季度再平衡组合回测报告
红利低波, 红利低波50(SPCLLHCT), 720001主动基金, 黄金(GLD), SPY, QQQ 参与配置；美股由 SPY 月末 MA252 控制风险；A股股息率保护：启用；每月最后一个交易日 h30269.CSI 的 加权静态股息率(addDvRatio) 低于中国10年期国债收益率时清空A股，否则维持A股比例仓位；季度再平衡模式：季度在全部标的间再平衡；美股风控触发时仅调整美股风险仓位；净值图采用以 2 为底的对数坐标，纵轴按初始净值百分比展示。
回测参数
| 参数 | 值 |
|---|---|
| 回测区间 | 1993-01-29 ~ 2026-07-01 |
| 外部接口缓存 | 关闭 |
| 收益计价口径 | 人民币口径；美元资产、美元现金和美元融资负债按 USD/CNY 折算，数据源 FRED(DEXCHUS) |
| 货币基金年化收益假设 | 2.00% |
| 再平衡偏离容忍度 | 10.00% |
| 单边交易费率 | 0.01% |
| risk_on 融资比例 | 0.00% |
| risk_on 融资加仓标的 | SPY |
| 融资年化费率 | 0.00% |
| 初始净值 | 1.0000 |
| 月度追加投入 | 0.0000 |
| 回测起始日期参数 | 默认：所有标的最早有数据时间 |
| 回测截止日期参数 | 默认：运行当日 20260701 |
| A股资产 | 红利低波 + 红利低波50(SPCLLHCT) |
| A股只保留红利低波类标的 | 是 |
| 红利低波数据源 | 中证指数线上接口(H20269) |
| 自由现金流数据源 | 不适用 |
| 红利低波50数据源 | MarketScreener(57289508) |
| 黄金仓位 | 黄金(GLD)，目标总仓位 5.00%，从原 A股 50% 仓位中扣减 |
| 自由现金流目标仓位 | 默认：A股基础仓位等分 |
| 主动/成长仓位 | 720001主动基金，数据源 基金累计净值，目标总仓位 15.00% |
| 10年期国债ETF | 未启用 |
| QQQ 替换为 SPY | 否 |
| SPY 风控规则 | 月末收盘价高于 MA252 持有美股，否则转入美股防守货币基金 |
| A股股息率保护规则 | 启用；每月最后一个交易日 h30269.CSI 的 加权静态股息率(addDvRatio) 低于中国10年期国债收益率时清空A股，否则维持A股比例仓位 |
| 再平衡规则 | 季度在全部标的间再平衡；美股风控触发时仅调整美股风险仓位 |
数据区间
| 标的 | 开始日期 | 结束日期 |
|---|---|---|
| 红利低波 | 2010-01-01 | 2026-06-30 |
| 红利低波50(SPCLLHCT) | 2019-04-02 | 2026-06-30 |
| 720001主动基金 | 2011-12-01 | 2026-06-30 |
| 黄金(GLD) | 2004-11-18 | 2026-06-30 |
| SPY | 1993-01-29 | 2026-06-30 |
| QQQ | 1999-03-10 | 2026-06-30 |
| USD/CNY 汇率 | 1981-01-02 | 2026-06-26 |
| 红利低波股息率 | 2021-07-02 | 2026-07-01 |
| 中国10年期国债收益率 | 2010-01-04 | 2026-07-01 |
回测指标
| 指标 | 值 |
|---|---|
| 起始日期 | 1993-01-29 |
| 结束日期 | 2026-07-01 |
| 总收益 | 6681.03% |
| CAGR | 13.45% |
| 年化波动 | 15.92% |
| 最大回撤 | -25.68% |
| 夏普(0利率,粗略) | 0.8533 |
| 最终净值 | 67.8069 |
末期权重
| 仓位 | 权重 |
|---|---|
| 红利低波 | 15.00% |
| 红利低波50(SPCLLHCT) | 15.00% |
| 720001主动基金 | 15.00% |
| 黄金(GLD) | 5.00% |
| SPY | 25.00% |
| QQQ | 25.00% |
| A股现金/货币基金 | 0.00% |
| 美股防守货币基金 | 0.00% |
| 融资负债 | -0.00% |
分段回测指标
分段按标的加入时间切分：每段从当前标的首个有效交易日开始，到下一个标的加入前一个回测交易日结束；最后一段延续到回测结束。
全量回测指标
| 指标 | 值 |
|---|---|
| 起始日期 | 1993-01-29 |
| 结束日期 | 2026-07-01 |
| 总收益 | 6681.03% |
| CAGR | 13.45% |
| 年化波动 | 15.92% |
| 最大回撤 | -25.68% |
| 夏普(0利率,粗略) | 0.8533 |
| 最终净值 | 67.8069 |
SPY 加入阶段（1993-01-29 ~ 1999-03-09）
| 指标 | 值 |
|---|---|
| 起始日期 | 1993-01-29 |
| 结束日期 | 1999-03-09 |
| 总收益 | 250.65% |
| CAGR | 22.81% |
| 年化波动 | 24.33% |
| 最大回撤 | -19.22% |
| 夏普(0利率,粗略) | 0.9449 |
| 最终净值 | 3.5065 |
QQQ 加入阶段（1999-03-10 ~ 2004-11-17）
| 指标 | 值 |
|---|---|
| 起始日期 | 1999-03-10 |
| 结束日期 | 2004-11-17 |
| 总收益 | 95.15% |
| CAGR | 12.46% |
| 年化波动 | 18.94% |
| 最大回撤 | -25.68% |
| 夏普(0利率,粗略) | 0.7156 |
| 最终净值 | 1.9515 |
黄金(GLD) 加入阶段（2004-11-18 ~ 2009-12-31）
| 指标 | 值 |
|---|---|
| 起始日期 | 2004-11-18 |
| 结束日期 | 2009-12-31 |
| 总收益 | 24.48% |
| CAGR | 4.37% |
| 年化波动 | 11.38% |
| 最大回撤 | -20.22% |
| 夏普(0利率,粗略) | 0.4333 |
| 最终净值 | 1.2448 |
红利低波 加入阶段（2010-01-01 ~ 2011-11-30）
| 指标 | 值 |
|---|---|
| 起始日期 | 2010-01-01 |
| 结束日期 | 2011-11-30 |
| 总收益 | -2.17% |
| CAGR | -1.14% |
| 年化波动 | 14.52% |
| 最大回撤 | -15.81% |
| 夏普(0利率,粗略) | -0.0039 |
| 最终净值 | 0.9783 |
720001主动基金 加入阶段（2011-12-01 ~ 2019-04-01）
| 指标 | 值 |
|---|---|
| 起始日期 | 2011-12-01 |
| 结束日期 | 2019-04-01 |
| 总收益 | 147.75% |
| CAGR | 13.17% |
| 年化波动 | 10.88% |
| 最大回撤 | -22.58% |
| 夏普(0利率,粗略) | 1.1547 |
| 最终净值 | 2.4775 |
红利低波50(SPCLLHCT) 加入阶段（2019-04-02 ~ 2026-07-01）
| 指标 | 值 |
|---|---|
| 起始日期 | 2019-04-02 |
| 结束日期 | 2026-07-01 |
| 总收益 | 223.25% |
| CAGR | 17.57% |
| 年化波动 | 11.41% |
| 最大回撤 | -14.80% |
| 夏普(0利率,粗略) | 1.4252 |
| 最终净值 | 3.2325 |
A股股息率保护信号
| 日期 | 红利低波股息率 | 中国10年期国债收益率 | 利差 | A股状态 |
|---|---|---|---|---|
| 2021-07-30 | 5.92% | 2.84% | 3.08% | 维持比例仓位 |
| 2021-08-31 | 5.70% | 2.85% | 2.85% | 维持比例仓位 |
| 2021-09-30 | 5.56% | 2.88% | 2.68% | 维持比例仓位 |
| 2021-10-29 | 5.78% | 2.97% | 2.81% | 维持比例仓位 |
| 2021-11-30 | 5.88% | 2.83% | 3.05% | 维持比例仓位 |
| 2021-12-31 | 5.40% | 2.78% | 2.62% | 维持比例仓位 |
| 2022-01-31 | 5.65% | 2.70% | 2.95% | 维持比例仓位 |
| 2022-02-28 | 5.55% | 2.77% | 2.77% | 维持比例仓位 |
| 2022-03-31 | 5.36% | 2.79% | 2.57% | 维持比例仓位 |
| 2022-04-29 | 5.37% | 2.84% | 2.53% | 维持比例仓位 |
| 2022-05-31 | 5.45% | 2.74% | 2.71% | 维持比例仓位 |
| 2022-06-30 | 5.40% | 2.82% | 2.58% | 维持比例仓位 |
| 2022-07-29 | 5.83% | 2.76% | 3.07% | 维持比例仓位 |
| 2022-08-31 | 5.77% | 2.62% | 3.15% | 维持比例仓位 |
| 2022-09-30 | 5.78% | 2.76% | 3.02% | 维持比例仓位 |
| 2022-10-31 | 6.19% | 2.64% | 3.55% | 维持比例仓位 |
| 2022-11-30 | 5.74% | 2.88% | 2.86% | 维持比例仓位 |
| 2022-12-31 | 5.82% | 2.84% | 2.98% | 维持比例仓位 |
| 2023-01-31 | 6.84% | 2.90% | 3.94% | 维持比例仓位 |
| 2023-02-28 | 6.81% | 2.90% | 3.91% | 维持比例仓位 |
| 2023-03-31 | 6.46% | 2.85% | 3.61% | 维持比例仓位 |
| 2023-04-28 | 5.83% | 2.78% | 3.05% | 维持比例仓位 |
| 2023-05-31 | 5.91% | 2.69% | 3.23% | 维持比例仓位 |
| 2023-06-30 | 5.96% | 2.64% | 3.32% | 维持比例仓位 |
| 2023-07-31 | 5.87% | 2.66% | 3.21% | 维持比例仓位 |
| 2023-08-31 | 6.09% | 2.56% | 3.53% | 维持比例仓位 |
| 2023-09-29 | 5.91% | 2.68% | 3.23% | 维持比例仓位 |
| 2023-10-31 | 6.09% | 2.69% | 3.40% | 维持比例仓位 |
| 2023-11-30 | 6.04% | 2.67% | 3.37% | 维持比例仓位 |
| 2023-12-31 | 5.86% | 2.56% | 3.30% | 维持比例仓位 |
| 2024-01-31 | 5.83% | 2.43% | 3.40% | 维持比例仓位 |
| 2024-02-29 | 5.59% | 2.34% | 3.25% | 维持比例仓位 |
| 2024-03-29 | 5.53% | 2.29% | 3.24% | 维持比例仓位 |
| 2024-04-30 | 5.33% | 2.30% | 3.03% | 维持比例仓位 |
| 2024-05-31 | 5.28% | 2.29% | 2.99% | 维持比例仓位 |
| 2024-06-30 | 5.21% | 2.21% | 3.00% | 维持比例仓位 |
| 2024-07-31 | 5.34% | 2.15% | 3.19% | 维持比例仓位 |
| 2024-08-30 | 5.32% | 2.17% | 3.15% | 维持比例仓位 |
| 2024-09-30 | 5.01% | 2.15% | 2.86% | 维持比例仓位 |
| 2024-10-31 | 5.23% | 2.15% | 3.08% | 维持比例仓位 |
| 2024-11-29 | 5.15% | 2.02% | 3.13% | 维持比例仓位 |
| 2024-12-31 | 4.73% | 1.68% | 3.05% | 维持比例仓位 |
| 2025-01-31 | 4.88% | 1.63% | 3.25% | 维持比例仓位 |
