{
  "slug": "price-book-ratio-stock-strategy",
  "data_end": "2026-09-30",
  "run_date": "2026-10-11",
  "finlab_version": "2.2.10",
  "rebalance": "每季最後一個交易日",
  "cost": "finlab sim() 台股預設:手續費 0.1425%、賣出證交稅 0.3%;0050 為 etl:adj_close 買進持有,不含成本",
  "windows": {
    "factor": "2010-03-31",
    "strategy": "2013-09-30",
    "compare": "2018-01-02"
  },
  "factor_layer": {
    "Q1": {
      "start": "2010-03-31",
      "end": "2026-09-30",
      "cagr": 14.17,
      "daily_sharpe": 0.98,
      "daily_sortino": 1.01,
      "monthly_sortino": 1.19,
      "max_drawdown": -34.71,
      "annual_vol": 15.14,
      "total_return": 790.7
    },
    "Q2": {
      "start": "2010-03-31",
      "end": "2026-09-30",
      "cagr": 11.68,
      "daily_sharpe": 0.83,
      "daily_sortino": 0.85,
      "monthly_sortino": 1.03,
      "max_drawdown": -35.24,
      "annual_vol": 15.06,
      "total_return": 519.0
    },
    "Q3": {
      "start": "2010-03-31",
      "end": "2026-09-30",
      "cagr": 10.34,
      "daily_sharpe": 0.73,
      "daily_sortino": 0.77,
      "monthly_sortino": 0.95,
      "max_drawdown": -33.38,
      "annual_vol": 15.49,
      "total_return": 407.0
    },
    "Q4": {
      "start": "2010-03-31",
      "end": "2026-09-30",
      "cagr": 8.97,
      "daily_sharpe": 0.62,
      "daily_sortino": 0.67,
      "monthly_sortino": 0.79,
      "max_drawdown": -32.12,
      "annual_vol": 16.33,
      "total_return": 312.6
    },
    "Q5": {
      "start": "2010-03-31",
      "end": "2026-09-30",
      "cagr": 7.57,
      "daily_sharpe": 0.5,
      "daily_sortino": 0.57,
      "monthly_sortino": 0.65,
      "max_drawdown": -35.15,
      "annual_vol": 18.18,
      "total_return": 233.5
    },
    "PB<0.5": {
      "start": "2010-03-31",
      "end": "2026-09-30",
      "cagr": 7.25,
      "daily_sharpe": 0.48,
      "daily_sortino": 0.59,
      "monthly_sortino": 0.7,
      "max_drawdown": -48.51,
      "annual_vol": 18.65,
      "total_return": 217.5
    },
    "PB<0.8": {
      "start": "2010-03-31",
      "end": "2026-09-30",
      "cagr": 12.73,
      "daily_sharpe": 0.89,
      "daily_sortino": 0.93,
      "monthly_sortino": 1.06,
      "max_drawdown": -38.25,
      "annual_vol": 15.15,
      "total_return": 622.4
    },
    "PB<1.0": {
      "start": "2010-03-31",
      "end": "2026-09-30",
      "cagr": 13.41,
      "daily_sharpe": 0.94,
      "daily_sortino": 0.97,
      "monthly_sortino": 1.16,
      "max_drawdown": -34.97,
      "annual_vol": 14.97,
      "total_return": 698.0
    },
    "Q1 排除金融": {
      "start": "2010-03-31",
      "end": "2026-09-30",
      "cagr": 13.99,
      "daily_sharpe": 0.96,
      "daily_sortino": 0.99,
      "monthly_sortino": 1.16,
      "max_drawdown": -34.82,
      "annual_vol": 15.3,
      "total_return": 767.6
    },
    "0050": {
      "start": "2010-03-31",
      "end": "2026-09-30",
      "cagr": 17.24,
      "daily_sharpe": 0.97,
      "daily_sortino": 1.34,
      "monthly_sortino": 1.61,
      "max_drawdown": -33.96,
      "annual_vol": 18.65,
      "total_return": 1280.7
    }
  },
  "strategy_layer": {
    "排雷策略": {
      "start": "2013-09-30",
      "end": "2026-09-30",
