宏观动量策略
两个低相关、高 Sharpe 的月度再平衡策略，均以防御为核心
防御资产动量 (Defense-First Dual Momentum)
Keller "Defensive Asset Allocation" (2018, SSRN)
- 1每月最后一个交易日收盘时，计算 TLT（长债）、GLD（黄金）、DBC（商品）的 1/3/6/12 月收益率均值作为动量信号
- 2将三种防御资产按动量从高到低排序，分配权重：40%、30%、20%
- 3如果某资产的动量低于 BIL（国库券/无风险利率），则该部分仓位转投 SPY（美股）
- 4持有至下月末再平衡。核心逻辑：用防御资产而非进攻资产来引导风险——防御资产集体失去动量时，正是股市最强的时候
—
当前信号（2026-07-13）
DBC 40% | SPY←TLT 30% | SPY←GLD 20%
年化收益
+9.8%
年化波动
+10.6%
Sharpe
0.73
最大回撤
-18.0%
Calmar
0.54
SPY 年化
+12.2%
60/40 年化
+7.4%
净值与回撤
调仓日志
共 253 次调仓，月度再平衡
| 日期 | 持仓 |
|---|---|
| 2026-07-13 | DBC 40%SPY 50% |
| 2026-06-30 | DBC 40%SPY 50% |
| 2026-05-29 | DBC 40%GLD 30%SPY 20% |
| 2026-04-30 | DBC 40%GLD 30%SPY 20% |
| 2026-03-31 | DBC 40%GLD 30%SPY 20% |
| 2026-02-27 | GLD 40%DBC 30%TLT 20% |
| 2026-01-30 | GLD 40%DBC 30%SPY 20% |
| 2025-12-31 | GLD 40%DBC 30%SPY 20% |
| 2025-11-28 | GLD 40%DBC 30%TLT 20% |
| 2025-10-31 | GLD 40%DBC 30%TLT 20% |
| 2025-09-30 | GLD 40%DBC 30%SPY 20% |
| 2025-08-29 | GLD 40%DBC 30%SPY 20% |
| 2025-07-31 | GLD 40%DBC 30%SPY 20% |
| 2025-06-30 | GLD 40%SPY 50% |
| 2025-05-30 | GLD 40%SPY 50% |
| 2025-04-30 | GLD 40%SPY 50% |
| 2025-03-31 | GLD 40%DBC 30%SPY 20% |
| 2025-02-28 | GLD 40%SPY 50% |
| 2025-01-31 | GLD 40%SPY 50% |
| 2024-12-31 | GLD 40%SPY 50% |
| 2024-11-29 | GLD 40%TLT 30%SPY 20% |
| 2024-10-31 | GLD 40%TLT 30%SPY 20% |
| 2024-09-30 | GLD 40%TLT 30%SPY 20% |
| 2024-08-30 | GLD 40%TLT 30%SPY 20% |
| 2024-07-31 | GLD 40%TLT 30%SPY 20% |
| 2024-06-28 | GLD 40%DBC 30%SPY 20% |
| 2024-05-31 | GLD 40%DBC 30%SPY 20% |
| 2024-04-30 | GLD 40%SPY 50% |
| 2024-03-28 | GLD 40%SPY 50% |
| 2024-02-29 | GLD 40%SPY 50% |
| 2024-01-31 | GLD 40%TLT 30%SPY 20% |
| 2023-12-29 | GLD 40%TLT 30%SPY 20% |
| 2023-11-30 | GLD 40%SPY 50% |
| 2023-10-31 | GLD 40%SPY 50% |
| 2023-09-29 | DBC 40%SPY 50% |
| 2023-08-31 | GLD 40%DBC 30%SPY 20% |
| 2023-07-31 | GLD 40%DBC 30%SPY 20% |
| 2023-06-30 | GLD 40%SPY 50% |
| 2023-05-31 | GLD 40%SPY 50% |
| 2023-04-28 | GLD 40%SPY 50% |
| 2023-03-31 | GLD 40%SPY 50% |
| 2023-02-28 | SPY 90% |
| 2023-01-31 | GLD 40%DBC 30%SPY 20% |
| 2022-12-30 | GLD 40%DBC 30%SPY 20% |