| 2025-02-28 | 4.94% | 1.72% | 3.22% | 维持比例仓位 |
| 2025-03-31 | 4.84% | 1.81% | 3.03% | 维持比例仓位 |
| 2025-04-30 | 4.80% | 1.62% | 3.18% | 维持比例仓位 |
| 2025-05-30 | 4.66% | 1.67% | 2.99% | 维持比例仓位 |
| 2025-06-30 | 4.10% | 1.65% | 2.45% | 维持比例仓位 |
| 2025-07-31 | 4.38% | 1.70% | 2.68% | 维持比例仓位 |
| 2025-08-29 | 4.38% | 1.84% | 2.54% | 维持比例仓位 |
| 2025-09-30 | 4.63% | 1.86% | 2.77% | 维持比例仓位 |
| 2025-10-31 | 4.33% | 1.80% | 2.53% | 维持比例仓位 |
| 2025-11-28 | 4.18% | 1.84% | 2.34% | 维持比例仓位 |
| 2025-12-31 | 4.26% | 1.85% | 2.41% | 维持比例仓位 |
| 2026-01-30 | 5.28% | 1.81% | 3.47% | 维持比例仓位 |
| 2026-02-27 | 5.38% | 1.79% | 3.59% | 维持比例仓位 |
| 2026-03-31 | 5.07% | 1.82% | 3.25% | 维持比例仓位 |
| 2026-04-30 | 5.03% | 1.75% | 3.28% | 维持比例仓位 |
| 2026-05-29 | 5.25% | 1.71% | 3.54% | 维持比例仓位 |
| 2026-06-30 | 5.72% | 1.73% | 3.99% | 维持比例仓位 |
标的相关性矩阵
按回测日期索引对齐各标的价格并前向填充，使用日收益率计算 Pearson 相关系数；不同上市时间的标的按双方均有数据后的重叠区间参与计算。
| 标的 | 红利低波 | 红利低波50(SPCLLHCT) | 720001主动基金 | 黄金(GLD) | SPY | QQQ |
|---|---|---|---|---|---|---|
| 红利低波 | 1.00 | 0.90 | 0.46 | 0.02 | 0.07 | 0.08 |
| 红利低波50(SPCLLHCT) | 0.90 | 1.00 | 0.27 | 0.04 | 0.02 | 0.02 |
| 720001主动基金 | 0.46 | 0.27 | 1.00 | 0.00 | 0.08 | 0.09 |
| 黄金(GLD) | 0.02 | 0.04 | 0.00 | 1.00 | 0.05 | 0.04 |
| SPY | 0.07 | 0.02 | 0.08 | 0.05 | 1.00 | 0.85 |
| QQQ | 0.08 | 0.02 | 0.09 | 0.04 | 0.85 | 1.00 |
净值与回撤
年度收益
| 年份 | 年度收益 |
|---|---|
| 1993 | 2.28% |
| 1994 | 33.22% |
| 1995 | 35.95% |
| 1996 | 22.37% |
| 1997 | 33.18% |
| 1998 | 11.84% |
| 1999 | 51.07% |
| 2000 | -6.00% |
| 2001 | 2.00% |
| 2002 | 2.04% |
| 2003 | 28.48% |
| 2004 | 10.61% |
| 2005 | 1.92% |
| 2006 | 8.91% |
| 2007 | 6.44% |
| 2008 | -12.19% |
| 2009 | 17.14% |
| 2010 | 2.22% |
| 2011 | -7.47% |
| 2012 | 12.39% |
| 2013 | 18.98% |
| 2014 | 26.63% |
| 2015 | 16.81% |
| 2016 | 4.13% |
| 2017 | 18.50% |
| 2018 | -4.11% |
| 2019 | 26.15% |
| 2020 | 15.19% |
| 2021 | 21.26% |
| 2022 | -5.73% |
| 2023 | 14.05% |
| 2024 | 29.66% |
| 2025 | 19.14% |
| 2026 | 21.45% |
年度标的贡献率
本金投入与资本利得
累计本金包含初始净值和所有月末追加投入；资本利得按“期末总资产 - 累计本金”计算，交易成本会降低资本利得。月度投入按投入当日正市值存量仓位等比例买入，融资负债不参与投入分配。
| 指标 | 值 |
|---|---|
| 期末总资产 | 67.8069 |
| 累计本金 | 1.0000 |
| 其中：累计月度投入 | 0.0000 |
| 月度投入次数 | 0 |
| 资本利得 | 66.8069 |
| 本金占比 | 1.47% |
| 资本利得占比 | 98.53% |
| 年份 | 年末总资产 | 累计本金 | 累计月度投入 | 资本利得 | 本金占比 | 资本利得占比 |
|---|---|---|---|---|---|---|
| 1993 | 1.0227 | 1.0000 | 0.0000 | 0.0227 | 97.78% | 2.22% |
| 1994 | 1.3626 | 1.0000 | 0.0000 | 0.3626 | 73.39% | 26.61% |
| 1995 | 1.8524 | 1.0000 | 0.0000 | 0.8524 | 53.98% | 46.02% |
| 1996 | 2.2667 | 1.0000 | 0.0000 | 1.2667 | 44.12% | 55.88% |
| 1997 | 3.0187 | 1.0000 | 0.0000 | 2.0187 | 33.13% | 66.87% |
| 1998 | 3.3762 | 1.0000 | 0.0000 | 2.3762 | 29.62% | 70.38% |
| 1999 | 5.1003 | 1.0000 | 0.0000 | 4.1003 | 19.61% | 80.39% |
| 2000 | 4.7943 | 1.0000 | 0.0000 | 3.7943 | 20.86% | 79.14% |
| 2001 | 4.8902 | 1.0000 | 0.0000 | 3.8902 | 20.45% | 79.55% |
| 2002 | 4.9900 | 1.0000 | 0.0000 | 3.9900 | 20.04% | 79.96% |
| 2003 | 6.4113 | 1.0000 | 0.0000 | 5.4113 | 15.60% | 84.40% |
| 2004 | 7.0917 | 1.0000 | 0.0000 | 6.0917 | 14.10% | 85.90% |
| 2005 | 7.2275 | 1.0000 | 0.0000 | 6.2275 | 13.84% | 86.16% |
| 2006 | 7.8715 | 1.0000 | 0.0000 | 6.8715 | 12.70% | 87.30% |
| 2007 | 8.3784 | 1.0000 | 0.0000 | 7.3784 | 11.94% | 88.06% |
| 2008 | 7.3574 | 1.0000 | 0.0000 | 6.3574 | 13.59% | 86.41% |
| 2009 | 8.6181 | 1.0000 | 0.0000 | 7.6181 | 11.60% | 88.40% |
| 2010 | 8.8092 | 1.0000 | 0.0000 | 7.8092 | 11.35% | 88.65% |
| 2011 | 8.1513 | 1.0000 | 0.0000 | 7.1513 | 12.27% | 87.73% |
| 2012 | 9.1613 | 1.0000 | 0.0000 | 8.1613 | 10.92% | 89.08% |
| 2013 | 10.9001 | 1.0000 | 0.0000 | 9.9001 | 9.17% | 90.83% |
| 2014 | 13.8026 | 1.0000 | 0.0000 | 12.8026 | 7.24% | 92.76% |
| 2015 | 16.1235 | 1.0000 | 0.0000 | 15.1235 | 6.20% | 93.80% |
| 2016 | 16.7891 | 1.0000 | 0.0000 | 15.7891 | 5.96% | 94.04% |
| 2017 | 19.8945 | 1.0000 | 0.0000 | 18.8945 | 5.03% | 94.97% |
| 2018 | 19.0768 | 1.0000 | 0.0000 | 18.0768 | 5.24% | 94.76% |
| 2019 | 24.0646 | 1.0000 | 0.0000 | 23.0646 | 4.16% | 95.84% |
| 2020 | 27.7189 | 1.0000 | 0.0000 | 26.7189 | 3.61% | 96.39% |
| 2021 | 33.6120 | 1.0000 | 0.0000 | 32.6120 | 2.98% | 97.02% |
| 2022 | 31.6877 | 1.0000 | 0.0000 | 30.6877 | 3.16% | 96.84% |
| 2023 | 36.1409 | 1.0000 | 0.0000 | 35.1409 | 2.77% | 97.23% |
| 2024 | 46.8618 | 1.0000 | 0.0000 | 45.8618 | 2.13% | 97.87% |
| 2025 | 55.8326 | 1.0000 | 0.0000 | 54.8326 | 1.79% | 98.21% |
| 2026 | 67.8069 | 1.0000 | 0.0000 | 66.8069 | 1.47% | 98.53% |
年底归因
| 年份 | 年初净值 | 年末净值 | 年度收益 | 红利低波盈亏 | 红利低波贡献 | 红利低波50(SPCLLHCT)盈亏 | 红利低波50(SPCLLHCT)贡献 | 720001主动基金盈亏 | 720001主动基金贡献 | 黄金(GLD)盈亏 | 黄金(GLD)贡献 | SPY盈亏 | SPY贡献 | QQQ盈亏 | QQQ贡献 | A股现金/货币基金盈亏 | A股现金/货币基金贡献 | 美股防守货币基金盈亏 | 美股防守货币基金贡献 | 融资负债盈亏 | 融资负债贡献 | 交易成本盈亏 | 交易成本贡献 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1993 | 1.0000 | 1.0227 | 2.28% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0228 | 2.28% | 0.0000 | 0.00% | -0.0001 | -0.01% |
| 1994 | 1.5344 | 1.3626 | -11.20% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | -0.1588 | -10.35% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.4996 | 32.56% | 0.0000 | 0.00% | -0.0010 | -0.06% |
| 1995 | 1.3689 | 1.8524 | 35.32% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.4898 | 35.78% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% |
| 1996 | 1.8723 | 2.2667 | 21.06% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.4143 | 22.13% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% |
| 1997 | 2.2724 | 3.0187 | 32.84% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.7521 | 33.10% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% |
