總資產週轉率": [
      {
        "name": "總資產週轉率 Q1",
        "start": "2013-04-29",
        "end": "2026-05-15",
        "cagr": 8.03,
        "daily_sharpe": 0.68,
        "daily_sortino": 0.7,
        "monthly_sortino": 0.83,
        "max_drawdown": -33.5,
        "total_return": 173.9,
        "avg_holdings": 350.3
      },
      {
        "name": "總資產週轉率 Q2",
        "start": "2013-04-24",
        "end": "2026-05-15",
        "cagr": 9.23,
        "daily_sharpe": 0.69,
        "daily_sortino": 0.71,
        "monthly_sortino": 0.88,
        "max_drawdown": -33.98,
        "total_return": 216.6,
        "avg_holdings": 351.4
      },
      {
        "name": "總資產週轉率 Q3",
        "start": "2013-04-25",
        "end": "2026-05-15",
        "cagr": 11.34,
        "daily_sharpe": 0.82,
        "daily_sortino": 0.85,
        "monthly_sortino": 1.04,
        "max_drawdown": -31.58,
        "total_return": 306.6,
        "avg_holdings": 350.2
      },
      {
        "name": "總資產週轉率 Q4",
        "start": "2013-04-24",
        "end": "2026-05-15",
        "cagr": 12.61,
        "daily_sharpe": 0.89,
        "daily_sortino": 0.92,
        "monthly_sortino": 1.16,
        "max_drawdown": -30.43,
        "total_return": 371.4,
        "avg_holdings": 351.2
      },
      {
        "name": "總資產週轉率 Q5",
        "start": "2013-04-19",
        "end": "2026-05-15",
        "cagr": 12.19,
        "daily_sharpe": 0.98,
        "daily_sortino": 1.04,
        "monthly_sortino": 1.34,
        "max_drawdown": -26.16,
        "total_return": 349.5,
        "avg_holdings": 351.7
      }
    ],
    "權益乘數": [
      {
        "name": "權益乘數 Q1",
        "start": "2013-04-29",
        "end": "2026-05-15",
        "cagr": 10.55,
        "daily_sharpe": 0.83,
        "daily_sortino": 0.86,
        "monthly_sortino": 1.03,
        "max_drawdown": -31.4,
        "total_return": 270.0,
        "avg_holdings": 352.4
      },
      {
        "name": "權益乘數 Q2",
        "start": "2013-04-24",
        "end": "2026-05-15",
        "cagr": 11.3,
        "daily_sharpe": 0.82,
        "daily_sortino": 0.85,
        "monthly_sortino": 1.09,
        "max_drawdown": -30.36,
        "total_return": 304.6,
        "avg_holdings": 353.1
      },
      {
        "name": "權益乘數 Q3",
        "start": "2013-04-25",
        "end": "2026-05-15",
        "cagr": 10.19,
        "daily_sharpe": 0.77,
        "daily_sortino": 0.8,
        "monthly_sortino": 1.0,
        "max_drawdown": -32.05,
        "total_return": 254.9,
        "avg_holdings": 353.2
      },
      {
        "name": "權益乘數 Q4",
        "start": "2013-04-24",
        "end": "2026-05-15",
        "cagr": 11.56,
        "daily_sharpe": 0.87,
        "daily_sortino": 0.9,
        "monthly_sortino": 1.15,
        "max_drawdown": -29.7,
        "total_return": 317.1,
        "avg_holdings": 354.2
      },
      {
        "name": "權益乘數 Q5",
        "start": "2013-04-19",
        "end": "2026-05-15",
        "cagr": 10.55,
        "daily_sharpe": 0.87,
        "daily_sortino": 0.89,
        "monthly_sortino": 1.04,
        "max_drawdown": -29.91,
        "total_return": 271.0,
        "avg_holdings": 354.3
      }
    ]
  },
  "strategies": {
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      "name": "營運驅動 ROE(ΔNPM>0 或 ΔTAT>0,ΔEM≤0,PB<3)",
      "start": "2018-01-02",
      "end": "2026-06-09",
      "cagr": 14.36,
      "daily_sharpe": 0.71,
      "daily_sortino": 0.85,
      "monthly_sortino": 1.09,
      "max_drawdown": -36.34,
      "total_return": 209.9,
      "avg_holdings": 25.3
    },
    "operating_roe_top20": {
      "name": "營運驅動 ROE(前 20 檔)",
      "start": "2018-01-02",
      "end": "2026-06-09",
      "cagr": 15.84,
      "daily_sharpe": 0.75,
      "daily_sortino": 0.93,
      "monthly_sortino": 1.16,
      "max_drawdown": -36.84,
      "total_return": 245.5
    },
    "operating_roe_top50": {
      "name": "營運驅動 ROE(前 50 檔)",
      "start": "2018-01-02",
      "end": "2026-06-09",
      "cagr": 15.83,
      "daily_sharpe": 0.77,
      "daily_sortino": 0.92,
      "monthly_sortino": 1.25,
      "max_drawdown": -36.3,
      "total_return": 245.4
    },
    "leverage_roe": {
      "name": "槓桿驅動 ROE(ΔEM>0,PB<3)",
      "start": "2018-01-02",
      "end": "2026-06-09",
      "cagr": 12.25,
      "daily_sharpe": 0.62,
      "daily_sortino": 0.74,
      "monthly_sortino": 0.88,
      "max_drawdown": -39.44,
      "total_return": 165.0,
      "avg_holdings": 21.5