| 2022-11-30 | DBC 40%GLD 30%SPY 20% |
| 2022-10-31 | DBC 40%SPY 50% |
| 2022-09-30 | SPY 90% |
| 2022-08-31 | DBC 40%SPY 50% |
| 2022-07-29 | DBC 40%SPY 50% |
| 2022-06-30 | DBC 40%SPY 50% |
| 2022-05-31 | DBC 40%SPY 50% |
| 2022-04-29 | DBC 40%GLD 30%SPY 20% |
| 2022-03-31 | DBC 40%GLD 30%SPY 20% |
| 2022-02-28 | DBC 40%GLD 30%SPY 20% |
| 2022-01-31 | DBC 40%SPY 50% |
| 2021-12-31 | DBC 40%GLD 30%SPY 20% |
| 2021-11-30 | DBC 40%TLT 30%SPY 20% |
| 2021-10-29 | DBC 40%TLT 30%SPY 20% |
| 2021-09-30 | DBC 40%SPY 50% |
| 2021-08-31 | DBC 40%TLT 30%SPY 20% |
| 2021-07-30 | DBC 40%SPY 50% |
| 2021-06-30 | DBC 40%SPY 50% |
| 2021-05-28 | DBC 40%GLD 30%SPY 20% |
| 2021-04-30 | DBC 40%SPY 50% |
| 2021-03-31 | DBC 40%SPY 50% |
| 2021-02-26 | DBC 40%SPY 50% |
| 2021-01-29 | DBC 40%GLD 30%SPY 20% |
| 2020-12-31 | GLD 40%DBC 30%TLT 20% |
| 2020-11-30 | DBC 40%TLT 30%GLD 20% |
| 2020-10-30 | GLD 40%SPY 50% |
| 2020-09-30 | GLD 40%TLT 30%DBC 20% |
| 2020-08-31 | GLD 40%TLT 30%DBC 20% |
| 2020-07-31 | GLD 40%TLT 30%SPY 20% |
| 2020-06-30 | GLD 40%TLT 30%SPY 20% |
| 2020-05-29 | GLD 40%TLT 30%SPY 20% |
| 2020-04-30 | TLT 40%GLD 30%SPY 20% |
| 2020-03-31 | TLT 40%GLD 30%SPY 20% |
| 2020-02-28 | TLT 40%GLD 30%SPY 20% |
| 2020-01-31 | GLD 40%TLT 30%SPY 20% |
| 2019-12-31 | GLD 40%DBC 30%TLT 20% |
| 2019-11-29 | TLT 40%GLD 30%SPY 20% |
| 2019-10-31 | GLD 40%TLT 30%SPY 20% |
| 2019-09-30 | TLT 40%GLD 30%SPY 20% |
| 2019-08-30 | TLT 40%GLD 30%SPY 20% |
| 2019-07-31 | GLD 40%TLT 30%SPY 20% |
| 2019-06-28 | GLD 40%TLT 30%SPY 20% |
| 2019-05-31 | TLT 40%GLD 30%SPY 20% |
| 2019-04-30 | TLT 40%SPY 50% |
| 2019-03-29 | TLT 40%GLD 30%SPY 20% |
| 2019-02-28 | GLD 40%TLT 30%SPY 20% |
| 2019-01-31 | GLD 40%TLT 30%SPY 20% |
| 2018-12-31 | GLD 40%TLT 30%SPY 20% |
| 2018-11-30 | SPY 90% |
| 2018-10-31 | SPY 90% |
| 2018-09-28 | DBC 40%SPY 50% |
| 2018-08-31 | DBC 40%SPY 50% |
| 2018-07-31 | DBC 40%SPY 50% |
| 2018-06-29 | DBC 40%SPY 50% |
| 2018-05-31 | DBC 40%GLD 30%SPY 20% |
| 2018-04-30 | DBC 40%GLD 30%SPY 20% |
| 2018-03-29 | DBC 40%GLD 30%SPY 20% |
| 2018-02-28 | DBC 40%GLD 30%SPY 20% |