| 1998 | 3.0343 | 3.3762 | 11.27% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.3599 | 11.86% | 0.0000 | 0.00% | 0.0000 | 0.00% | -0.0019 | -0.06% | 0.0000 | 0.00% | -0.0006 | -0.02% |
| 1999 | 3.3686 | 5.1003 | 51.40% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.4181 | 12.41% | 1.3062 | 38.78% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | -0.0002 | -0.01% |
| 2000 | 5.1697 | 4.7943 | -7.26% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | -0.0503 | -0.97% | -0.2705 | -5.23% | 0.0000 | 0.00% | 0.0153 | 0.30% | 0.0000 | 0.00% | -0.0005 | -0.01% |
| 2001 | 4.7956 | 4.8902 | 1.97% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0959 | 2.00% | 0.0000 | 0.00% | 0.0000 | 0.00% |
| 2002 | 4.8907 | 4.9900 | 2.03% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0998 | 2.04% | 0.0000 | 0.00% | 0.0000 | 0.00% |
| 2003 | 4.9905 | 6.4113 | 28.47% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.5660 | 11.34% | 0.8250 | 16.53% | 0.0000 | 0.00% | 0.0308 | 0.62% | 0.0000 | 0.00% | -0.0005 | -0.01% |
| 2004 | 6.4010 | 7.0917 | 10.79% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.3290 | 5.14% | 0.3514 | 5.49% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | -0.0001 | -0.00% |
| 2005 | 7.0311 | 7.2275 | 2.79% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0956 | 1.36% | 0.0714 | 1.02% | -0.0311 | -0.44% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | -0.0000 | -0.00% |
| 2006 | 7.3781 | 7.8715 | 6.69% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.1207 | 1.64% | 0.3895 | 5.28% | 0.1338 | 1.81% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | -0.0000 | -0.00% |
| 2007 | 7.8630 | 8.3784 | 6.55% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.1678 | 2.13% | -0.0619 | -0.79% | 0.4011 | 5.10% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | -0.0000 | -0.00% |
| 2008 | 8.3070 | 7.3574 | -11.43% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | -0.0058 | -0.07% | -0.2856 | -3.44% | -0.5047 | -6.08% | 0.0000 | 0.00% | -0.2242 | -2.70% | 0.0000 | 0.00% | -0.0007 | -0.01% |
| 2009 | 7.3560 | 8.6181 | 17.16% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.1527 | 2.08% | 0.4709 | 6.40% | 0.5507 | 7.49% | 0.0000 | 0.00% | 0.0871 | 1.18% | 0.0000 | 0.00% | -0.0007 | -0.01% |
| 2010 | 8.6181 | 8.8092 | 2.22% | 0.1608 | 1.87% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.1450 | 1.68% | -0.0198 | -0.23% | -0.0102 | -0.12% | 0.0000 | 0.00% | -0.0823 | -0.96% | 0.0000 | 0.00% | -0.0025 | -0.03% |
| 2011 | 8.8778 | 8.1513 | -8.18% | -0.3171 | -3.57% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0326 | 0.37% | -0.1684 | -1.90% | -0.1333 | -1.50% | 0.0000 | 0.00% | -0.0690 | -0.78% | 0.0000 | 0.00% | -0.0026 | -0.03% |
| 2012 | 8.2479 | 9.1613 | 11.07% | 0.0782 | 0.95% | 0.0000 | 0.00% | 0.1275 | 1.55% | 0.0269 | 0.33% | 0.3566 | 4.32% | 0.4208 | 5.10% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | -0.0000 | -0.00% |
| 2013 | 9.3129 | 10.9001 | 17.04% | 0.2687 | 2.89% | 0.0000 | 0.00% | 0.0727 | 0.78% | -0.1833 | -1.97% | 0.7317 | 7.86% | 0.8491 | 9.12% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | -0.0001 | -0.00% |
| 2014 | 10.8393 | 13.8026 | 27.34% | 1.0842 | 10.00% | 0.0000 | 0.00% | 0.5822 | 5.37% | 0.0007 | 0.01% | 0.5291 | 4.88% | 0.7063 | 6.52% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | -0.0001 | -0.00% |
| 2015 | 13.7919 | 16.1235 | 16.91% | 0.5440 | 3.94% | 0.0000 | 0.00% | 1.6163 | 11.72% | -0.0632 | -0.46% | 0.0308 | 0.22% | 0.2482 | 1.80% | 0.0000 | 0.00% | -0.0531 | -0.38% | 0.0000 | 0.00% | -0.0022 | -0.02% |
| 2016 | 15.6970 | 16.7891 | 6.96% | 0.0167 | 0.11% | 0.0000 | 0.00% | -0.5350 | -3.41% | 0.1491 | 0.95% | 0.6645 | 4.23% | 0.5175 | 3.30% | 0.0000 | 0.00% | -0.1453 | -0.93% | 0.0000 | 0.00% | -0.0019 | -0.01% |
| 2017 | 16.9500 | 19.8945 | 17.37% | 0.6983 | 4.12% | 0.0000 | 0.00% | 0.4560 | 2.69% | 0.0564 | 0.33% | 0.6938 | 4.09% | 1.2009 | 7.08% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | -0.0000 | -0.00% |
| 2018 | 20.1083 | 19.0768 | -5.13% | -0.6035 | -3.00% | 0.0000 | 0.00% | -0.6065 | -3.02% | 0.0448 | 0.22% | -0.0296 | -0.15% | 0.3925 | 1.95% | 0.0000 | 0.00% | -0.0117 | -0.06% | 0.0000 | 0.00% | -0.0037 | -0.02% |
| 2019 | 19.0222 | 24.0646 | 26.51% | 0.7022 | 3.69% | 0.1189 | 0.62% | 1.5585 | 8.19% | 0.2150 | 1.13% | 1.1801 | 6.20% | 1.4805 | 7.78% | 0.0000 | 0.00% | -0.2658 | -1.40% | 0.0000 | 0.00% | -0.0016 | -0.01% |
| 2020 | 24.4332 | 27.7189 | 13.45% | 0.1195 | 0.49% | 0.0206 | 0.08% | 1.4420 | 5.90% | 0.1939 | 0.79% | 0.3864 | 1.58% | 1.1975 | 4.90% | 0.0000 | 0.00% | 0.2969 | 1.22% | 0.0000 | 0.00% | -0.0025 | -0.01% |
| 2021 | 27.4064 | 33.6120 | 22.64% | 0.6739 | 2.46% | 0.6691 | 2.44% | 1.1025 | 4.02% | -0.0760 | -0.28% | 1.7869 | 6.52% | 1.7367 | 6.34% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | -0.0001 | -0.00% |
| 2022 | 33.6694 | 31.6877 | -5.89% | 0.1621 | 0.48% | -0.1583 | -0.47% | -0.4417 | -1.31% | 0.1231 | 0.37% | -0.8672 | -2.58% | -1.6232 | -4.82% | 0.0000 | 0.00% | 0.8826 | 2.62% | 0.0000 | 0.00% | -0.0016 | -0.00% |
| 2023 | 31.8888 | 36.1409 | 13.33% | 0.5962 | 1.87% | 0.7839 | 2.46% | -1.0763 | -3.38% | 0.2550 | 0.80% | 1.6653 | 5.22% | 2.6578 | 8.33% | 0.0000 | 0.00% | -0.4238 | -1.33% | 0.0000 | 0.00% | -0.0049 | -0.02% |
| 2024 | 36.0450 | 46.8618 | 30.01% | 1.2951 | 3.59% | 1.6839 | 4.67% | 1.9101 | 5.30% | 0.5559 | 1.54% | 2.5836 | 7.17% | 2.6925 | 7.47% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | -0.0001 | -0.00% |