    },
    "leverage_only_roe": {
      "name": "純槓桿支撐 ROE(營運惡化)",
      "start": "2018-01-02",
      "end": "2026-06-09",
      "cagr": -0.61,
      "daily_sharpe": 0.12,
      "daily_sortino": 0.15,
      "monthly_sortino": 0.18,
      "max_drawdown": -60.88,
      "total_return": -5.1,
      "avg_holdings": 2.9
    },
    "original_full": {
      "name": "原文整合策略(全樣本)",
      "start": "2013-04-24",
      "end": "2026-05-15",
      "cagr": 23.65,
      "daily_sharpe": 1.32,
      "daily_sortino": 1.53,
      "monthly_sortino": 1.89,
      "max_drawdown": -33.95,
      "total_return": 1499.2,
      "avg_holdings": 37.3
    },
    "original_insample_2013_2020": {
      "start": "2013-04-24",
      "end": "2020-07-22",
      "cagr": 21.85,
      "max_drawdown": -33.95,
      "daily_sharpe": 1.32
    },
    "original_post2020": {
      "start": "2020-07-22",
      "end": "2026-05-15",
      "cagr": 25.94,
      "max_drawdown": -26.16,
      "daily_sharpe": 1.33
    },
    "original_2018": {
      "name": "原文整合策略(2018-2026)",
      "start": "2018-01-02",
      "end": "2026-06-09",
      "cagr": 22.86,
      "daily_sharpe": 1.2,
      "daily_sortino": 1.37,
      "monthly_sortino": 1.66,
      "max_drawdown": -33.96,
      "total_return": 467.4,
      "avg_holdings": 36.8
    },
    "bench_insample_2013_2020": {
      "name": "0050 含息",
      "start": "2013-04-24",
      "end": "2020-07-22",
      "cagr": 11.86,
      "daily_sharpe": 0.83,
      "daily_sortino": 1.09,
      "monthly_sortino": 1.14,
      "max_drawdown": -28.22,
      "total_return": 125.2
    },
    "bench_post2020": {
      "name": "0050 含息",
      "start": "2020-07-22",
      "end": "2026-06-09",
      "cagr": 31.09,
      "daily_sharpe": 1.4,
      "daily_sortino": 1.99,
      "monthly_sortino": 2.42,
      "max_drawdown": -33.96,
      "total_return": 391.5
    }
  },
  "segments": {
    "2018-2020": {
      "operating_roe": {
        "start": "2018-01-02",
        "end": "2020-12-31",
        "cagr": 11.49,
        "max_drawdown": -36.34,
        "daily_sharpe": 0.61
      },
      "leverage_roe": {
        "start": "2018-01-02",
        "end": "2020-12-31",
        "cagr": 8.1,
        "max_drawdown": -39.44,
        "daily_sharpe": 0.46
      },
      "original": {
        "start": "2018-01-02",
        "end": "2020-12-31",
        "cagr": 15.77,
        "max_drawdown": -33.96,
        "daily_sharpe": 0.91
      },
      "0050": {
        "start": "2018-01-02",
        "end": "2020-12-31",
        "cagr": 18.33,
        "max_drawdown": -28.22,
        "daily_sharpe": 1.05
      }
    },
    "2021-2023": {
      "operating_roe": {
        "start": "2021-01-04",
        "end": "2023-12-29",
        "cagr": 14.52,
        "max_drawdown": -30.82,
        "daily_sharpe": 0.71
      },
      "leverage_roe": {
        "start": "2021-01-04",
        "end": "2023-12-29",
        "cagr": 10.12,
        "max_drawdown": -32.79,
        "daily_sharpe": 0.55
      },
      "original": {
        "start": "2021-01-04",
        "end": "2023-12-29",
        "cagr": 25.92,
        "max_drawdown": -19.91,
        "daily_sharpe": 1.4
      },
      "0050": {
        "start": "2021-01-04",
        "end": "2023-12-29",
        "cagr": 6.36,
        "max_drawdown": -33.96,
        "daily_sharpe": 0.44
      }
    },
    "2024-2026": {
      "operating_roe": {
        "start": "2024-01-02",
        "end": "2026-06-09",
        "cagr": 16.76,
        "max_drawdown": -28.22,
        "daily_sharpe": 0.79
      },
      "leverage_roe": {
        "start": "2024-01-02",
        "end": "2026-06-09",
        "cagr": 19.75,
        "max_drawdown": -36.64,
        "daily_sharpe": 0.86
      },
      "original": {
        "start": "2024-01-02",
        "end": "2026-06-09",
        "cagr": 27.72,
        "max_drawdown": -26.24,
        "daily_sharpe": 1.29
      },
      "0050": {
        "start": "2024-01-02",
        "end": "2026-06-09",
        "cagr": 62.66,
        "max_drawdown": -27.48,
        "daily_sharpe": 2.1
      }
    }
  },
  "method": {
    "universe": "上市櫃普通股(TSE_OTC),排除金融股",
    "rebalance": "財報公告截止日換股(index_str_to_date 公告日對齊)",
    "main_pool": "60 日均量 > 50 萬股,單季 ROE > 5%,PB < 3",
    "operating_rule": "(ΔNPM>0 或 ΔTAT>0) 且 ΔEM≤0(YoY 同季比較),依 ROE 取前 30 檔等權",
    "leverage_rule": "ΔEM>0(槓桿較去年同季擴張),依 ROE 取前 30 檔等權",
    "cost": "策略使用 finlab sim() 台股預設成本(手續費 0.1425% 未打折、賣出證交稅 0.3%);0050 基準為含息買進持有純指數算術(不含成本)"
  }
}