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BAA-B 金丝雀均衡 (Bold Asset Allocation)
Keller & Keuning "Bold Asset Allocation" (2022, SSRN) · 独立策略页 · 逐日净值随行情更新
行情最新日期：2026-08-26 · 回测计算包含每日净值序列，月底信号、下月执行
BAA-B 金丝雀均衡 (Bold Asset Allocation)
Keller & Keuning "Bold Asset Allocation" (2022, SSRN)
- 1每月末计算4个"金丝雀"资产（SPY、VWO、VEA、AGG）的 13612W 加权动量：(12×1月 + 4×3月 + 2×6月 + 1×12月收益) / 4，近期权重更高
- 2统计金丝雀中动量为负的数量 B。B=0 → 全部进攻；B=4 → 全部防御；其间按比例混合
- 3进攻仓位：从11个进攻资产（SPY/QQQ/IWM/VEA/VWO/VNQ/GLD/DBC/HYG/LQD/TLT）中选 13612W 动量最高的 4 个等权持有
- 4防御仓位：从 SHY/IEF/BIL 中选 13612W 最高的 1 个。金丝雀机制相当于"矿井里的金丝雀"——新兴市场和债券最先反映风险
—
当前信号（2026-08-26）
金丝雀: SPY 23.3% ✔, VWO 19.5% ✔, VEA 25.6% ✔, AGG -2.4% ✘ → B=1/4 混合
年化收益
+8.2%
年化波动
+9.1%
Sharpe
0.68
最大回撤
-13.2%
Calmar
0.62
SPY 年化
+12.3%
60/40 年化
+7.5%
净值与回撤
调仓日志
共 201 次调仓，月度再平衡
| 日期 | 持仓 |
|---|---|
| 2026-08-26 | BIL 25%GLD 19%DBC 19%VEA 19%QQQ 19% |
| 2026-07-31 | BIL 25%DBC 19%VNQ 19%VEA 19%SPY 19% |
| 2026-06-30 | BIL 25%IWM 19%QQQ 19%VEA 19%SPY 19% |
| 2026-05-29 | BIL 25%QQQ 19%IWM 19%SPY 19%VEA 19% |
| 2026-04-30 | BIL 25%QQQ 19%DBC 19%IWM 19%SPY 19% |
| 2026-03-31 | BIL 75%DBC 6%GLD 6%VEA 6%VWO 6% |
| 2026-02-27 | GLD 25%VEA 25%VNQ 25%DBC 25% |
| 2026-01-30 | GLD 25%VEA 25%DBC 25%IWM 25% |
| 2025-12-31 | GLD 25%VEA 25%SPY 25%QQQ 25% |
| 2025-11-28 | GLD 25%IWM 25%QQQ 25%DBC 25% |
| 2025-10-31 | GLD 25%QQQ 25%IWM 25%SPY 25% |
| 2025-09-30 | GLD 25%QQQ 25%VWO 25%IWM 25% |
| 2025-08-29 | IWM 25%GLD 25%VWO 25%VEA 25% |
| 2025-07-31 | QQQ 25%SPY 25%VWO 25%DBC 25% |
| 2025-06-30 | QQQ 25%VWO 25%VEA 25%SPY 25% |
| 2025-05-30 | BIL 25%QQQ 19%GLD 19%VEA 19%SPY 19% |
| 2025-04-30 | IEF 25%GLD 19%VEA 19%VWO 19%LQD 19% |
| 2025-03-31 | SHY 25%GLD 19%DBC 19%VWO 19%VEA 19% |
| 2025-02-28 | GLD 25%TLT 25%VEA 25%VNQ 25% |
| 2025-01-31 | SHY 25%GLD 19%QQQ 19%SPY 19%IWM 19% |
| 2024-12-31 | BIL 75%QQQ 6%GLD 6%SPY 6%HYG 6% |
| 2024-11-29 | IEF 50%IWM 13%SPY 13%VNQ 13%QQQ 13% |
| 2024-10-31 | BIL 50%GLD 13%QQQ 13%SPY 13%VNQ 13% |
| 2024-09-30 | GLD 25%VWO 25%VNQ 25%SPY 25% |