| 2025 | 46.3912 | 55.8326 | 20.35% | 0.4094 | 0.88% | 0.2774 | 0.60% | 5.6235 | 12.12% | 1.1529 | 2.49% | 0.8464 | 1.82% | 0.8478 | 1.83% | 0.0000 | 0.00% | -0.1815 | -0.39% | 0.0000 | 0.00% | -0.0051 | -0.01% |
| 2026 | 55.8213 | 67.8069 | 21.47% | -0.7732 | -1.39% | -0.4337 | -0.78% | 10.1256 | 18.14% | -0.2691 | -0.48% | 0.9799 | 1.76% | 2.3457 | 4.20% | 0.0000 | 0.00% | 0.0000 | 0.00% | 0.0000 | 0.00% | -0.0008 | -0.00% |
调仓记录
| 日期 | 类型 | 分组 | 标的 | 组合调仓前权重 | 组合目标权重 | 组合调仓后权重 | 买卖金额 | 调仓前金额 | 调仓后金额 | 本次换手金额 |
|---|---|---|---|---|---|---|---|---|---|---|
| 1993-01-29 | quarter_rebalance | ALL | A股现金/货币基金 | 50.00% | 0.00% | 0.00% | -0.5000 | 0.5000 | 0.0000 | 0.5000 |
| 1993-01-29 | quarter_rebalance | ALL | 美股防守货币基金 | 50.00% | 100.00% | 100.00% | 0.5000 | 0.5000 | 1.0000 | 0.5000 |
| 1994-01-31 | risk_on | US | SPY | 0.00% | 100.00% | 100.00% | 1.5365 | 0.0000 | 1.5365 | 1.5367 |
| 1994-01-31 | risk_on | US | 美股防守货币基金 | 100.00% | 0.00% | 0.00% | -1.5367 | 1.5367 | 0.0000 | 1.5367 |
| 1994-03-31 | risk_off | US | SPY | 100.00% | 0.00% | 0.00% | -1.4306 | 1.4306 | 0.0000 | 1.4306 |
| 1994-03-31 | risk_off | US | 美股防守货币基金 | 0.00% | 100.00% | 100.00% | 1.4304 | 0.0000 | 1.4304 | 1.4306 |
| 1994-05-31 | risk_on | US | SPY | 0.00% | 100.00% | 100.00% | 1.4268 | 0.0000 | 1.4268 | 1.4269 |
| 1994-05-31 | risk_on | US | 美股防守货币基金 | 100.00% | 0.00% | 0.00% | -1.4269 | 1.4269 | 0.0000 | 1.4269 |
| 1994-06-30 | risk_off | US | SPY | 100.00% | 0.00% | 0.00% | -1.3928 | 1.3928 | 0.0000 | 1.3928 |
| 1994-06-30 | risk_off | US | 美股防守货币基金 | 0.00% | 100.00% | 100.00% | 1.3927 | 0.0000 | 1.3927 | 1.3928 |
| 1994-07-29 | risk_on | US | SPY | 0.00% | 100.00% | 100.00% | 1.3896 | 0.0000 | 1.3896 | 1.3897 |
| 1994-07-29 | risk_on | US | 美股防守货币基金 | 100.00% | 0.00% | 0.00% | -1.3897 | 1.3897 | 0.0000 | 1.3897 |
| 1994-11-30 | risk_off | US | SPY | 100.00% | 0.00% | 0.00% | -1.3707 | 1.3707 | 0.0000 | 1.3707 |
| 1994-11-30 | risk_off | US | 美股防守货币基金 | 0.00% | 100.00% | 100.00% | 1.3706 | 0.0000 | 1.3706 | 1.3707 |
| 1994-12-30 | risk_on | US | SPY | 0.00% | 100.00% | 100.00% | 1.3626 | 0.0000 | 1.3626 | 1.3627 |
| 1994-12-30 | risk_on | US | 美股防守货币基金 | 100.00% | 0.00% | 0.00% | -1.3627 | 1.3627 | 0.0000 | 1.3627 |
| 1998-08-31 | risk_off | US | SPY | 100.00% | 0.00% | 0.00% | -3.0038 | 3.0038 | 0.0000 | 3.0038 |
| 1998-08-31 | risk_off | US | 美股防守货币基金 | 0.00% | 100.00% | 100.00% | 3.0035 | 0.0000 | 3.0035 | 3.0038 |
| 1998-10-30 | risk_on | US | SPY | 0.00% | 100.00% | 100.00% | 3.0013 | 0.0000 | 3.0013 | 3.0016 |
| 1998-10-30 | risk_on | US | 美股防守货币基金 | 100.00% | 0.00% | 0.00% | -3.0016 | 3.0016 | 0.0000 | 3.0016 |
| 1999-03-31 | quarter_rebalance | ALL | SPY | 100.00% | 50.00% | 50.00% | -1.7620 | 3.5238 | 1.7618 | 1.7619 |
| 1999-03-31 | quarter_rebalance | ALL | QQQ | 0.00% | 50.00% | 50.00% | 1.7618 | 0.0000 | 1.7618 | 1.7619 |
| 1999-12-31 | quarter_rebalance | ALL | SPY | 39.85% | 50.00% | 50.00% | 0.5178 | 2.0323 | 2.5501 | 0.5178 |
| 1999-12-31 | quarter_rebalance | ALL | QQQ | 60.15% | 50.00% | 50.00% | -0.5179 | 3.0680 | 2.5501 | 0.5178 |
| 2000-10-31 | risk_off | US | SPY | 52.30% | 0.00% | 0.00% | -2.4999 | 2.4999 | 0.0000 | 4.7795 |
| 2000-10-31 | risk_off | US | QQQ | 47.70% | 0.00% | 0.00% | -2.2797 | 2.2797 | 0.0000 | 4.7795 |
| 2000-10-31 | risk_off | US | 美股防守货币基金 | 0.00% | 100.00% | 100.00% | 4.7790 | 0.0000 | 4.7790 | 4.7795 |
| 2003-04-30 | risk_on | US | SPY | 0.00% | 50.00% | 50.00% | 2.5101 | 0.0000 | 2.5101 | 5.0208 |
| 2003-04-30 | risk_on | US | QQQ | 0.00% | 50.00% | 50.00% | 2.5101 | 0.0000 | 2.5101 | 5.0208 |
| 2003-04-30 | risk_on | US | 美股防守货币基金 | 100.00% | 0.00% | 0.00% | -5.0208 | 5.0208 | 0.0000 | 5.0208 |
| 2004-12-31 | quarter_rebalance | ALL | 黄金(GLD) | 0.00% | 9.09% | 9.09% | 0.6447 | 0.0000 | 0.6447 | 0.6447 |
| 2004-12-31 | quarter_rebalance | ALL | SPY | 48.02% | 45.45% | 45.45% | -0.1817 | 3.4052 | 3.2235 | 0.6447 |
| 2004-12-31 | quarter_rebalance | ALL | QQQ | 51.98% | 45.45% | 45.45% | -0.4631 | 3.6866 | 3.2235 | 0.6447 |
| 2005-12-30 | quarter_rebalance | ALL | 黄金(GLD) | 10.24% | 9.09% | 9.09% | -0.0832 | 0.7403 | 0.6570 | 0.0929 |
| 2005-12-30 | quarter_rebalance | ALL | SPY | 45.59% | 45.45% | 45.45% | -0.0097 | 3.2949 | 3.2852 | 0.0929 |
| 2005-12-30 | quarter_rebalance | ALL | QQQ | 44.17% | 45.45% | 45.45% | 0.0929 | 3.1923 | 3.2852 | 0.0929 |
| 2006-06-30 | quarter_rebalance | ALL | 黄金(GLD) | 10.65% | 9.09% | 9.09% | -0.1132 | 0.7726 | 0.6594 | 0.1707 |
| 2006-06-30 | quarter_rebalance | ALL | SPY | 46.25% | 45.45% | 45.45% | -0.0575 | 3.3547 | 3.2972 | 0.1707 |
| 2006-06-30 | quarter_rebalance | ALL | QQQ | 43.10% | 45.45% | 45.45% | 0.1707 | 3.1266 | 3.2972 | 0.1707 |
| 2007-06-29 | quarter_rebalance | ALL | 黄金(GLD) | 7.94% | 9.09% | 9.09% | 0.0959 | 0.6591 | 0.7550 | 0.0959 |
| 2007-06-29 | quarter_rebalance | ALL | SPY | 45.50% | 45.45% | 45.45% | -0.0038 | 3.7787 | 3.7749 | 0.0959 |
| 2007-06-29 | quarter_rebalance | ALL | QQQ | 46.56% | 45.45% | 45.45% | -0.0921 | 3.8670 | 3.7749 | 0.0959 |
| 2007-12-31 | quarter_rebalance | ALL | 黄金(GLD) | 11.08% | 9.09% | 9.09% | -0.1666 | 0.9283 | 0.7617 | 0.2569 |
| 2007-12-31 | quarter_rebalance | ALL | SPY | 42.39% | 45.45% | 45.45% | 0.2569 | 3.5514 | 3.8084 | 0.2569 |
| 2007-12-31 | quarter_rebalance | ALL | QQQ | 46.53% | 45.45% | 45.45% | -0.0903 | 3.8987 | 3.8084 | 0.2569 |
| 2008-01-31 | risk_off | US | SPY | 46.00% | 0.00% | 0.00% | -3.5228 | 3.5228 | 0.0000 | 6.8264 |
| 2008-01-31 | risk_off | US | QQQ | 43.14% | 0.00% | 0.00% | -3.3037 | 3.3037 | 0.0000 | 6.8264 |
| 2008-01-31 | risk_off | US | 美股防守货币基金 | 0.00% | 89.15% | 89.14% | 6.8257 | 0.0000 | 6.8257 | 6.8264 |
