← 返回策略总览
防御性元策略 (Defensive Meta-Strategy)
Keller — 结合 13612W 动量 + 金丝雀预警 + 最小方差优化 · 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
防御性元策略 (Defensive Meta-Strategy)
Keller — 结合 13612W 动量 + 金丝雀预警 + 最小方差优化
- 1进攻资产池(10个)：SPY/VGK/EWJ/EEM/VNQ/RWX/IEF/TLT/DBC/GLD。预警资产：EEM + AGG。防御资产：IEF 或 BIL
- 2每月末计算所有资产的 13612W 动量。预警信号：EEM 和 AGG 都正 → 100% 进攻；一正一负 → 50/50；都负 → 100% 防御
- 3进攻仓位：从10个进攻资产中选 13612W 最高的 5 个（去掉负动量），用加权协方差矩阵做最小方差优化确定权重
- 4协方差矩阵用 (12×21天 + 4×63天 + 2×126天 + 1×252天相关性) / 19 加权，与动量同样侧重近期。防御仓位：IEF 动量为正持 IEF，否则持 BIL
—
当前信号（2026-08-26）
预警 1/2 → BIL 50% | SPY 20% | GLD 11% | EWJ 10% | EEM 9% | DBC 0%
年化收益
+4.4%
年化波动
+8.2%
Sharpe
0.30
最大回撤
-15.4%
Calmar
0.29
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 | GLD 11%DBC 0%EEM 9%SPY 20%EWJ 10%BIL 50% |
| 2026-07-31 | DBC 0%VGK 17%VNQ 0%EWJ 10%SPY 22%BIL 50% |
| 2026-06-30 | EEM 4%EWJ 6%SPY 9%VNQ 23%VGK 9%BIL 50% |
| 2026-05-29 | EEM 3%SPY 3%EWJ 3%VGK 3%DBC 38%BIL 50% |
| 2026-04-30 | EEM 3%DBC 39%SPY 3%VNQ 3%EWJ 3%BIL 50% |
| 2026-03-31 | DBC 43%GLD 3%EEM 2%EWJ 2%BIL 50% |
| 2026-02-27 | GLD 7%EWJ 18%EEM 19%RWX 29%VGK 28% |
| 2026-01-30 | GLD 15%EEM 18%DBC 22%VGK 25%EWJ 19% |
| 2025-12-31 | GLD 12%VGK 22%EEM 16%SPY 23%RWX 26% |
| 2025-11-28 | GLD 16%EEM 18%DBC 29%SPY 18%VGK 19% |
| 2025-10-31 | GLD 12%EEM 15%EWJ 15%SPY 24%VGK 35% |
| 2025-09-30 | GLD 19%EEM 21%SPY 28%EWJ 15%VGK 18% |
| 2025-08-29 | GLD 26%EWJ 15%EEM 18%RWX 20%SPY 22% |
| 2025-07-31 | SPY 27%EEM 5%DBC 42%GLD 15%VGK 10% |
| 2025-06-30 | EEM 16%RWX 26%SPY 25%GLD 18%VGK 15% |
| 2025-05-30 | GLD 6%VGK 12%RWX 11%EWJ 9%EEM 11%BIL 50% |
| 2025-04-30 | GLD 30%RWX 29%VGK 19%EWJ 19%IEF 2% |
| 2025-03-31 | GLD 23%DBC 33%EEM 12%VGK 12%RWX 20% |
| 2025-02-28 | GLD 20%VGK 18%TLT 21%VNQ 23%EEM 17% |
| 2025-01-31 | GLD 13%SPY 10%VGK 11%EEM 8%EWJ 8%BIL 50% |
| 2024-12-31 | BIL 100% |
| 2024-11-29 | SPY 13%VNQ 8%EWJ 13%GLD 8%TLT 9%IEF 50% |
| 2024-10-31 | GLD 14%SPY 16%VNQ 11%EEM 9%BIL 50% |
