長期持有ETF? 先問你能承受多少的Maximum Drawdown!(七)

接續MSCI中國資料自1992年底開始,俄羅斯自1994年底開始,最大耗損同樣不是發生在金融海嘯時期,中國的最大耗損發生在1993/12/312003/3/31,最大耗損為-87.47%,俄羅斯發生在1997/9/301998/9/30時期,最大耗損-91.7%,兩者都在-90%附近。想像一下,你被告知長期投資ETF是穩健的做法,所以你投入100萬元去買入你所看好的某個國家ETF,並長期持有,但某天心血來潮打開股票帳戶卻發現只剩10萬元的感覺,接下來最後一篇我們會介紹台灣,並寫一些結論,待續。
表十一: MSCI China199212月底所發生的超過30%的最大耗損歷史紀錄
投資起始日
發生最大耗損日
投資起始日指數水準
發生最大耗損日指數水準
報酬率
1992/12/31
2003/3/31
100.00
16.75
-83.25%
1993/1/29
2003/3/31
98.88
16.75
-83.06%
1993/2/26
2003/3/31
108.82
16.75
-84.61%
1993/3/31
2003/3/31
97.16
16.75
-82.76%
1993/4/30
2003/3/31
91.81
16.75
-81.76%
1993/5/31
2003/3/31
86.31
16.75
-80.59%
1993/6/30
2003/3/31
82.31
16.75
-79.65%
1993/7/30
2003/3/31
72.57
16.75
-76.92%
1993/8/31
2003/3/31
84.87
16.75
-80.27%
1993/9/30
2003/3/31
90.58
16.75
-81.51%
1993/10/29
2003/3/31
99.35
16.75
-83.14%
1993/11/30
2003/3/31
107.53
16.75
-84.42%
1993/12/31
2003/3/31
133.69
16.75
-87.47%
1994/1/31
2003/3/31
115.93
16.75
-85.55%
1994/2/28
2003/3/31
109.69
16.75
-84.73%
1994/3/31
2003/3/31
89.68
16.75
-81.32%
1994/4/29
2003/3/31
87.63
16.75
-80.89%
1994/5/31
2003/3/31
91.68
16.75
-81.73%
1994/6/30
2003/3/31
81.73
16.75
-79.51%
1994/7/29
2003/3/31
91.27
16.75
-81.65%
1994/8/31
2003/3/31
96.52
16.75
-82.65%
1994/9/30
2003/3/31
97.79
16.75
-82.87%
1994/10/31
2003/3/31
94.02
16.75
-82.19%
1994/11/30
2003/3/31
81.77
16.75
-79.52%
1994/12/30
2003/3/31
71.64
16.75
-76.62%
1995/1/31
2003/3/31
61.74
16.75
-72.87%
1995/2/28
2003/3/31
68.82
16.75
-75.66%
1995/3/31
2003/3/31
68.93
16.75
-75.70%
1995/4/28
2003/3/31
61.69
16.75
-72.85%
1995/5/31
2003/3/31
72.70
16.75
-76.96%
1995/6/30
2003/3/31
71.85
16.75
-76.69%
1995/7/31
2003/3/31
75.43
16.75
-77.80%
1995/8/31
2003/3/31
71.04
16.75
-76.42%
1995/9/29
2003/3/31
67.95
16.75
-75.35%
1995/10/31
2003/3/31
63.74
16.75
-73.72%
1995/11/30
2003/3/31
59.25
16.75
-71.73%
1995/12/29
2003/3/31
56.51
16.75
-70.36%
1996/1/31
2003/3/31
65.16
16.75
-74.30%
1996/2/29
2003/3/31
67.10
16.75
-75.04%
1996/3/29
2003/3/31
64.01
16.75
-73.83%
1996/4/30
2003/3/31
60.62
16.75
-72.37%
1996/5/31
2003/3/31
63.41
16.75
-73.58%
1996/6/28
2003/3/31
64.41
16.75
-74.00%
1996/7/31
2003/3/31
62.16
16.75
-73.06%
1996/8/30
2003/3/31
61.96
16.75
-72.97%
1996/9/30
2003/3/31
61.24
16.75
-72.65%
1996/10/31
2003/3/31
59.74
16.75
-71.96%
1996/11/29
2003/3/31
66.64
16.75
-74.87%
1996/12/31
2003/3/31
77.68
16.75
-78.44%
1997/1/31
2003/3/31
75.95
16.75
-77.95%
1997/2/28