| 2008-03-31 | quarter_rebalance | ALL | 黄金(GLD) | 10.72% | 9.09% | 9.09% | -0.1220 | 0.8028 | 0.6808 | 0.1219 |
| 2008-03-31 | quarter_rebalance | ALL | 美股防守货币基金 | 89.28% | 90.91% | 90.91% | 0.1219 | 6.6861 | 6.8080 | 0.1219 |
| 2009-07-31 | risk_on | US | SPY | 0.00% | 45.43% | 45.43% | 3.4050 | 0.0000 | 3.4050 | 6.8106 |
| 2009-07-31 | risk_on | US | QQQ | 0.00% | 45.43% | 45.43% | 3.4050 | 0.0000 | 3.4050 | 6.8106 |
| 2009-07-31 | risk_on | US | 美股防守货币基金 | 90.86% | 0.00% | 0.00% | -6.8106 | 6.8106 | 0.0000 | 6.8106 |
| 2010-03-31 | quarter_rebalance | ALL | 红利低波 | 0.00% | 21.43% | 21.43% | 1.9399 | 0.0000 | 1.9399 | 1.9399 |
| 2010-03-31 | quarter_rebalance | ALL | 黄金(GLD) | 8.82% | 7.14% | 7.14% | -0.1520 | 0.7986 | 0.6466 | 1.9399 |
| 2010-03-31 | quarter_rebalance | ALL | SPY | 45.13% | 35.71% | 35.71% | -0.8528 | 4.0859 | 3.2331 | 1.9399 |
| 2010-03-31 | quarter_rebalance | ALL | QQQ | 46.04% | 35.71% | 35.71% | -0.9353 | 4.1684 | 3.2331 | 1.9399 |
| 2010-06-30 | risk_off | US | SPY | 35.53% | 0.00% | 0.00% | -2.8473 | 2.8473 | 0.0000 | 5.7070 |
| 2010-06-30 | risk_off | US | QQQ | 35.68% | 0.00% | 0.00% | -2.8597 | 2.8597 | 0.0000 | 5.7070 |
| 2010-06-30 | risk_off | US | 美股防守货币基金 | 0.00% | 71.22% | 71.21% | 5.7064 | 0.0000 | 5.7064 | 5.7070 |
| 2010-06-30 | quarter_rebalance | ALL | 红利低波 | 19.83% | 21.43% | 21.43% | 0.1279 | 1.5892 | 1.7171 | 0.1451 |
| 2010-06-30 | quarter_rebalance | ALL | 黄金(GLD) | 8.95% | 7.14% | 7.14% | -0.1451 | 0.7175 | 0.5724 | 0.1451 |
| 2010-06-30 | quarter_rebalance | ALL | 美股防守货币基金 | 71.21% | 71.43% | 71.43% | 0.0173 | 5.7064 | 5.7237 | 0.1451 |
| 2010-07-30 | risk_on | US | SPY | 0.00% | 34.82% | 34.82% | 2.8628 | 0.0000 | 2.8628 | 5.7262 |
| 2010-07-30 | risk_on | US | QQQ | 0.00% | 34.82% | 34.82% | 2.8628 | 0.0000 | 2.8628 | 5.7262 |
| 2010-07-30 | risk_on | US | 美股防守货币基金 | 69.63% | 0.00% | 0.00% | -5.7262 | 5.7262 | 0.0000 | 5.7262 |
| 2010-08-31 | risk_off | US | SPY | 33.60% | 0.00% | 0.00% | -2.7475 | 2.7475 | 0.0000 | 5.4769 |
| 2010-08-31 | risk_off | US | QQQ | 33.38% | 0.00% | 0.00% | -2.7294 | 2.7294 | 0.0000 | 5.4769 |
| 2010-08-31 | risk_off | US | 美股防守货币基金 | 0.00% | 66.98% | 66.98% | 5.4763 | 0.0000 | 5.4763 | 5.4769 |
| 2010-09-30 | risk_on | US | SPY | 0.00% | 32.88% | 32.88% | 2.6955 | 0.0000 | 2.6955 | 5.3915 |
| 2010-09-30 | risk_on | US | QQQ | 0.00% | 32.88% | 32.88% | 2.6955 | 0.0000 | 2.6955 | 5.3915 |
| 2010-09-30 | risk_on | US | 美股防守货币基金 | 65.76% | 0.00% | 0.00% | -5.3915 | 5.3915 | 0.0000 | 5.3915 |
| 2010-09-30 | quarter_rebalance | ALL | 红利低波 | 27.00% | 21.43% | 21.43% | -0.4568 | 2.2135 | 1.7567 | 0.4648 |
| 2010-09-30 | quarter_rebalance | ALL | 黄金(GLD) | 7.24% | 7.14% | 7.14% | -0.0080 | 0.5936 | 0.5856 | 0.4648 |
| 2010-09-30 | quarter_rebalance | ALL | SPY | 32.88% | 35.71% | 35.71% | 0.2324 | 2.6955 | 2.9278 | 0.4648 |
| 2010-09-30 | quarter_rebalance | ALL | QQQ | 32.88% | 35.71% | 35.71% | 0.2324 | 2.6955 | 2.9278 | 0.4648 |
| 2011-08-31 | risk_off | US | SPY | 35.10% | 0.00% | 0.00% | -3.0326 | 3.0326 | 0.0000 | 6.1819 |
| 2011-08-31 | risk_off | US | QQQ | 36.45% | 0.00% | 0.00% | -3.1494 | 3.1494 | 0.0000 | 6.1819 |
| 2011-08-31 | risk_off | US | 美股防守货币基金 | 0.00% | 71.55% | 71.55% | 6.1813 | 0.0000 | 6.1813 | 6.1819 |
| 2011-09-30 | quarter_rebalance | ALL | 红利低波 | 18.37% | 21.43% | 21.43% | 0.2579 | 1.5485 | 1.8064 | 0.2579 |
| 2011-09-30 | quarter_rebalance | ALL | 黄金(GLD) | 8.18% | 7.14% | 7.14% | -0.0877 | 0.6898 | 0.6021 | 0.2579 |
| 2011-09-30 | quarter_rebalance | ALL | 美股防守货币基金 | 73.45% | 71.43% | 71.43% | -0.1703 | 6.1916 | 6.0213 | 0.2579 |
| 2011-10-31 | risk_on | US | SPY | 0.00% | 35.22% | 35.22% | 3.0044 | 0.0000 | 3.0044 | 6.0094 |
| 2011-10-31 | risk_on | US | QQQ | 0.00% | 35.22% | 35.22% | 3.0044 | 0.0000 | 3.0044 | 6.0094 |
| 2011-10-31 | risk_on | US | 美股防守货币基金 | 70.44% | 0.00% | 0.00% | -6.0094 | 6.0094 | 0.0000 | 6.0094 |
| 2011-11-30 | risk_off | US | SPY | 35.61% | 0.00% | 0.00% | -3.0024 | 3.0024 | 0.0000 | 5.9360 |
| 2011-11-30 | risk_off | US | QQQ | 34.79% | 0.00% | 0.00% | -2.9335 | 2.9335 | 0.0000 | 5.9360 |
| 2011-11-30 | risk_off | US | 美股防守货币基金 | 0.00% | 70.40% | 70.40% | 5.9354 | 0.0000 | 5.9354 | 5.9360 |
| 2011-12-30 | risk_on | US | SPY | 0.00% | 35.99% | 35.99% | 2.9337 | 0.0000 | 2.9337 | 5.8681 |
| 2011-12-30 | risk_on | US | QQQ | 0.00% | 35.99% | 35.99% | 2.9337 | 0.0000 | 2.9337 | 5.8681 |
| 2011-12-30 | risk_on | US | 美股防守货币基金 | 71.98% | 0.00% | 0.00% | -5.8681 | 5.8681 | 0.0000 | 5.8681 |
| 2011-12-31 | quarter_rebalance | ALL | 红利低波 | 21.01% | 17.65% | 17.65% | -0.2742 | 1.7126 | 1.4385 | 1.4385 |
| 2011-12-31 | quarter_rebalance | ALL | 720001主动基金 | 0.00% | 17.65% | 17.65% | 1.4385 | 0.0000 | 1.4385 | 1.4385 |
| 2011-12-31 | quarter_rebalance | ALL | 黄金(GLD) | 7.01% | 5.88% | 5.88% | -0.0919 | 0.5714 | 0.4795 | 1.4385 |
| 2011-12-31 | quarter_rebalance | ALL | SPY | 35.99% | 29.41% | 29.41% | -0.5363 | 2.9337 | 2.3974 | 1.4385 |
| 2011-12-31 | quarter_rebalance | ALL | QQQ | 35.99% | 29.41% | 29.41% | -0.5363 | 2.9337 | 2.3974 | 1.4385 |
| 2012-09-30 | quarter_rebalance | ALL | 红利低波 | 15.09% | 17.65% | 17.65% | 0.2321 | 1.3717 | 1.6038 | 0.4089 |
| 2012-09-30 | quarter_rebalance | ALL | 720001主动基金 | 15.70% | 17.65% | 17.65% | 0.1768 | 1.4270 | 1.6038 | 0.4089 |
| 2012-09-30 | quarter_rebalance | ALL | 黄金(GLD) | 5.96% | 5.88% | 5.88% | -0.0069 | 0.5415 | 0.5346 | 0.4089 |
| 2012-09-30 | quarter_rebalance | ALL | SPY | 30.67% | 29.41% | 29.41% | -0.1145 | 2.7874 | 2.6729 | 0.4089 |