| 2024-09-30 | GLD 22%VNQ 28%EEM 12%RWX 19%SPY 19% |
| 2024-08-30 | VNQ 22%RWX 22%GLD 27%SPY 17%EWJ 11% |
| 2024-07-31 | VNQ 20%GLD 20%EWJ 17%SPY 23%RWX 21% |
| 2024-06-28 | SPY 27%GLD 11%EEM 15%VNQ 17%IEF 29% |
| 2024-05-31 | VGK 22%SPY 26%GLD 17%EWJ 15%EEM 19% |
| 2024-04-30 | GLD 8%EEM 8%SPY 9%VGK 9%DBC 16%BIL 50% |
| 2024-03-28 | GLD 22%SPY 23%EWJ 16%VGK 20%RWX 20% |
| 2024-02-29 | EWJ 14%SPY 10%VGK 10%EEM 9%VNQ 7%BIL 50% |
| 2024-01-31 | EWJ 7%SPY 11%VGK 8%IEF 67%TLT 8% |
| 2023-12-29 | VNQ 13%RWX 16%SPY 31%VGK 22%TLT 18% |
| 2023-11-30 | VNQ 12%SPY 29%VGK 24%EWJ 21%RWX 14% |
| 2023-10-31 | BIL 100% |
| 2023-09-29 | BIL 100% |
| 2023-08-31 | BIL 100% |
| 2023-07-31 | DBC 12%SPY 14%EEM 7%EWJ 9%VGK 8%BIL 50% |
| 2023-06-30 | SPY 14%EWJ 7%VNQ 10%VGK 9%EEM 9%BIL 50% |
| 2023-05-31 | IEF 100% |
| 2023-04-28 | VGK 9%SPY 9%RWX 11%GLD 11%EWJ 9%IEF 50% |
| 2023-03-31 | GLD 48%VGK 2%EWJ 2%TLT 46%SPY 2% |
| 2023-02-28 | BIL 100% |
| 2023-01-31 | VGK 20%EEM 18%GLD 28%EWJ 20%VNQ 14% |
| 2022-12-30 | BIL 100% |
| 2022-11-30 | VGK 16%EEM 19%EWJ 19%GLD 27%SPY 19% |
| 2022-10-31 | BIL 100% |
| 2022-09-30 | BIL 100% |
| 2022-08-31 | BIL 100% |
| 2022-07-29 | SPY 7%VNQ 7%EWJ 9%IEF 69%RWX 7% |
| 2022-06-30 | BIL 100% |
| 2022-05-31 | BIL 100% |
| 2022-04-29 | BIL 100% |
| 2022-03-31 | BIL 100% |
| 2022-02-28 | BIL 100% |
| 2022-01-31 | BIL 100% |
| 2021-12-31 | BIL 100% |
| 2021-11-30 | IEF 100% |
| 2021-10-29 | DBC 9%SPY 10%VNQ 9%VGK 11%RWX 12%BIL 50% |
| 2021-09-30 | BIL 100% |
| 2021-08-31 | VNQ 25%SPY 25%VGK 21%RWX 19%DBC 11% |
| 2021-07-30 | VNQ 10%DBC 7%SPY 12%RWX 11%VGK 9%IEF 50% |
| 2021-06-30 | DBC 23%SPY 32%VNQ 20%EEM 24%TLT 0% |
| 2021-05-28 | DBC 10%VGK 8%GLD 14%VNQ 9%RWX 10%BIL 50% |
| 2021-04-30 | DBC 10%VNQ 10%SPY 10%VGK 8%RWX 12%BIL 50% |
| 2021-03-31 | VNQ 12%SPY 11%DBC 7%VGK 13%EEM 7%BIL 50% |
| 2021-02-26 | DBC 15%EEM 7%SPY 9%EWJ 10%VGK 10%BIL 50% |
| 2021-01-29 | EEM 7%DBC 11%EWJ 10%SPY 12%VGK 10%BIL 50% |