2003/3/31
78.19
16.75
-78.58%
1997/3/31
2003/3/31
75.93
16.75
-77.94%
1997/4/30
2003/3/31
85.96
16.75
-80.52%
1997/5/30
2003/3/31
84.99
16.75
-80.29%
1997/6/30
2003/3/31
86.89
16.75
-80.72%
1997/7/31
2003/3/31
98.79
16.75
-83.05%
1997/8/29
2003/3/31
104.62
16.75
-83.99%
1997/9/30
2003/3/31
87.22
16.75
-80.80%
1997/10/31
2003/3/31
73.06
16.75
-77.07%
1997/11/28
2003/3/31
59.83
16.75
-72.01%
1997/12/31
2003/3/31
58.06
16.75
-71.15%
1998/1/30
2003/3/31
43.29
16.75
-61.31%
1998/2/27
2003/3/31
58.66
16.75
-71.44%
1998/3/31
2003/3/31
57.14
16.75
-70.69%
1998/4/30
2003/3/31
51.26
16.75
-67.32%
1998/5/29
2003/3/31
44.53
16.75
-62.39%
1998/6/30
2003/3/31
37.59
16.75
-55.44%
1998/7/31
2003/3/31
30.79
16.75
-45.60%
1998/9/30
2003/3/31
32.15
16.75
-47.90%
1998/10/30
2003/3/31
35.35
16.75
-52.62%
1998/11/30
2003/3/31
36.47
16.75
-54.07%
1998/12/31
2003/3/31
33.46
16.75
-49.95%
1999/1/29
2003/3/31
27.24
16.75
-38.52%
1999/2/26
2003/3/31
26.09
16.75
-35.80%
1999/3/31
2003/3/31
29.63
16.75
-43.48%
1999/4/30
2003/3/31
37.08
16.75
-54.83%
1999/5/31
2003/3/31
37.17
16.75
-54.93%
1999/6/30
2003/3/31
54.57
16.75
-69.31%
1999/7/30
2003/3/31
47.76
16.75
-64.93%
1999/8/31
2003/3/31
47.38
16.75
-64.65%
1999/9/30
2003/3/31
45.48
16.75
-63.17%
1999/10/29
2003/3/31
41.81
16.75
-59.94%
1999/11/30
2003/3/31
41.01
16.75
-59.16%
1999/12/31
2003/3/31
37.93
16.75
-55.84%
2000/1/31
2003/3/31
36.27
16.75
-53.82%
2000/2/29
2003/3/31
29.61
16.75
-43.44%
2000/3/31
2003/3/31
30.29
16.75
-44.70%
2000/4/28
2003/3/31
33.15
16.75
-49.47%
2000/5/31
2003/3/31
33.74
16.75
-50.36%
2000/6/30
2003/3/31
38.25
16.75
-56.21%
2000/7/31
2003/3/31
37.53
16.75
-55.37%
2000/8/31
2003/3/31
36.00
16.75
-53.47%
2000/9/29
2003/3/31
31.62
16.75
-47.03%
2000/10/31
2003/3/31
30.14
16.75
-44.44%
2000/11/30
2003/3/31
26.13
16.75
-35.90%
2000/12/29
2003/3/31
26.34
16.75
-36.42%
2001/1/31
2003/3/31
30.16
16.75
-44.47%
2001/2/28
2003/3/31
27.41
16.75
-38.90%
2001/4/30
2003/3/31
25.30
16.75
-33.79%
2001/5/31
2003/3/31
25.99
16.75
-35.55%
2001/6/29
2003/3/31
26.84
16.75
-37.61%
2007/4/30
2008/10/31
72.35
50.50
-30.21%
2007/5/31
2008/10/31
77.80
50.50
-35.10%
2007/6/29
2008/10/31
86.78
50.50
-41.81%
2007/7/31
2008/10/31
95.76
50.50
-47.27%
2007/8/31
2008/10/31
102.66
50.50
-50.81%
2007/9/28
2008/10/31
123.13
50.50
-58.99%
2007/10/31
2008/10/31
143.56
50.50
-64.83%
2007/11/30
2008/10/31
124.16
50.50
-59.33%
2007/12/31
2008/10/31