| 2018-01-31 | DBC 40%GLD 30%SPY 20% |
| 2017-12-29 | DBC 40%GLD 30%TLT 20% |
| 2017-11-30 | DBC 40%GLD 30%TLT 20% |
| 2017-10-31 | DBC 40%SPY 50% |
| 2017-09-29 | DBC 40%SPY 50% |
| 2017-08-31 | GLD 40%DBC 30%TLT 20% |
| 2017-07-31 | DBC 40%GLD 30%SPY 20% |
| 2017-06-30 | SPY 90% |
| 2017-05-31 | GLD 40%TLT 30%SPY 20% |
| 2017-04-28 | GLD 40%SPY 50% |
| 2017-03-31 | DBC 40%GLD 30%SPY 20% |
| 2017-02-28 | DBC 40%GLD 30%SPY 20% |
| 2017-01-31 | DBC 40%SPY 50% |
| 2016-12-30 | DBC 40%SPY 50% |
| 2016-11-30 | DBC 40%SPY 50% |
| 2016-10-31 | DBC 40%GLD 30%SPY 20% |
| 2016-09-30 | GLD 40%TLT 30%DBC 20% |
| 2016-08-31 | TLT 40%GLD 30%DBC 20% |
| 2016-07-29 | GLD 40%TLT 30%SPY 20% |
| 2016-06-30 | GLD 40%TLT 30%DBC 20% |
| 2016-05-31 | TLT 40%GLD 30%DBC 20% |
| 2016-04-29 | GLD 40%TLT 30%DBC 20% |
| 2016-03-31 | GLD 40%TLT 30%SPY 20% |
| 2016-02-29 | GLD 40%TLT 30%SPY 20% |
| 2016-01-29 | TLT 40%SPY 50% |
| 2015-12-31 | SPY 90% |
| 2015-11-30 | SPY 90% |
| 2015-10-30 | TLT 40%SPY 50% |
| 2015-09-30 | TLT 40%SPY 50% |
| 2015-08-31 | SPY 90% |
| 2015-07-31 | TLT 40%SPY 50% |
| 2015-06-30 | SPY 90% |
| 2015-05-29 | TLT 40%SPY 50% |
| 2015-04-30 | TLT 40%SPY 50% |
| 2015-03-31 | TLT 40%SPY 50% |
| 2015-02-27 | TLT 40%SPY 50% |
| 2015-01-30 | TLT 40%GLD 30%SPY 20% |
| 2014-12-31 | TLT 40%SPY 50% |
| 2014-11-28 | TLT 40%SPY 50% |
| 2014-10-31 | TLT 40%SPY 50% |
| 2014-09-30 | TLT 40%SPY 50% |
| 2014-08-29 | TLT 40%SPY 50% |
| 2014-07-31 | TLT 40%SPY 50% |
| 2014-06-30 | GLD 40%TLT 30%DBC 20% |
| 2014-05-30 | TLT 40%SPY 50% |
| 2014-04-30 | DBC 40%SPY 50% |
| 2014-03-31 | TLT 40%SPY 50% |
| 2014-02-28 | TLT 40%SPY 50% |
| 2014-01-31 | SPY 90% |
| 2013-12-31 | SPY 90% |
| 2013-11-29 | SPY 90% |
| 2013-10-31 | SPY 90% |
| 2013-09-30 | SPY 90% |
| 2013-08-30 | SPY 90% |
| 2013-07-31 | SPY 90% |
| 2013-06-28 | SPY 90% |
| 2013-05-31 | SPY 90% |
| 2013-04-30 | TLT 40%SPY 50% |
| 2013-03-28 | SPY 90% |
| 2013-02-28 | SPY 90% |
| 2013-01-31 | DBC 40%SPY 50% |
| 2012-12-31 | DBC 40%GLD 30%SPY 20% |
| 2012-11-30 | DBC 40%GLD 30%TLT 20% |
| 2012-10-31 | TLT 40%GLD 30%SPY 20% |
| 2012-09-28 | GLD 40%DBC 30%TLT 20% |