| 2020-12-31 | EEM 14%DBC 25%EWJ 20%SPY 26%VGK 15% |
| 2020-11-30 | VGK 19%EEM 23%EWJ 19%SPY 20%RWX 19% |
| 2020-10-30 | EEM 10%EWJ 18%GLD 14%SPY 8%BIL 50% |
| 2020-09-30 | EEM 20%EWJ 32%SPY 16%GLD 32%TLT 1% |
| 2020-08-31 | SPY 17%GLD 5%EEM 9%EWJ 9%DBC 10%IEF 50% |
| 2020-07-31 | GLD 35%EEM 14%SPY 25%TLT 0%DBC 26% |
| 2020-06-30 | GLD 50%EEM 1%SPY 1%VGK 1%TLT 47% |
| 2020-05-29 | GLD 10%SPY 0%EWJ 0%IEF 81%TLT 9% |
| 2020-04-30 | TLT 2%GLD 29%SPY 17%IEF 52% |
| 2020-03-31 | TLT 8%IEF 75%GLD 16% |
| 2020-02-28 | TLT 12%IEF 76%GLD 13% |
| 2020-01-31 | TLT 0%GLD 0%IEF 50%SPY 25%VNQ 24% |
| 2019-12-31 | EEM 1%VGK 1%SPY 1%GLD 96%DBC 1% |
| 2019-11-29 | SPY 28%EWJ 25%VGK 25%TLT 0%RWX 22% |
| 2019-10-31 | GLD 0%RWX 29%EWJ 22%VNQ 33%VGK 16% |
| 2019-09-30 | EWJ 0%VNQ 21%TLT 13%GLD 15%SPY 0%IEF 50% |
| 2019-08-30 | TLT 11%GLD 13%IEF 76%VNQ 0%RWX 0% |
| 2019-07-31 | GLD 5%TLT 8%VNQ 6%SPY 12%IEF 68% |
| 2019-06-28 | GLD 6%SPY 58%EEM 13%TLT 6%VGK 17% |
| 2019-05-31 | TLT 3%IEF 56%GLD 4%VNQ 14%RWX 23% |
| 2019-04-30 | SPY 25%VGK 24%EEM 15%VNQ 16%EWJ 19% |
| 2019-03-29 | VNQ 31%TLT 0%RWX 42%SPY 26%IEF 0% |
| 2019-02-28 | SPY 20%VNQ 22%GLD 24%DBC 18%VGK 17% |
| 2019-01-31 | VNQ 28%EEM 17%RWX 36%SPY 18%GLD 0% |
| 2018-12-31 | GLD 13%TLT 11%IEF 76% |
| 2018-11-30 | VNQ 26%EEM 10%SPY 13%IEF 50% |
| 2018-10-31 | BIL 100% |
| 2018-09-28 | BIL 100% |
| 2018-08-31 | SPY 20%VNQ 17%DBC 13%TLT 0%IEF 50% |
| 2018-07-31 | SPY 12%VNQ 13%VGK 9%EEM 6%EWJ 10%BIL 50% |
| 2018-06-29 | BIL 100% |
| 2018-05-31 | DBC 18%SPY 17%VNQ 15%TLT 0%IEF 50% |
| 2018-04-30 | BIL 100% |
| 2018-03-29 | DBC 12%EWJ 8%EEM 5%RWX 13%GLD 13%BIL 50% |
| 2018-02-28 | BIL 100% |
| 2018-01-31 | EEM 7%SPY 11%EWJ 10%VGK 11%RWX 11%BIL 50% |
| 2017-12-29 | DBC 17%EEM 11%RWX 24%SPY 32%EWJ 16% |
| 2017-11-30 | EWJ 9%SPY 15%DBC 9%EEM 6%VGK 11%BIL 50% |
| 2017-10-31 | EWJ 10%EEM 6%DBC 7%SPY 14%VGK 13%BIL 50% |
| 2017-09-29 | VGK 9%DBC 7%EEM 7%SPY 13%EWJ 14%BIL 50% |