| 2024-08-30 | VNQ 25%GLD 25%SPY 25%QQQ 25% |
| 2024-07-31 | IWM 25%VNQ 25%GLD 25%SPY 25% |
| 2024-06-28 | SHY 25%QQQ 19%SPY 19%GLD 19%VWO 19% |
| 2024-05-31 | QQQ 25%SPY 25%VEA 25%IWM 25% |
| 2024-04-30 | BIL 25%GLD 19%VWO 19%SPY 19%QQQ 19% |
| 2024-03-28 | GLD 25%SPY 25%QQQ 25%IWM 25% |
| 2024-02-29 | BIL 25%QQQ 19%SPY 19%IWM 19%VEA 19% |
| 2024-01-31 | IEF 25%QQQ 19%SPY 19%VEA 19%LQD 19% |
| 2023-12-29 | IWM 25%QQQ 25%VNQ 25%SPY 25% |
| 2023-11-30 | QQQ 25%VNQ 25%SPY 25%VEA 25% |
| 2023-10-31 | BIL 100% |
| 2023-09-29 | BIL 100% |
| 2023-08-31 | BIL 75%QQQ 6%SPY 6%DBC 6%HYG 6% |
| 2023-07-31 | BIL 25%QQQ 19%IWM 19%DBC 19%SPY 19% |
| 2023-06-30 | BIL 25%QQQ 19%SPY 19%IWM 19%VEA 19% |
| 2023-05-31 | BIL 75%QQQ 6%GLD 6%SPY 6%LQD 6% |
| 2023-04-28 | QQQ 25%VEA 25%SPY 25%GLD 25% |
| 2023-03-31 | QQQ 25%GLD 25%VEA 25%TLT 25% |
| 2023-02-28 | BIL 100% |
| 2023-01-31 | VEA 25%VWO 25%GLD 25%IWM 25% |
| 2022-12-30 | BIL 75%GLD 6%VEA 6%DBC 6%HYG 6% |
| 2022-11-30 | VEA 25%VWO 25%GLD 25%SPY 25% |
| 2022-10-31 | BIL 75%IWM 6%DBC 6%SPY 6%HYG 6% |
| 2022-09-30 | BIL 100% |
| 2022-08-31 | BIL 100% |
| 2022-07-29 | IEF 25%QQQ 19%IWM 19%SPY 19%VNQ 19% |
| 2022-06-30 | BIL 100% |
| 2022-05-31 | BIL 100% |
| 2022-04-29 | BIL 100% |
| 2022-03-31 | BIL 75%DBC 6%GLD 6%QQQ 6%SPY 6% |
| 2022-02-28 | BIL 100% |
| 2022-01-31 | BIL 100% |
| 2021-12-31 | BIL 50%VNQ 13%DBC 13%SPY 13%QQQ 13% |
| 2021-11-30 | IEF 75%QQQ 6%TLT 6%SPY 6%VNQ 6% |
| 2021-10-29 | BIL 25%DBC 19%QQQ 19%SPY 19%VNQ 19% |
| 2021-09-30 | BIL 100% |
| 2021-08-31 | QQQ 25%VNQ 25%SPY 25%IWM 25% |
| 2021-07-30 | IEF 25%VNQ 19%DBC 19%QQQ 19%SPY 19% |
| 2021-06-30 | DBC 25%QQQ 25%SPY 25%IWM 25% |
| 2021-05-28 | SHY 25%DBC 19%GLD 19%VNQ 19%VEA 19% |
| 2021-04-30 | BIL 25%DBC 19%IWM 19%VNQ 19%QQQ 19% |
| 2021-03-31 | BIL 25%IWM 19%VNQ 19%SPY 19%DBC 19% |
| 2021-02-26 | BIL 25%DBC 19%IWM 19%VWO 19%SPY 19% |
| 2021-01-29 | SHY 25%IWM 19%VWO 19%DBC 19%QQQ 19% |
| 2020-12-31 | IWM 25%QQQ 25%VWO 25%DBC 25% |
| 2020-11-30 | IWM 25%VEA 25%QQQ 25%VWO 25% |