| 2012-09-30 | quarter_rebalance | ALL | QQQ | 32.58% | 29.41% | 29.41% | -0.2875 | 2.9604 | 2.6729 | 0.4089 |
| 2013-03-29 | quarter_rebalance | ALL | 红利低波 | 19.23% | 17.65% | 17.65% | -0.1554 | 1.8823 | 1.7269 | 0.2995 |
| 2013-03-29 | quarter_rebalance | ALL | 720001主动基金 | 18.80% | 17.65% | 17.65% | -0.1129 | 1.8398 | 1.7269 | 0.2995 |
| 2013-03-29 | quarter_rebalance | ALL | 黄金(GLD) | 4.85% | 5.88% | 5.88% | 0.1007 | 0.4750 | 0.5756 | 0.2995 |
| 2013-03-29 | quarter_rebalance | ALL | SPY | 29.73% | 29.41% | 29.41% | -0.0312 | 2.9094 | 2.8782 | 0.2995 |
| 2013-03-29 | quarter_rebalance | ALL | QQQ | 27.38% | 29.41% | 29.41% | 0.1988 | 2.6794 | 2.8782 | 0.2995 |
| 2013-06-30 | quarter_rebalance | ALL | 红利低波 | 16.27% | 17.65% | 17.65% | 0.1320 | 1.5543 | 1.6863 | 0.2557 |
| 2013-06-30 | quarter_rebalance | ALL | 720001主动基金 | 17.69% | 17.65% | 17.65% | -0.0042 | 1.6905 | 1.6863 | 0.2557 |
| 2013-06-30 | quarter_rebalance | ALL | 黄金(GLD) | 4.59% | 5.88% | 5.88% | 0.1237 | 0.4384 | 0.5621 | 0.2557 |
| 2013-06-30 | quarter_rebalance | ALL | SPY | 30.62% | 29.41% | 29.41% | -0.1154 | 2.9260 | 2.8105 | 0.2557 |
| 2013-06-30 | quarter_rebalance | ALL | QQQ | 30.84% | 29.41% | 29.41% | -0.1361 | 2.9466 | 2.8105 | 0.2557 |
| 2013-12-31 | quarter_rebalance | ALL | 红利低波 | 18.29% | 17.65% | 17.65% | -0.0705 | 1.9940 | 1.9236 | 0.3258 |
| 2013-12-31 | quarter_rebalance | ALL | 720001主动基金 | 15.58% | 17.65% | 17.65% | 0.2251 | 1.6984 | 1.9236 | 0.3258 |
| 2013-12-31 | quarter_rebalance | ALL | 黄金(GLD) | 4.96% | 5.88% | 5.88% | 0.1007 | 0.5405 | 0.6412 | 0.3258 |
| 2013-12-31 | quarter_rebalance | ALL | SPY | 29.58% | 29.41% | 29.41% | -0.0187 | 3.2246 | 3.2059 | 0.3258 |
| 2013-12-31 | quarter_rebalance | ALL | QQQ | 31.58% | 29.41% | 29.41% | -0.2367 | 3.4426 | 3.2059 | 0.3258 |
| 2014-09-30 | quarter_rebalance | ALL | 红利低波 | 18.29% | 17.65% | 17.65% | -0.0790 | 2.2562 | 2.1772 | 0.1879 |
| 2014-09-30 | quarter_rebalance | ALL | 720001主动基金 | 18.01% | 17.65% | 17.65% | -0.0446 | 2.2219 | 2.1772 | 0.1879 |
| 2014-09-30 | quarter_rebalance | ALL | 黄金(GLD) | 5.27% | 5.88% | 5.88% | 0.0751 | 0.6506 | 0.7257 | 0.1879 |
| 2014-09-30 | quarter_rebalance | ALL | SPY | 28.50% | 29.41% | 29.41% | 0.1128 | 3.5159 | 3.6287 | 0.1879 |
| 2014-09-30 | quarter_rebalance | ALL | QQQ | 29.93% | 29.41% | 29.41% | -0.0643 | 3.6930 | 3.6287 | 0.1879 |
| 2014-12-31 | quarter_rebalance | ALL | 红利低波 | 21.22% | 17.65% | 17.65% | -0.4930 | 2.9288 | 2.4358 | 0.5184 |
| 2014-12-31 | quarter_rebalance | ALL | 720001主动基金 | 17.83% | 17.65% | 17.65% | -0.0254 | 2.4611 | 2.4358 | 0.5184 |
| 2014-12-31 | quarter_rebalance | ALL | 黄金(GLD) | 5.19% | 5.88% | 5.88% | 0.0949 | 0.7170 | 0.8119 | 0.5184 |
| 2014-12-31 | quarter_rebalance | ALL | SPY | 27.88% | 29.41% | 29.41% | 0.2118 | 3.8478 | 4.0596 | 0.5184 |
| 2014-12-31 | quarter_rebalance | ALL | QQQ | 27.88% | 29.41% | 29.41% | 0.2117 | 3.8479 | 4.0596 | 0.5184 |
| 2015-03-31 | quarter_rebalance | ALL | 红利低波 | 17.62% | 17.65% | 17.65% | 0.0044 | 2.7277 | 2.7320 | 0.9607 |
| 2015-03-31 | quarter_rebalance | ALL | 720001主动基金 | 23.85% | 17.65% | 17.65% | -0.9607 | 3.6927 | 2.7320 | 0.9607 |
| 2015-03-31 | quarter_rebalance | ALL | 黄金(GLD) | 5.24% | 5.88% | 5.88% | 0.0989 | 0.8118 | 0.9107 | 0.9607 |
| 2015-03-31 | quarter_rebalance | ALL | SPY | 26.43% | 29.41% | 29.41% | 0.4617 | 4.0917 | 4.5534 | 0.9607 |
| 2015-03-31 | quarter_rebalance | ALL | QQQ | 26.86% | 29.41% | 29.41% | 0.3956 | 4.1578 | 4.5534 | 0.9607 |
| 2015-06-30 | quarter_rebalance | ALL | 红利低波 | 20.46% | 17.65% | 17.65% | -0.4641 | 3.3782 | 2.9141 | 0.5932 |
| 2015-06-30 | quarter_rebalance | ALL | 720001主动基金 | 18.43% | 17.65% | 17.65% | -0.1291 | 3.0432 | 2.9141 | 0.5932 |
| 2015-06-30 | quarter_rebalance | ALL | 黄金(GLD) | 5.45% | 5.88% | 5.88% | 0.0709 | 0.9005 | 0.9714 | 0.5932 |
| 2015-06-30 | quarter_rebalance | ALL | SPY | 27.63% | 29.41% | 29.41% | 0.2935 | 4.5634 | 4.8569 | 0.5932 |
| 2015-06-30 | quarter_rebalance | ALL | QQQ | 28.03% | 29.41% | 29.41% | 0.2288 | 4.6281 | 4.8569 | 0.5932 |
| 2015-08-31 | risk_off | US | SPY | 31.69% | 0.00% | 0.00% | -4.7963 | 4.7963 | 0.0000 | 9.6623 |
| 2015-08-31 | risk_off | US | QQQ | 32.15% | 0.00% | 0.00% | -4.8660 | 4.8660 | 0.0000 | 9.6623 |
| 2015-08-31 | risk_off | US | 美股防守货币基金 | 0.00% | 63.83% | 63.83% | 9.6613 | 0.0000 | 9.6613 | 9.6623 |
| 2015-09-30 | quarter_rebalance | ALL | 红利低波 | 14.19% | 17.65% | 17.65% | 0.5175 | 2.1241 | 2.6416 | 0.9070 |
| 2015-09-30 | quarter_rebalance | ALL | 720001主动基金 | 15.05% | 17.65% | 17.65% | 0.3895 | 2.2522 | 2.6416 | 0.9070 |
| 2015-09-30 | quarter_rebalance | ALL | 黄金(GLD) | 6.33% | 5.88% | 5.88% | -0.0664 | 0.9469 | 0.8805 | 0.9070 |
| 2015-09-30 | quarter_rebalance | ALL | 美股防守货币基金 | 64.44% | 58.82% | 58.82% | -0.8407 | 9.6461 | 8.8054 | 0.9070 |
| 2015-10-30 | risk_on | US | SPY | 0.00% | 28.15% | 28.15% | 4.3833 | 0.0000 | 4.3833 | 8.7675 |
| 2015-10-30 | risk_on | US | QQQ | 0.00% | 28.15% | 28.15% | 4.3833 | 0.0000 | 4.3833 | 8.7675 |
| 2015-10-30 | risk_on | US | 美股防守货币基金 | 56.31% | 0.00% | 0.00% | -8.7675 | 8.7675 | 0.0000 | 8.7675 |
| 2015-12-31 | quarter_rebalance | ALL | 红利低波 | 18.84% | 17.65% | 17.65% | -0.1922 | 3.0376 | 2.8453 | 0.6987 |
| 2015-12-31 | quarter_rebalance | ALL | 720001主动基金 | 20.79% | 17.65% | 17.65% | -0.5064 | 3.3518 | 2.8453 | 0.6987 |
| 2015-12-31 | quarter_rebalance | ALL | 黄金(GLD) | 5.28% | 5.88% | 5.88% | 0.0963 | 0.8521 | 0.9484 | 0.6987 |
| 2015-12-31 | quarter_rebalance | ALL | SPY | 27.49% | 29.41% | 29.41% | 0.3095 | 4.4327 | 4.7422 | 0.6987 |
| 2015-12-31 | quarter_rebalance | ALL | QQQ | 27.60% | 29.41% | 29.41% | 0.2928 | 4.4495 | 4.7422 | 0.6987 |