      "cagr": 15.55,
      "daily_sharpe": 0.92,
      "daily_sortino": 1.09,
      "monthly_sortino": 1.34,
      "max_drawdown": -35.9,
      "annual_vol": 17.89,
      "total_return": 554.9
    },
    "無排雷對照": {
      "start": "2013-09-30",
      "end": "2026-09-30",
      "cagr": 17.83,
      "daily_sharpe": 0.99,
      "daily_sortino": 1.21,
      "monthly_sortino": 1.48,
      "max_drawdown": -36.44,
      "annual_vol": 18.93,
      "total_return": 743.5
    },
    "0050": {
      "start": "2013-09-30",
      "end": "2026-09-30",
      "cagr": 20.84,
      "daily_sharpe": 1.12,
      "daily_sortino": 1.53,
      "monthly_sortino": 1.84,
      "max_drawdown": -33.96,
      "annual_vol": 19.11,
      "total_return": 1071.8
    }
  },
  "compare_2018": {
    "排雷策略": {
      "start": "2018-01-02",
      "end": "2026-09-30",
      "cagr": 17.14,
      "daily_sharpe": 0.98,
      "daily_sortino": 1.16,
      "monthly_sortino": 1.49,
      "max_drawdown": -35.9,
      "annual_vol": 18.6,
      "total_return": 298.8
    },
    "0050": {
      "start": "2018-01-02",
      "end": "2026-09-30",
      "cagr": 25.28,
      "daily_sharpe": 1.2,
      "daily_sortino": 1.65,
      "monthly_sortino": 1.95,
      "max_drawdown": -33.96,
      "annual_vol": 21.36,
      "total_return": 617.3
    }
  },
  "holdings": {
    "Q1": {
      "avg_holdings": 322.5,
      "min_holdings": 251,
      "min_holdings_date": "2010-09-30",
      "max_holdings": 394,
      "max_holdings_date": "2026-09-30",
      "annual_turnover": 0.63
    },
    "Q2": {
      "avg_holdings": 323.2,
      "min_holdings": 254,
      "min_holdings_date": "2010-03-31",
      "max_holdings": 390,
      "max_holdings_date": "2026-03-31",
      "annual_turnover": 1.29
    },
    "Q3": {
      "avg_holdings": 323.8,
      "min_holdings": 254,
      "min_holdings_date": "2010-03-31",
      "max_holdings": 399,
      "max_holdings_date": "2026-09-30",
      "annual_turnover": 1.44
    },
    "Q4": {
      "avg_holdings": 323.0,
      "min_holdings": 254,
      "min_holdings_date": "2010-06-30",
      "max_holdings": 391,
      "max_holdings_date": "2026-06-30",
      "annual_turnover": 1.31
    },
    "Q5": {
      "avg_holdings": 323.9,
      "min_holdings": 255,
      "min_holdings_date": "2010-03-31",
      "max_holdings": 392,
      "max_holdings_date": "2026-09-30",
      "annual_turnover": 0.69
    },
    "PB<0.5": {
      "avg_holdings": 24.0,
      "min_holdings": 3,
      "min_holdings_date": "2014-06-30",
      "max_holdings": 108,
      "max_holdings_date": "2020-03-31",
      "annual_turnover": 1.66
    },
    "PB<0.8": {
      "avg_holdings": 205.8,
      "min_holdings": 72,
      "min_holdings_date": "2010-09-30",
      "max_holdings": 487,
      "max_holdings_date": "2020-03-31",
      "annual_turnover": 1.1
    },
    "PB<1.0": {
      "avg_holdings": 384.3,
      "min_holdings": 170,
      "min_holdings_date": "2024-06-30",
      "max_holdings": 721,
      "max_holdings_date": "2020-03-31",
      "annual_turnover": 0.81
    },
    "Q1 排除金融": {
      "avg_holdings": 314.1,
      "min_holdings": 245,
      "min_holdings_date": "2010-03-31",