| 2020-10-30 | BIL 50%IWM 13%VWO 13%QQQ 13%GLD 13% |
| 2020-09-30 | QQQ 25%VWO 25%SPY 25%VEA 25% |
| 2020-08-31 | SHY 25%QQQ 19%SPY 19%GLD 19%IWM 19% |
| 2020-07-31 | GLD 25%QQQ 25%VWO 25%SPY 25% |
| 2020-06-30 | QQQ 25%GLD 25%VWO 25%IWM 25% |
| 2020-05-29 | IEF 50%QQQ 13%GLD 13%SPY 13%TLT 13% |
| 2020-04-30 | IEF 50%QQQ 13%TLT 13%GLD 13%SPY 13% |
| 2020-03-31 | IEF 75%TLT 6%GLD 6%LQD 6%QQQ 6% |
| 2020-02-28 | IEF 75%TLT 6%GLD 6%LQD 6%HYG 6% |
| 2020-01-31 | IEF 50%TLT 13%QQQ 13%GLD 13%LQD 13% |
| 2019-12-31 | QQQ 25%VWO 25%SPY 25%IWM 25% |
| 2019-11-29 | QQQ 25%SPY 25%IWM 25%VEA 25% |
| 2019-10-31 | GLD 25%QQQ 25%VNQ 25%VEA 25% |
| 2019-09-30 | IEF 25%VNQ 19%TLT 19%GLD 19%SPY 19% |
| 2019-08-30 | IEF 75%TLT 6%GLD 6%LQD 6%VNQ 6% |
| 2019-07-31 | IEF 50%GLD 13%TLT 13%VNQ 13%QQQ 13% |
| 2019-06-28 | GLD 25%QQQ 25%SPY 25%VWO 25% |
| 2019-05-31 | IEF 75%TLT 6%LQD 6%GLD 6%VNQ 6% |
| 2019-04-30 | QQQ 25%SPY 25%IWM 25%VWO 25% |
| 2019-03-29 | VNQ 25%TLT 25%QQQ 25%LQD 25% |
| 2019-02-28 | IWM 25%QQQ 25%SPY 25%VNQ 25% |
| 2019-01-31 | VNQ 25%VWO 25%IWM 25%QQQ 25% |
| 2018-12-31 | IEF 75%GLD 6%TLT 6%LQD 6%HYG 6% |
| 2018-11-30 | IEF 50%VNQ 13%SPY 13%VWO 13%QQQ 13% |
| 2018-10-31 | BIL 100% |
| 2018-09-28 | BIL 75%QQQ 6%DBC 6%SPY 6%IWM 6% |
| 2018-08-31 | IEF 50%QQQ 13%IWM 13%SPY 13%VNQ 13% |
| 2018-07-31 | BIL 25%QQQ 19%SPY 19%IWM 19%VNQ 19% |
| 2018-06-29 | BIL 75%QQQ 6%IWM 6%VNQ 6%DBC 6% |
| 2018-05-31 | IEF 50%IWM 13%DBC 13%QQQ 13%SPY 13% |
| 2018-04-30 | BIL 75%DBC 6%IWM 6%QQQ 6%VEA 6% |
| 2018-03-29 | BIL 50%DBC 13%VWO 13%IWM 13%GLD 13% |
| 2018-02-28 | BIL 100% |
| 2018-01-31 | BIL 25%QQQ 19%VWO 19%SPY 19%VEA 19% |
| 2017-12-29 | VWO 25%QQQ 25%DBC 25%SPY 25% |
| 2017-11-30 | BIL 25%IWM 19%SPY 19%QQQ 19%DBC 19% |
| 2017-10-31 | BIL 25%QQQ 19%DBC 19%VWO 19%VEA 19% |
| 2017-09-29 | BIL 25%IWM 19%VEA 19%DBC 19%QQQ 19% |
| 2017-08-31 | VWO 25%QQQ 25%GLD 25%TLT 25% |
| 2017-07-31 | VWO 25%QQQ 25%VEA 25%SPY 25% |
| 2017-06-30 | IWM 25%VEA 25%VWO 25%QQQ 25% |
| 2017-05-31 | QQQ 25%VEA 25%VWO 25%TLT 25% |