| 2016-01-29 | risk_off | US | SPY | 31.33% | 0.00% | 0.00% | -4.5739 | 4.5739 | 0.0000 | 9.0547 |
| 2016-01-29 | risk_off | US | QQQ | 30.69% | 0.00% | 0.00% | -4.4809 | 4.4809 | 0.0000 | 9.0547 |
| 2016-01-29 | risk_off | US | 美股防守货币基金 | 0.00% | 62.01% | 62.01% | 9.0538 | 0.0000 | 9.0538 | 9.0547 |
| 2016-03-31 | risk_on | US | SPY | 0.00% | 29.91% | 29.90% | 4.4538 | 0.0000 | 4.4538 | 8.9086 |
| 2016-03-31 | risk_on | US | QQQ | 0.00% | 29.91% | 29.90% | 4.4538 | 0.0000 | 4.4538 | 8.9086 |
| 2016-03-31 | risk_on | US | 美股防守货币基金 | 59.81% | 0.00% | 0.00% | -8.9086 | 8.9086 | 0.0000 | 8.9086 |
| 2016-03-31 | quarter_rebalance | ALL | 红利低波 | 16.91% | 17.65% | 17.65% | 0.1096 | 2.5186 | 2.6283 | 0.3653 |
| 2016-03-31 | quarter_rebalance | ALL | 720001主动基金 | 15.93% | 17.65% | 17.65% | 0.2556 | 2.3727 | 2.6283 | 0.3653 |
| 2016-03-31 | quarter_rebalance | ALL | 黄金(GLD) | 7.35% | 5.88% | 5.88% | -0.2185 | 1.0946 | 0.8761 | 0.3653 |
| 2016-03-31 | quarter_rebalance | ALL | SPY | 29.90% | 29.41% | 29.41% | -0.0734 | 4.4538 | 4.3805 | 0.3653 |
| 2016-03-31 | quarter_rebalance | ALL | QQQ | 29.90% | 29.41% | 29.41% | -0.0734 | 4.4538 | 4.3805 | 0.3653 |
| 2016-12-31 | quarter_rebalance | ALL | 红利低波 | 17.70% | 17.65% | 17.65% | -0.0089 | 2.9717 | 2.9628 | 0.5055 |
| 2016-12-31 | quarter_rebalance | ALL | 720001主动基金 | 15.28% | 17.65% | 17.65% | 0.3969 | 2.5659 | 2.9628 | 0.5055 |
| 2016-12-31 | quarter_rebalance | ALL | 黄金(GLD) | 5.24% | 5.88% | 5.88% | 0.1086 | 0.8790 | 0.9876 | 0.5055 |
| 2016-12-31 | quarter_rebalance | ALL | SPY | 31.05% | 29.41% | 29.41% | -0.2754 | 5.2134 | 4.9380 | 0.5055 |
| 2016-12-31 | quarter_rebalance | ALL | QQQ | 30.73% | 29.41% | 29.41% | -0.2213 | 5.1593 | 4.9380 | 0.5055 |
| 2017-12-31 | quarter_rebalance | ALL | 红利低波 | 18.40% | 17.65% | 17.65% | -0.1503 | 3.6611 | 3.5108 | 0.4378 |
| 2017-12-31 | quarter_rebalance | ALL | 720001主动基金 | 17.18% | 17.65% | 17.65% | 0.0920 | 3.4188 | 3.5108 | 0.4378 |
| 2017-12-31 | quarter_rebalance | ALL | 黄金(GLD) | 5.25% | 5.88% | 5.88% | 0.1262 | 1.0440 | 1.1703 | 0.4378 |
| 2017-12-31 | quarter_rebalance | ALL | SPY | 28.31% | 29.41% | 29.41% | 0.2195 | 5.6318 | 5.8513 | 0.4378 |
| 2017-12-31 | quarter_rebalance | ALL | QQQ | 30.86% | 29.41% | 29.41% | -0.2875 | 6.1389 | 5.8513 | 0.4378 |
| 2018-06-30 | quarter_rebalance | ALL | 红利低波 | 15.82% | 17.65% | 17.65% | 0.3660 | 3.1775 | 3.5435 | 0.8722 |
| 2018-06-30 | quarter_rebalance | ALL | 720001主动基金 | 15.32% | 17.65% | 17.65% | 0.4671 | 3.0764 | 3.5435 | 0.8722 |
| 2018-06-30 | quarter_rebalance | ALL | 黄金(GLD) | 5.69% | 5.88% | 5.88% | 0.0391 | 1.1421 | 1.1812 | 0.8722 |
| 2018-06-30 | quarter_rebalance | ALL | SPY | 30.38% | 29.41% | 29.41% | -0.1953 | 6.1010 | 5.9058 | 0.8722 |
| 2018-06-30 | quarter_rebalance | ALL | QQQ | 32.78% | 29.41% | 29.41% | -0.6770 | 6.5828 | 5.9058 | 0.8722 |
| 2018-10-31 | risk_off | US | SPY | 30.97% | 0.00% | 0.00% | -6.2372 | 6.2372 | 0.0000 | 12.4060 |
| 2018-10-31 | risk_off | US | QQQ | 30.63% | 0.00% | 0.00% | -6.1688 | 6.1688 | 0.0000 | 12.4060 |
| 2018-10-31 | risk_off | US | 美股防守货币基金 | 0.00% | 61.60% | 61.60% | 12.4048 | 0.0000 | 12.4048 | 12.4060 |
| 2018-11-30 | risk_on | US | SPY | 0.00% | 30.70% | 30.69% | 6.1959 | 0.0000 | 6.1959 | 12.3931 |
| 2018-11-30 | risk_on | US | QQQ | 0.00% | 30.70% | 30.69% | 6.1959 | 0.0000 | 6.1959 | 12.3931 |
| 2018-11-30 | risk_on | US | 美股防守货币基金 | 61.39% | 0.00% | 0.00% | -12.3931 | 12.3931 | 0.0000 | 12.3931 |
| 2018-12-31 | risk_off | US | SPY | 29.28% | 0.00% | 0.00% | -5.5851 | 5.5851 | 0.0000 | 11.1791 |
| 2018-12-31 | risk_off | US | QQQ | 29.32% | 0.00% | 0.00% | -5.5940 | 5.5940 | 0.0000 | 11.1791 |
| 2018-12-31 | risk_off | US | 美股防守货币基金 | 0.00% | 58.60% | 58.59% | 11.1780 | 0.0000 | 11.1780 | 11.1791 |
| 2018-12-31 | quarter_rebalance | ALL | 红利低波 | 17.16% | 17.65% | 17.65% | 0.0932 | 3.2733 | 3.3665 | 0.1369 |
| 2018-12-31 | quarter_rebalance | ALL | 720001主动基金 | 17.67% | 17.65% | 17.65% | -0.0049 | 3.3713 | 3.3665 | 0.1369 |
| 2018-12-31 | quarter_rebalance | ALL | 黄金(GLD) | 6.57% | 5.88% | 5.88% | -0.1320 | 1.2542 | 1.1222 | 0.1369 |
| 2018-12-31 | quarter_rebalance | ALL | 美股防守货币基金 | 58.59% | 58.82% | 58.82% | 0.0437 | 11.1780 | 11.2217 | 0.1369 |
| 2019-02-28 | risk_on | US | SPY | 0.00% | 27.38% | 27.38% | 5.4774 | 0.0000 | 5.4774 | 10.9558 |
| 2019-02-28 | risk_on | US | QQQ | 0.00% | 27.38% | 27.38% | 5.4774 | 0.0000 | 5.4774 | 10.9558 |
| 2019-02-28 | risk_on | US | 美股防守货币基金 | 54.76% | 0.00% | 0.00% | -10.9558 | 10.9558 | 0.0000 | 10.9558 |
| 2019-03-29 | quarter_rebalance | ALL | 红利低波 | 19.48% | 17.65% | 17.65% | -0.3774 | 4.0163 | 3.6389 | 0.9378 |
| 2019-03-29 | quarter_rebalance | ALL | 720001主动基金 | 20.36% | 17.65% | 17.65% | -0.5604 | 4.1993 | 3.6389 | 0.9378 |
| 2019-03-29 | quarter_rebalance | ALL | 黄金(GLD) | 5.35% | 5.88% | 5.88% | 0.1107 | 1.1022 | 1.2130 | 0.9378 |
| 2019-03-29 | quarter_rebalance | ALL | SPY | 27.12% | 29.41% | 29.41% | 0.4716 | 5.5932 | 6.0648 | 0.9378 |
| 2019-03-29 | quarter_rebalance | ALL | QQQ | 27.69% | 29.41% | 29.41% | 0.3554 | 5.7094 | 6.0648 | 0.9378 |
| 2019-06-30 | quarter_rebalance | ALL | 红利低波 | 16.43% | 15.00% | 15.00% | -0.3031 | 3.4908 | 3.1877 | 3.1877 |
| 2019-06-30 | quarter_rebalance | ALL | 红利低波50(SPCLLHCT) | 0.00% | 15.00% | 15.00% | 3.1877 | 0.0000 | 3.1877 | 3.1877 |
| 2019-06-30 | quarter_rebalance | ALL | 720001主动基金 | 16.36% | 15.00% | 15.00% | -0.2900 | 3.4776 | 3.1877 | 3.1877 |
| 2019-06-30 | quarter_rebalance | ALL | 黄金(GLD) | 6.37% | 5.00% | 5.00% | -0.2920 | 1.3545 | 1.0626 | 3.1877 |