      "max_holdings": 385,
      "max_holdings_date": "2026-06-30",
      "annual_turnover": 0.63
    },
    "排雷策略": {
      "avg_holdings": 18.2,
      "min_holdings": 1,
      "min_holdings_date": "2020-03-31",
      "max_holdings": 20,
      "max_holdings_date": "2013-09-30",
      "annual_turnover": 3.1
    },
    "無排雷對照": {
      "avg_holdings": 19.2,
      "min_holdings": 2,
      "min_holdings_date": "2020-03-31",
      "max_holdings": 20,
      "max_holdings_date": "2013-09-30",
      "annual_turnover": 3.04
    }
  },
  "q1_minus_q5_cagr": 6.6,
  "q1_financial_share": {
    "avg": 5.9,
    "latest": 2.5,
    "latest_date": "2026-09-30"
  },
  "yearly_returns": {
    "2010": {
      "Q1": 18.19,
      "Q5": 1.13,
      "0050": 17.72
    },
    "2011": {
      "Q1": -27.99,
      "Q5": -28.88,
      "0050": -15.81
    },
    "2012": {
      "Q1": 14.41,
      "Q5": 19.17,
      "0050": 11.92
    },
    "2013": {
      "Q1": 34.28,
      "Q5": 29.68,
      "0050": 11.68
    },
    "2014": {
      "Q1": 18.92,
      "Q5": 7.92,
      "0050": 16.66
    },
    "2015": {
      "Q1": -11.88,
      "Q5": -3.27,
      "0050": -6.28
    },
    "2016": {
      "Q1": 18.02,
      "Q5": 0.21,
      "0050": 19.65
    },
    "2017": {
      "Q1": 25.01,
      "Q5": 20.12,
      "0050": 18.14
    },
    "2018": {
      "Q1": -0.26,
      "Q5": -15.36,
      "0050": -4.94
    },
    "2019": {
      "Q1": 22.64,
      "Q5": 19.26,
      "0050": 33.52
    },
    "2020": {
      "Q1": 40.15,
      "Q5": 15.59,
      "0050": 31.14
    },
    "2021": {
      "Q1": 47.27,
      "Q5": 23.47,
      "0050": 21.92
    },
    "2022": {
      "Q1": -0.63,
      "Q5": -19.61,
      "0050": -21.37
    },
    "2023": {
      "Q1": 32.67,
      "Q5": 33.68,
      "0050": 27.52
    },
    "2024": {
      "Q1": 15.27,
      "Q5": 11.09,
      "0050": 48.64
    },
    "2025": {
      "Q1": 0.54,
      "Q5": 2.98,
      "0050": 36.83
    },
    "2026": {
      "Q1": 14.23,
      "Q5": 34.82,
      "0050": 74.27
    }
  },
  "since_2024_return": {
    "Q1": 32.38,
    "Q2": 49.72,
    "Q3": 39.19,
    "Q4": 39.42,
    "Q5": 54.24,
    "0050": 254.46
  },
  "forward_since_prev_end": {
    "from": "2026-06-09",
    "to": "2026-09-30",
    "returns": {
      "Q1": 2.63,
      "Q5": -0.63,
      "排雷策略": 7.91,
      "無排雷對照": 9.03,
      "0050": 8.92
    }
  },
  "pb_snapshots": [
    {
      "date": "2015-08-24",
      "median": 0.99,
      "p20": 0.62,
      "share_below_cheap_line": 61.7
    },
    {
      "date": "2020-03-19",
      "median": 0.99,
      "p20": 0.61,
      "share_below_cheap_line": 60.7
    },
    {
      "date": "2026-09-30",
      "median": 1.83,
      "p20": 1.04,
      "share_below_cheap_line": 26.6
    }
  ],
  "alignment_check": {
    "note": "0050 年化,資料截至上一版截止日,比較上一版起算日與本版同日起算",
    "data_end": "2026-06-09",
    "factor_layer": {
      "previous_start": "2010-01-04",
      "previous_cagr": 16.43,
      "aligned_start": "2010-03-31",
      "aligned_cagr": 16.98
    },
    "strategy_layer": {
      "previous_start": "2013-07-01",
      "previous_cagr": 20.41,
      "aligned_start": "2013-09-30",
      "aligned_cagr": 20.59
    }
  }
}