| 2012-08-31 | TLT 40%DBC 30%GLD 20% |
| 2012-07-31 | TLT 40%SPY 50% |
| 2012-06-29 | TLT 40%GLD 30%SPY 20% |
| 2012-05-31 | TLT 40%SPY 50% |
| 2012-04-30 | TLT 40%SPY 50% |
| 2012-03-30 | GLD 40%DBC 30%TLT 20% |
| 2012-02-29 | TLT 40%DBC 30%GLD 20% |
| 2012-01-31 | TLT 40%GLD 30%SPY 20% |
| 2011-12-30 | TLT 40%GLD 30%SPY 20% |
| 2011-11-30 | TLT 40%GLD 30%SPY 20% |
| 2011-10-31 | TLT 40%GLD 30%SPY 20% |
| 2011-09-30 | TLT 40%GLD 30%SPY 20% |
| 2011-08-31 | GLD 40%TLT 30%DBC 20% |
| 2011-07-29 | GLD 40%DBC 30%TLT 20% |
| 2011-06-30 | DBC 40%GLD 30%SPY 20% |
| 2011-05-31 | DBC 40%GLD 30%TLT 20% |
| 2011-04-29 | DBC 40%GLD 30%TLT 20% |
| 2011-03-31 | DBC 40%GLD 30%SPY 20% |
| 2011-02-28 | DBC 40%GLD 30%SPY 20% |
| 2011-01-31 | DBC 40%GLD 30%SPY 20% |
| 2010-12-31 | DBC 40%GLD 30%SPY 20% |
| 2010-11-30 | DBC 40%GLD 30%SPY 20% |
| 2010-10-29 | GLD 40%DBC 30%TLT 20% |
| 2010-09-30 | GLD 40%DBC 30%TLT 20% |
| 2010-08-31 | TLT 40%GLD 30%SPY 20% |
| 2010-07-30 | TLT 40%GLD 30%DBC 20% |
| 2010-06-30 | TLT 40%GLD 30%SPY 20% |
| 2010-05-28 | GLD 40%TLT 30%SPY 20% |
| 2010-04-30 | GLD 40%DBC 30%TLT 20% |
| 2010-03-31 | SPY 90% |
| 2010-03-24 | SPY 90% |
| 2010-03-23 | |
| 2010-03-22 | |
| 2010-03-19 | |
| 2010-03-18 | |
| 2010-03-17 | |
| 2010-03-16 | |
| 2010-03-15 | |
| 2010-03-12 | |
| 2010-03-11 | |
| 2010-03-10 | |
| 2010-03-09 | |
| 2010-03-08 | |
| 2010-03-05 | |
| 2010-03-04 | |
| 2010-03-03 | |
| 2010-03-02 | |
| 2010-03-01 | |
| 2010-02-26 | |
| 2010-02-25 | |
| 2010-02-24 | |
| 2010-02-23 | |
| 2010-02-22 | |
| 2010-02-19 | |
| 2010-02-18 | |
| 2010-02-17 | |
| 2010-02-16 | |
| 2010-02-12 | |
| 2010-02-11 | |
| 2010-02-10 | |
| 2010-02-09 | |
| 2010-02-08 | |
| 2010-02-05 | |
| 2010-02-04 | |
| 2010-02-03 | |
| 2010-02-02 | |
| 2010-02-01 | |
| 2010-01-29 | |
| 2010-01-28 | |
| 2010-01-27 | |
| 2010-01-26 | |
| 2010-01-25 | |
| 2010-01-22 | |
| 2010-01-21 | |
| 2010-01-20 | |
| 2010-01-19 | |
| 2010-01-15 | |
| 2010-01-14 | |
| 2010-01-13 | |
| 2010-01-12 | |
| 2010-01-11 | |
| 2010-01-08 | |
| 2010-01-07 | |
| 2010-01-06 | |
| 2010-01-05 | |
| 2010-01-04 |