| 2017-04-28 | QQQ 25%IWM 25%VEA 25%SPY 25% |
| 2017-03-31 | SHY 25%QQQ 19%VWO 19%VEA 19%IWM 19% |
| 2017-02-28 | QQQ 25%SPY 25%IWM 25%VWO 25% |
| 2017-01-31 | BIL 25%QQQ 19%IWM 19%VWO 19%SPY 19% |
| 2016-12-30 | BIL 50%IWM 13%DBC 13%SPY 13%QQQ 13% |
| 2016-11-30 | BIL 75%IWM 6%SPY 6%DBC 6%QQQ 6% |
| 2016-10-31 | BIL 75%VWO 6%DBC 6%QQQ 6%HYG 6% |
| 2016-09-30 | QQQ 25%IWM 25%VWO 25%VEA 25% |
| 2016-08-31 | VWO 25%IWM 25%TLT 25%HYG 25% |
| 2016-07-29 | VNQ 25%QQQ 25%IWM 25%VWO 25% |
| 2016-06-30 | IEF 25%GLD 19%TLT 19%VNQ 19%DBC 19% |
| 2016-05-31 | IEF 50%DBC 13%QQQ 13%TLT 13%VNQ 13% |
| 2016-04-29 | GLD 25%DBC 25%VWO 25%HYG 25% |
| 2016-03-31 | VNQ 25%VWO 25%GLD 25%LQD 25% |
| 2016-02-29 | IEF 75%GLD 6%TLT 6%LQD 6%VNQ 6% |
| 2016-01-29 | IEF 75%TLT 6%GLD 6%LQD 6%HYG 6% |
| 2015-12-31 | BIL 100% |
| 2015-11-30 | BIL 75%QQQ 6%IWM 6%SPY 6%VNQ 6% |
| 2015-10-30 | BIL 50%QQQ 13%SPY 13%VNQ 13%VEA 13% |
| 2015-09-30 | IEF 75%TLT 6%VNQ 6%LQD 6%QQQ 6% |
| 2015-08-31 | IEF 100% |
| 2015-07-31 | IEF 25%QQQ 19%TLT 19%SPY 19%VNQ 19% |
| 2015-06-30 | SHY 100% |
| 2015-05-29 | SHY 50%QQQ 13%IWM 13%SPY 13%VEA 13% |
| 2015-04-30 | SHY 25%VWO 19%QQQ 19%VEA 19%SPY 19% |
| 2015-03-31 | IEF 50%TLT 13%VNQ 13%IWM 13%LQD 13% |
| 2015-02-27 | IEF 25%QQQ 19%SPY 19%IWM 19%VEA 19% |
| 2015-01-30 | IEF 75%TLT 6%VNQ 6%GLD 6%LQD 6% |
| 2014-12-31 | IEF 50%TLT 13%VNQ 13%IWM 13%QQQ 13% |
| 2014-11-28 | IEF 50%QQQ 13%VNQ 13%SPY 13%TLT 13% |
| 2014-10-31 | IEF 25%VNQ 19%QQQ 19%IWM 19%SPY 19% |
| 2014-09-30 | BIL 75%QQQ 6%SPY 6%TLT 6%LQD 6% |
| 2014-08-29 | IEF 25%QQQ 19%VWO 19%TLT 19%SPY 19% |
| 2014-07-31 | IEF 25%QQQ 19%VWO 19%TLT 19%VNQ 19% |
| 2014-06-30 | GLD 25%QQQ 25%IWM 25%VWO 25% |
| 2014-05-30 | QQQ 25%VNQ 25%VWO 25%SPY 25% |
| 2014-04-30 | VNQ 25%SPY 25%VEA 25%DBC 25% |
| 2014-03-31 | VWO 25%SPY 25%VNQ 25%IWM 25% |
| 2014-02-28 | QQQ 25%VNQ 25%IWM 25%SPY 25% |
| 2014-01-31 | IEF 75%TLT 6%QQQ 6%VNQ 6%LQD 6% |
| 2013-12-31 | BIL 25%QQQ 19%IWM 19%SPY 19%VEA 19% |
| 2013-11-29 | SHY 25%QQQ 19%IWM 19%SPY 19%VEA 19% |