118.64
50.50
-57.44%
2008/1/31
2008/10/31
93.06
50.50
-45.74%
2008/2/29
2008/10/31
103.09
50.50
-51.02%
2008/3/31
2008/10/31
90.54
50.50
-44.22%
2008/4/30
2008/10/31
104.67
50.50
-51.76%
2008/5/30
2008/10/31
99.48
50.50
-49.24%
2008/6/30
2008/10/31
87.40
50.50
-42.23%
2008/7/31
2008/10/31
89.42
50.50
-43.53%
2008/8/29
2008/10/31
82.10
50.50
-38.49%
2015/4/30
2016/2/29
142.12
88.54
-37.70%
2015/5/29
2016/2/29
136.88
88.54
-35.31%
2015/6/30
2016/2/29
129.38
88.54
-31.56%

表十二: MSCI Russia199412月底所發生的超過30%的最大耗損歷史紀錄
投資起始日
發生最大耗損日
投資起始日指數水準
發生最大耗損日指數水準
報酬率
1994/12/30
1998/9/30
100.00
39.51
-60.49%
1995/1/31
1998/9/30
78.01
39.51
-49.35%
1995/2/28
1998/9/30
62.43
39.51
-36.71%
1995/3/31
1998/9/30
67.86
39.51
-41.78%
1995/5/31
1998/9/30
68.60
39.51
-42.41%
1995/6/30
1998/9/30
98.09
39.51
-59.72%
1995/7/31
1998/9/30
98.05
39.51
-59.70%
1995/8/31
1998/9/30
84.97
39.51
-53.50%
1995/9/29
1998/9/30
80.79
39.51
-51.09%
1995/10/31
1998/9/30
68.19
39.51
-42.06%
1995/11/30
1998/9/30
65.38
39.51
-39.57%
1995/12/29
1998/9/30
72.91
39.51
-45.81%
1996/1/31
1998/9/30
74.41
39.51
-46.90%
1996/2/29
1998/9/30
66.76
39.51
-40.81%
1996/3/29
1998/9/30
69.81
39.51
-43.40%
1996/4/30
1998/9/30
97.48
39.51
-59.47%
1996/5/31
1998/9/30
133.72
39.51
-70.45%
1996/6/28
1998/9/30
190.66
39.51
-79.28%
1996/7/31
1998/9/30
141.73
39.51
-72.12%
1996/8/30
1998/9/30
174.91
39.51
-77.41%
1996/9/30
1998/9/30
156.00
39.51
-74.67%
1996/10/31
1998/9/30
170.44
39.51
-76.82%
1996/11/29
1998/9/30
175.18
39.51
-77.45%
1996/12/31
1998/9/30
184.40
39.51
-78.57%
1997/1/31
1998/9/30
254.63
39.51
-84.48%
1997/2/28
1998/9/30
300.80
39.51
-86.86%
1997/3/31
1998/9/30
277.31
39.51
-85.75%
1997/4/30
1998/9/30
299.79
39.51
-86.82%
1997/5/30
1998/9/30
337.34
39.51
-88.29%
1997/6/30
1998/9/30
401.54
39.51
-90.16%
1997/7/31
1998/9/30
467.65
39.51
-91.55%
1997/8/29
1998/9/30
442.53
39.51
-91.07%
1997/9/30
1998/9/30
476.19
39.51
-91.70%
1997/10/31
1998/9/30
407.88
39.51
-90.31%
1997/11/28
1998/9/30
321.02
39.51
-87.69%
1997/12/31
1998/9/30
391.16
39.51
-89.90%
1998/1/30
1998/9/30
273.67
39.51
-85.56%
1998/2/27
1998/9/30
321.23
39.51
-87.70%
1998/3/31
1998/9/30
339.33
39.51
-88.36%
1998/4/30
1998/9/30
331.27
39.51
-88.07%
1998/5/29
1998/9/30
200.93
39.51
-80.34%
1998/6/30
1998/9/30
159.04
39.51
-75.16%
1998/7/31
1998/9/30
162.43
39.51
-75.68%
1998/8/31
1998/9/30
64.05
39.51
-38.31%
1999/6/30
1999/9/30
155.46
106.66
-31.39%