| 2017-08-31 | EEM 0%GLD 44%TLT 55%VGK 0%SPY 0% |
| 2017-07-31 | EEM 13%VGK 20%EWJ 23%SPY 25%RWX 19% |
| 2017-06-30 | EEM 15%VGK 16%EWJ 17%SPY 26%TLT 26% |
| 2017-05-31 | VGK 15%EEM 13%EWJ 41%RWX 31%TLT 0% |
| 2017-04-28 | VGK 16%SPY 32%EEM 21%GLD 0%RWX 30% |
| 2017-03-31 | EEM 6%VGK 10%EWJ 11%SPY 13%GLD 10%BIL 50% |
| 2017-02-28 | SPY 35%EEM 20%GLD 0%VNQ 18%VGK 27% |
| 2017-01-31 | EEM 8%SPY 14%VGK 10%DBC 9%EWJ 8%BIL 50% |
| 2016-12-30 | BIL 100% |
| 2016-11-30 | BIL 100% |
| 2016-10-31 | EWJ 24%DBC 17%EEM 9%BIL 50% |
| 2016-09-30 | EWJ 16%EEM 11%DBC 19%GLD 34%SPY 20% |
| 2016-08-31 | EEM 19%TLT 0%EWJ 23%SPY 40%DBC 18% |
| 2016-07-29 | VNQ 37%EEM 23%GLD 0%SPY 39%TLT 0% |
| 2016-06-30 | GLD 1%TLT 1%VNQ 61%DBC 36%IEF 1% |
| 2016-05-31 | DBC 10%TLT 0%VNQ 19%SPY 21%IEF 50% |
| 2016-04-29 | GLD 1%DBC 23%RWX 34%EEM 20%VGK 23% |
| 2016-03-31 | EEM 19%VNQ 24%RWX 27%GLD 29%TLT 1% |
| 2016-02-29 | GLD 9%TLT 12%IEF 79% |
| 2016-01-29 | TLT 10%IEF 79%GLD 11% |
| 2015-12-31 | BIL 100% |
| 2015-11-30 | BIL 100% |
| 2015-10-30 | SPY 13%VNQ 15%EWJ 10%RWX 13%GLD 0%BIL 50% |
| 2015-09-30 | TLT 3%IEF 53%VNQ 44% |
| 2015-08-31 | IEF 100% |
| 2015-07-31 | TLT 0%SPY 14%EWJ 9%VNQ 18%VGK 8%IEF 50% |
| 2015-06-30 | BIL 100% |
| 2015-05-29 | BIL 100% |
| 2015-04-30 | EEM 8%EWJ 9%VGK 9%SPY 14%RWX 10%BIL 50% |
| 2015-03-31 | TLT 8%EWJ 10%VNQ 6%IEF 67%RWX 9% |
| 2015-02-27 | EWJ 14%SPY 15%VGK 9%RWX 11%TLT 0%BIL 50% |
| 2015-01-30 | TLT 2%VNQ 40%GLD 3%IEF 55%RWX 0% |
| 2014-12-31 | TLT 1%VNQ 28%SPY 21%IEF 51% |
| 2014-11-28 | VNQ 15%SPY 28%TLT 0%EWJ 7%IEF 50% |
| 2014-10-31 | VNQ 32%SPY 19%RWX 27%EWJ 22%TLT 0% |
| 2014-09-30 | BIL 100% |
| 2014-08-29 | TLT 0%SPY 25%EEM 21%VNQ 27%RWX 27% |
| 2014-07-31 | EEM 19%TLT 0%VNQ 33%RWX 26%EWJ 21% |
| 2014-06-30 | GLD 16%EWJ 17%SPY 31%VNQ 16%EEM 20% |
| 2014-05-30 | RWX 30%VNQ 26%EEM 19%SPY 24%TLT 0% |
| 2014-04-30 | VGK 16%VNQ 22%RWX 21%SPY 13%DBC 28% |
