{
  "title": "台股動態槓桿 Part 6：跨商品決策",
  "asOf": "2026-09-10",
  "generatedAt": "2026-09-11",
  "baseCurrency": "TWD",
  "dataSource": "Yahoo Finance adjusted-close series, including TWD=X for USD/TWD conversion",
  "returnDefinition": "Daily simple total returns from adjusted close; US assets converted to unhedged TWD wealth before leverage",
  "volatilityDefinition": "Sample standard deviation of daily simple returns multiplied by square root of 252",
  "sample": {
    "start": "2015-01",
    "end": "2026-09-10",
    "note": "共同長樣本使用調整後收盤價；美元商品先換算為未避險台幣報酬。009826因2026年8月3日才上市，不參加長期績效排名。"
  },
  "model": {
    "targetEffectiveExposure": 1.5,
    "borrowRate": 0.0388,
    "dailyRebalancedOneXFormula": "r_equity = 1.5 * r_asset_TWD - 0.5 * 0.0388 / 252",
    "leveragedEtfEquivalent": "75% 00631L + 25% zero-yield cash; no additional 3.88% charge",
    "interestDragOnEquity": 0.0194
  },
  "productsWithoutLongRanking": [
    {
      "symbol": "009826",
      "officialName": "iShares安碩標普全球卓越50 ETF基金",
      "issuer": "BlackRock / 貝萊德投信",
      "index": "S&P TIP Global All Cap Index",
      "listedAt": "2026-08-03",
      "managementFee": 0.0045,
      "distribution": "累積型，不配發現金收益",
      "reason": "上市時間太短，僅比較產品設計，不參加2015年起的績效排名。"
    }
  ],
  "historicalResults": [
    { "symbol": "VT", "cagr": 0.1317, "annualizedVolatility": 0.2841, "maxDrawdown": -0.4726 },
    { "symbol": "VOO", "cagr": 0.1730, "annualizedVolatility": 0.2939, "maxDrawdown": -0.4723 },
    { "symbol": "VTI", "cagr": 0.1644, "annualizedVolatility": 0.2970, "maxDrawdown": -0.4844 },
    { "symbol": "QQQ", "cagr": 0.2449, "annualizedVolatility": 0.3505, "maxDrawdown": -0.4281 },
    { "symbol": "0050", "cagr": 0.3021, "annualizedVolatility": 0.2966, "maxDrawdown": -0.4766 },
    { "symbol": "2330", "cagr": 0.4555, "annualizedVolatility": 0.4104, "maxDrawdown": -0.6067 },
    { "symbol": "00631L-equivalent", "label": "75% 00631L + 25% cash", "cagr": 0.3037, "annualizedVolatility": 0.2947, "maxDrawdown": -0.4382 }
  ],
  "correlationEvidence": {
    "method": "Weekly unhedged TWD total returns, 2015-01 through 2026-09-10; weekly data reduce Taiwan-US market-close timing mismatch.",
    "commonWeeks": 601,
    "correlationWith0050": {
      "2330": 0.914,
      "00631L": 0.899,
      "QQQ": 0.449,
      "VT": 0.448,
      "VTI": 0.405,
      "VOO": 0.400
    },
    "overlapCorrelation": {
      "VTI_VOO": 0.996,
      "VT_VTI": 0.976,
      "VOO_QQQ": 0.923
    },
    "stressWeeks": {
      "definition": "Weeks when 0050 return was below -3%",
      "observations": 47,
      "sameDirectionDownPercent": {
        "2330": 100.00,
        "00631L": 93.62,
        "VT": 87.23,
        "VTI": 82.98,
        "VOO": 76.60,
        "QQQ": 76.60
      }
    },
    "weeklyRebalanced15xPortfolio": {
      "all0050": { "cagr": 0.2968, "annualizedVolatility": 0.2724, "maxDrawdown": -0.4575 },
      "half0050HalfVT": { "cagr": 0.2217, "annualizedVolatility": 0.2205, "maxDrawdown": -0.3811 },
      "half0050HalfVTI": { "cagr": 0.2397, "annualizedVolatility": 0.2239, "maxDrawdown": -0.3771 }
    },
    "allocationSearch": {
      "assets": ["0050", "2330", "VT", "VTI", "VOO", "QQQ"],
      "weightStep": 0.25,
      "combinationCount": 51,
      "fullCombinationFile": "/data/cross-asset-leverage-part6-combinations.json",
      "note": "The article table shows only non-dominated historical portfolios. A portfolio is dominated when another tested allocation has no higher volatility and no lower CAGR."
    }
  },
  "stackedLeverageWarning": {
    "scenario": "1.5x account exposure invested entirely in 00631L",
    "approximateUnderlyingExposure": 3.0,
    "historicalCagr": 0.5178,
    "annualizedVolatility": 0.5894,
    "maxDrawdown": -0.7331,
    "note": "This is not an equal-exposure comparison and is shown only as a warning."
  },
  "limitations": [
    "Historical sample, not a forecast.",
    "Fixed 3.88% model rate; actual eligibility, rate, haircut, maintenance ratio and concentration limits vary by lender.",
    "No margin calls, forced liquidation, taxes, trading costs or execution delay.",
    "Daily constant leverage differs from a fixed-loan portfolio whose leverage drifts.",
    "Adjusted-close total returns are pre-investor-tax; US dividend withholding can reduce realized returns.",
    "The sample includes a strong Taiwan and AI bull market."
  ]
}