1999/12/31
2000/11/30
230.89
157.37
-31.84%
2000/3/31
2000/11/30
283.78
157.37
-44.54%
2000/4/28
2000/11/30
277.89
157.37
-43.37%
2000/5/31
2000/11/30
236.04
157.37
-33.33%
2000/7/31
2000/11/30
243.99
157.37
-35.50%
2000/8/31
2000/11/30
290.67
157.37
-45.86%
2000/9/29
2000/11/30
238.28
157.37
-33.96%
2004/3/31
2009/2/27
663.95
422.22
-36.41%
2005/2/28
2009/2/27
620.80
422.22
-31.99%
2005/6/30
2009/2/27
607.86
422.22
-30.54%
2005/7/29
2009/2/27
674.13
422.22
-37.37%
2005/8/31
2009/2/27
770.05
422.22
-45.17%
2005/9/30
2009/2/27
900.12
422.22
-53.09%
2005/10/31
2009/2/27
830.02
422.22
-49.13%
2005/11/30
2009/2/27
899.31
422.22
-53.05%
2005/12/30
2009/2/27
941.44
422.22
-55.15%
2006/1/31
2009/2/27
1117.68
422.22
-62.22%
2006/2/28
2009/2/27
1196.88
422.22
-64.72%
2006/3/31
2009/2/27
1208.38
422.22
-65.06%
2006/4/28
2009/2/27
1353.89
422.22
-68.81%
2006/5/31
2009/2/27
1215.85
422.22
-65.27%
2006/6/30
2009/2/27
1246.94
422.22
-66.14%
2006/7/31
2009/2/27
1283.80
422.22
-67.11%
2006/8/31
2009/2/27
1342.30
422.22
-68.55%
2006/9/29
2009/2/27
1252.34
422.22
-66.29%
2006/10/31
2009/2/27
1284.55
422.22
-67.13%
2006/11/30
2009/2/27
1426.02
422.22
-70.39%
2006/12/29
2009/2/27
1468.00
422.22
-71.24%
2007/1/31
2009/2/27
1391.18
422.22
-69.65%
2007/2/28
2009/2/27
1366.62
422.22
-69.11%
2007/3/30
2009/2/27
1423.82
422.22
-70.35%
2007/4/30
2009/2/27
1400.13
422.22
-69.84%
2007/5/31
2009/2/27
1305.77
422.22
-67.67%
2007/6/29
2009/2/27
1431.41
422.22
-70.50%
2007/7/31
2009/2/27
1497.49
422.22
-71.81%
2007/8/31
2009/2/27
1441.39
422.22
-70.71%
2007/9/28
2009/2/27
1560.22
422.22
-72.94%
2007/10/31
2009/2/27
1720.11
422.22
-75.45%
2007/11/30
2009/2/27
1752.96
422.22
-75.91%
2007/12/31
2009/2/27
1831.95
422.22
-76.95%
2008/1/31
2009/2/27
1536.50
422.22
-72.52%
2008/2/29
2009/2/27
1651.46
422.22
-74.43%
2008/3/31
2009/2/27
1621.04
422.22
-73.95%
2008/4/30
2009/2/27
1665.10
422.22
-74.64%
2008/5/30
2009/2/27
1934.07
422.22
-78.17%
2008/6/30
2009/2/27
1798.54
422.22
-76.52%
2008/7/31
2009/2/27
1510.51
422.22
-72.05%
2008/8/29
2009/2/27
1289.94
422.22
-67.27%
2008/9/30
2009/2/27
984.58
422.22
-57.12%
2008/10/31
2009/2/27
637.26
422.22
-33.75%
2009/9/30
2015/1/30
889.48
589.62
-33.71%
2009/10/30
2015/1/30
929.39
589.62
-36.56%
2009/11/30
2015/1/30
951.41
589.62
-38.03%
2009/12/31
2015/1/30
982.57
589.62
-39.99%
2010/1/29
2015/1/30
1006.05
589.62
-41.39%
2010/2/26
2015/1/30
953.31
589.62
-38.15%