| 2014-03-31 | SPY 34%EEM 18%VNQ 29%VGK 19%TLT 0% |
| 2014-02-28 | VGK 16%VNQ 16%SPY 16%GLD 0%DBC 52% |
| 2014-01-31 | TLT 15%VNQ 13%IEF 72% |
| 2013-12-31 | VGK 8%SPY 10%EWJ 8%EEM 5%DBC 19%BIL 50% |
| 2013-11-29 | SPY 16%EWJ 11%VGK 13%EEM 9%BIL 50% |
| 2013-10-31 | VGK 23%SPY 21%EWJ 17%EEM 18%RWX 21% |
| 2013-09-30 | EWJ 15%VGK 22%RWX 19%EEM 13%SPY 32% |
| 2013-08-30 | BIL 100% |
| 2013-07-31 | BIL 100% |
| 2013-06-28 | BIL 100% |
| 2013-05-31 | BIL 100% |
| 2013-04-30 | EWJ 16%RWX 18%VNQ 25%VGK 18%SPY 23% |
| 2013-03-28 | IEF 100% |
| 2013-02-28 | EWJ 9%SPY 10%RWX 10%VNQ 11%EEM 10%IEF 50% |
| 2013-01-31 | VGK 9%SPY 9%EWJ 7%VNQ 17%EEM 8%BIL 50% |
| 2012-12-31 | EEM 13%VGK 11%EWJ 10%RWX 5%VNQ 11%BIL 50% |
| 2012-11-30 | RWX 23%VGK 17%EEM 19%EWJ 22%SPY 19% |
| 2012-10-31 | RWX 31%VGK 19%BIL 50% |
| 2012-09-28 | GLD 20%EEM 14%RWX 20%SPY 25%DBC 21% |
| 2012-08-31 | DBC 10%VGK 5%GLD 14%SPY 11%RWX 9%IEF 50% |
| 2012-07-31 | TLT 1%RWX 16%IEF 51%DBC 13%VNQ 21% |
| 2012-06-29 | TLT 1%RWX 16%VNQ 16%IEF 51%EWJ 17% |
| 2012-05-31 | TLT 13%IEF 87% |
| 2012-04-30 | VNQ 0%TLT 14%RWX 0%SPY 0%IEF 85% |
| 2012-03-30 | VNQ 13%SPY 12%RWX 8%EWJ 12%VGK 5%BIL 50% |
| 2012-02-29 | EEM 14%SPY 32%RWX 18%VGK 14%EWJ 23% |
| 2012-01-31 | GLD 23%EEM 16%VNQ 27%TLT 0%SPY 33% |
| 2011-12-30 | TLT 2%VNQ 22%IEF 52%SPY 24% |
| 2011-11-30 | IEF 100% |
| 2011-10-31 | VNQ 16%GLD 45%SPY 24%EEM 14%TLT 2% |
| 2011-09-30 | TLT 12%IEF 88% |
| 2011-08-31 | GLD 12%TLT 10%IEF 77%DBC 1% |
| 2011-07-29 | GLD 19%TLT 0%DBC 15%IEF 50%EWJ 16% |
| 2011-06-30 | VGK 5%RWX 9%GLD 18%EWJ 10%VNQ 8%IEF 50% |
| 2011-05-31 | VNQ 0%GLD 0%TLT 32%IEF 68%RWX 0% |
| 2011-04-29 | GLD 28%DBC 17%VGK 14%VNQ 23%RWX 18% |
| 2011-03-31 | DBC 8%EEM 7%VNQ 10%GLD 15%SPY 9%IEF 50% |
| 2011-02-28 | DBC 12%VNQ 11%EWJ 9%SPY 11%VGK 7%BIL 50% |
| 2011-01-31 | BIL 100% |
| 2010-12-31 | DBC 8%SPY 13%EWJ 10%EEM 8%GLD 10%BIL 50% |
| 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% |