| 2013-10-31 | QQQ 25%SPY 25%IWM 25%VEA 25% |
| 2013-09-30 | VEA 25%IWM 25%QQQ 25%SPY 25% |
| 2013-08-30 | BIL 100% |
| 2013-07-31 | SHY 50%IWM 13%QQQ 13%SPY 13%VEA 13% |
| 2013-06-28 | BIL 75%IWM 6%SPY 6%QQQ 6%HYG 6% |
| 2013-05-31 | BIL 50%IWM 13%QQQ 13%SPY 13%VEA 13% |
| 2013-04-30 | VNQ 25%VEA 25%SPY 25%QQQ 25% |
| 2013-03-28 | IEF 50%IWM 13%SPY 13%VNQ 13%QQQ 13% |
| 2013-02-28 | IEF 25%IWM 19%SPY 19%VNQ 19%VEA 19% |
| 2013-01-31 | BIL 25%IWM 19%VEA 19%SPY 19%VNQ 19% |
| 2012-12-31 | BIL 25%VWO 19%VEA 19%IWM 19%VNQ 19% |
| 2012-11-30 | VEA 25%VWO 25%SPY 25%DBC 25% |
| 2012-10-31 | BIL 50%LQD 13%HYG 13%VEA 13%SPY 13% |
| 2012-09-28 | GLD 25%IWM 25%SPY 25%DBC 25% |
| 2012-08-31 | IEF 25%QQQ 19%DBC 19%IWM 19%GLD 19% |
| 2012-07-31 | IEF 50%TLT 13%LQD 13%DBC 13%VNQ 13% |
| 2012-06-29 | TLT 25%VNQ 25%QQQ 25%LQD 25% |
| 2012-05-31 | IEF 75%TLT 6%LQD 6%VNQ 6%HYG 6% |
| 2012-04-30 | IEF 50%VNQ 13%TLT 13%QQQ 13%SPY 13% |
| 2012-03-30 | BIL 25%QQQ 19%VNQ 19%SPY 19%IWM 19% |
| 2012-02-29 | QQQ 25%VWO 25%SPY 25%IWM 25% |
| 2012-01-31 | GLD 25%QQQ 25%VNQ 25%IWM 25% |
| 2011-12-30 | IEF 50%TLT 13%VNQ 13%HYG 13%LQD 13% |
| 2011-11-30 | IEF 100% |
| 2011-10-31 | VNQ 25%GLD 25%IWM 25%QQQ 25% |
| 2011-09-30 | IEF 75%TLT 6%LQD 6%GLD 6%QQQ 6% |
| 2011-08-31 | IEF 75%GLD 6%TLT 6%DBC 6%LQD 6% |
| 2011-07-29 | IEF 50%GLD 13%TLT 13%DBC 13%QQQ 13% |
| 2011-06-30 | IEF 25%VEA 19%GLD 19%VWO 19%QQQ 19% |
| 2011-05-31 | VNQ 25%GLD 25%TLT 25%IWM 25% |
| 2011-04-29 | GLD 25%DBC 25%VNQ 25%IWM 25% |
| 2011-03-31 | IEF 50%DBC 13%IWM 13%VWO 13%VNQ 13% |
| 2011-02-28 | BIL 25%DBC 19%IWM 19%VNQ 19%QQQ 19% |
| 2011-01-31 | SHY 50%DBC 13%QQQ 13%SPY 13%VNQ 13% |
| 2010-12-31 | BIL 25%DBC 19%IWM 19%QQQ 19%SPY 19% |
| 2010-11-30 | BIL 100% |
| 2010-10-29 | BIL 100% |
| 2010-09-30 | BIL 100% |
| 2010-08-31 | BIL 100% |
| 2010-07-30 | BIL 100% |
| 2010-06-30 | BIL 100% |
| 2010-05-28 | BIL 100% |
| 2010-04-30 | BIL 100% |
| 2010-03-31 | BIL 100% |
| 2010-02-26 | BIL 100% |
| 2010-01-29 | BIL 100% |
| 2010-01-04 | BIL 100% |