2010/3/31
2015/1/30
1049.03
589.62
-43.79%
2010/4/30
2015/1/30
1041.84
589.62
-43.41%
2010/5/31
2015/1/30
926.81
589.62
-36.38%
2010/6/30
2015/1/30
887.92
589.62
-33.59%
2010/7/30
2015/1/30
989.25
589.62
-40.40%
2010/8/31
2015/1/30
951.19
589.62
-38.01%
2010/9/30
2015/1/30
1007.05
589.62
-41.45%
2010/10/29
2015/1/30
1056.72
589.62
-44.20%
2010/11/30
2015/1/30
1055.99
589.62
-44.16%
2010/12/31
2015/1/30
1173.19
589.62
-49.74%
2011/1/31
2015/1/30
1220.37
589.62
-51.68%
2011/2/28
2015/1/30
1297.24
589.62
-54.55%
2011/3/31
2015/1/30
1364.36
589.62
-56.78%
2011/4/29
2015/1/30
1370.49
589.62
-56.98%
2011/5/31
2015/1/30
1285.34
589.62
-54.13%
2011/6/30
2015/1/30
1291.31
589.62
-54.34%
2011/7/29
2015/1/30
1317.57
589.62
-55.25%
2011/8/31
2015/1/30
1140.82
589.62
-48.32%
2011/9/30
2015/1/30
891.54
589.62
-33.86%
2011/10/31
2015/1/30
1062.21
589.62
-44.49%
2011/11/30
2015/1/30
1059.12
589.62
-44.33%
2011/12/30
2015/1/30
946.71
589.62
-37.72%
2012/1/31
2015/1/30
1086.93
589.62
-45.75%
2012/2/29
2015/1/30
1191.37
589.62
-50.51%
2012/3/30
2015/1/30
1122.88
589.62
-47.49%
2012/4/30
2015/1/30
1091.99
589.62
-46.00%
2012/5/31
2015/1/30
884.31
589.62
-33.32%
2012/6/29
2015/1/30
965.52
589.62
-38.93%
2012/7/31
2015/1/30
992.76
589.62
-40.61%
2012/8/31
2015/1/30
1001.61
589.62
-41.13%
2012/9/28
2015/1/30
1056.26
589.62
-44.18%
2012/10/31
2015/1/30
1020.35
589.62
-42.21%
2012/11/30
2015/1/30
1020.10
589.62
-42.20%
2012/12/31
2015/1/30
1082.91
589.62
-45.55%
2013/1/31
2015/1/30
1150.98
589.62
-48.77%
2013/2/28
2015/1/30
1086.48
589.62
-45.73%
2013/3/29
2015/1/30
1048.55
589.62
-43.77%
2013/4/30
2015/1/30
1026.55
589.62
-42.56%
2013/5/31
2015/1/30
1005.04
589.62
-41.33%
2013/6/28
2015/1/30
961.98
589.62
-38.71%
2013/7/31
2015/1/30
994.72
589.62
-40.72%
2013/8/30
2015/1/30
992.18
589.62
-40.57%
2013/9/30
2015/1/30
1093.66
589.62
-46.09%
2013/10/31
2015/1/30
1138.64
589.62
-48.22%
2013/11/29
2015/1/30
1080.33
589.62
-45.42%
2013/12/31
2015/1/30
1097.54
589.62
-46.28%
2014/1/31
2015/1/30
986.30
589.62
-40.22%
2014/2/28
2015/1/30
962.62
589.62
-38.75%
2014/3/31
2015/1/30
938.97
589.62
-37.20%
2014/4/30
2015/1/30
878.77
589.62
-32.90%
2014/5/30
2015/1/30
986.20
589.62
-40.21%
2014/6/30
2015/1/30
1040.77
589.62
-43.35%
2014/7/31
2015/1/30
952.94
589.62
-38.13%
2014/8/29
2015/1/30
938.44
589.62
-37.17%
2014/9/30
2015/1/30
883.94
589.62
-33.30%
2014/10/31
2015/1/30
866.00
589.62
-31.91%