| 2019-06-30 | quarter_rebalance | ALL | SPY | 30.43% | 25.00% | 25.00% | -1.1533 | 6.4661 | 5.3128 | 3.1877 |
| 2019-06-30 | quarter_rebalance | ALL | QQQ | 30.41% | 25.00% | 25.00% | -1.1497 | 6.4625 | 5.3128 | 3.1877 |
| 2019-09-30 | quarter_rebalance | ALL | 红利低波 | 13.86% | 15.00% | 15.00% | 0.2565 | 3.1288 | 3.3853 | 0.5409 |
| 2019-09-30 | quarter_rebalance | ALL | 红利低波50(SPCLLHCT) | 13.97% | 15.00% | 15.00% | 0.2328 | 3.1525 | 3.3853 | 0.5409 |
| 2019-09-30 | quarter_rebalance | ALL | 720001主动基金 | 17.29% | 15.00% | 15.00% | -0.5159 | 3.9012 | 3.3853 | 0.5409 |
| 2019-09-30 | quarter_rebalance | ALL | 黄金(GLD) | 5.11% | 5.00% | 5.00% | -0.0250 | 1.1534 | 1.1284 | 0.5409 |
| 2019-09-30 | quarter_rebalance | ALL | SPY | 24.94% | 25.00% | 25.00% | 0.0135 | 5.6286 | 5.6422 | 0.5409 |
| 2019-09-30 | quarter_rebalance | ALL | QQQ | 24.83% | 25.00% | 25.00% | 0.0380 | 5.6042 | 5.6422 | 0.5409 |
| 2020-02-28 | risk_off | US | SPY | 23.41% | 0.00% | 0.00% | -5.5358 | 5.5358 | 0.0000 | 11.5635 |
| 2020-02-28 | risk_off | US | QQQ | 25.49% | 0.00% | 0.00% | -6.0278 | 6.0278 | 0.0000 | 11.5635 |
| 2020-02-28 | risk_off | US | 美股防守货币基金 | 0.00% | 48.90% | 48.89% | 11.5624 | 0.0000 | 11.5624 | 11.5635 |
| 2020-05-29 | risk_on | US | SPY | 0.00% | 25.32% | 25.32% | 5.9290 | 0.0000 | 5.9290 | 11.8592 |
| 2020-05-29 | risk_on | US | QQQ | 0.00% | 25.32% | 25.32% | 5.9290 | 0.0000 | 5.9290 | 11.8592 |
| 2020-05-29 | risk_on | US | 美股防守货币基金 | 50.64% | 0.00% | 0.00% | -11.8592 | 11.8592 | 0.0000 | 11.8592 |
| 2020-06-30 | quarter_rebalance | ALL | 红利低波 | 13.45% | 15.00% | 15.00% | 0.3809 | 3.3092 | 3.6901 | 1.1817 |
| 2020-06-30 | quarter_rebalance | ALL | 红利低波50(SPCLLHCT) | 12.46% | 15.00% | 15.00% | 0.6257 | 3.0644 | 3.6901 | 1.1817 |
| 2020-06-30 | quarter_rebalance | ALL | 720001主动基金 | 18.97% | 15.00% | 15.00% | -0.9775 | 4.6676 | 3.6901 | 1.1817 |
| 2020-06-30 | quarter_rebalance | ALL | 黄金(GLD) | 5.46% | 5.00% | 5.00% | -0.1143 | 1.3443 | 1.2300 | 1.1817 |
| 2020-06-30 | quarter_rebalance | ALL | SPY | 24.29% | 25.00% | 25.00% | 0.1750 | 5.9752 | 6.1502 | 1.1817 |
| 2020-06-30 | quarter_rebalance | ALL | QQQ | 25.37% | 25.00% | 25.00% | -0.0900 | 6.2402 | 6.1502 | 1.1817 |
| 2020-12-31 | quarter_rebalance | ALL | 红利低波 | 14.95% | 15.00% | 15.00% | 0.0127 | 4.1451 | 4.1578 | 0.3227 |
| 2020-12-31 | quarter_rebalance | ALL | 红利低波50(SPCLLHCT) | 15.10% | 15.00% | 15.00% | -0.0278 | 4.1857 | 4.1578 | 0.3227 |
| 2020-12-31 | quarter_rebalance | ALL | 720001主动基金 | 14.51% | 15.00% | 15.00% | 0.1346 | 4.0232 | 4.1578 | 0.3227 |
| 2020-12-31 | quarter_rebalance | ALL | 黄金(GLD) | 4.37% | 5.00% | 5.00% | 0.1753 | 1.2106 | 1.3859 | 0.3227 |
| 2020-12-31 | quarter_rebalance | ALL | SPY | 25.05% | 25.00% | 25.00% | -0.0143 | 6.9440 | 6.9297 | 0.3227 |
| 2020-12-31 | quarter_rebalance | ALL | QQQ | 26.01% | 25.00% | 25.00% | -0.2806 | 7.2104 | 6.9297 | 0.3227 |
| 2021-03-31 | quarter_rebalance | ALL | 红利低波 | 15.28% | 15.00% | 15.00% | -0.0816 | 4.4374 | 4.3559 | 0.4922 |
| 2021-03-31 | quarter_rebalance | ALL | 红利低波50(SPCLLHCT) | 15.93% | 15.00% | 15.00% | -0.2703 | 4.6262 | 4.3559 | 0.4922 |
| 2021-03-31 | quarter_rebalance | ALL | 720001主动基金 | 14.60% | 15.00% | 15.00% | 0.1152 | 4.2407 | 4.3559 | 0.4922 |
| 2021-03-31 | quarter_rebalance | ALL | 黄金(GLD) | 4.30% | 5.00% | 5.00% | 0.2039 | 1.2481 | 1.4520 | 0.4922 |
| 2021-03-31 | quarter_rebalance | ALL | SPY | 25.48% | 25.00% | 25.00% | -0.1404 | 7.4002 | 7.2598 | 0.4922 |
| 2021-03-31 | quarter_rebalance | ALL | QQQ | 24.40% | 25.00% | 25.00% | 0.1731 | 7.0867 | 7.2598 | 0.4922 |
| 2021-09-30 | quarter_rebalance | ALL | 红利低波 | 15.19% | 15.00% | 15.00% | -0.0607 | 4.9081 | 4.8474 | 0.7591 |
| 2021-09-30 | quarter_rebalance | ALL | 红利低波50(SPCLLHCT) | 14.20% | 15.00% | 15.00% | 0.2585 | 4.5889 | 4.8474 | 0.7591 |
| 2021-09-30 | quarter_rebalance | ALL | 720001主动基金 | 17.16% | 15.00% | 15.00% | -0.6984 | 5.5458 | 4.8474 | 0.7591 |
| 2021-09-30 | quarter_rebalance | ALL | 黄金(GLD) | 4.54% | 5.00% | 5.00% | 0.1498 | 1.4660 | 1.6158 | 0.7591 |
| 2021-09-30 | quarter_rebalance | ALL | SPY | 24.08% | 25.00% | 25.00% | 0.2982 | 7.7809 | 8.0790 | 0.7591 |
| 2021-09-30 | quarter_rebalance | ALL | QQQ | 24.84% | 25.00% | 25.00% | 0.0525 | 8.0266 | 8.0790 | 0.7591 |
| 2022-04-29 | risk_off | US | SPY | 25.79% | 0.00% | 0.00% | -8.0073 | 8.0073 | 0.0000 | 15.2760 |
| 2022-04-29 | risk_off | US | QQQ | 23.41% | 0.00% | 0.00% | -7.2688 | 7.2688 | 0.0000 | 15.2760 |
| 2022-04-29 | risk_off | US | 美股防守货币基金 | 0.00% | 49.19% | 49.19% | 15.2745 | 0.0000 | 15.2745 | 15.2760 |
| 2022-12-31 | quarter_rebalance | ALL | 红利低波 | 15.31% | 15.00% | 15.00% | -0.0984 | 4.8515 | 4.7532 | 0.6139 |
| 2022-12-31 | quarter_rebalance | ALL | 红利低波50(SPCLLHCT) | 14.70% | 15.00% | 15.00% | 0.0963 | 4.6569 | 4.7532 | 0.6139 |
| 2022-12-31 | quarter_rebalance | ALL | 720001主动基金 | 13.37% | 15.00% | 15.00% | 0.5176 | 4.2356 | 4.7532 | 0.6139 |
| 2022-12-31 | quarter_rebalance | ALL | 黄金(GLD) | 5.64% | 5.00% | 5.00% | -0.2023 | 1.7867 | 1.5844 | 0.6139 |
| 2022-12-31 | quarter_rebalance | ALL | 美股防守货币基金 | 50.99% | 50.00% | 50.00% | -0.3132 | 16.1571 | 15.8438 | 0.6139 |
| 2023-01-31 | risk_on | US | SPY | 0.00% | 24.50% | 24.50% | 7.7697 | 0.0000 | 7.7697 | 15.5410 |
| 2023-01-31 | risk_on | US | QQQ | 0.00% | 24.50% | 24.50% | 7.7697 | 0.0000 | 7.7697 | 15.5410 |
| 2023-01-31 | risk_on | US | 美股防守货币基金 | 49.00% | 0.00% | 0.00% | -15.5410 | 15.5410 | 0.0000 | 15.5410 |
| 2023-02-28 | risk_off | US | SPY | 24.08% | 0.00% | 0.00% | -7.7746 | 7.7746 | 0.0000 | 15.7209 |
| 2023-02-28 | risk_off | US | QQQ | 24.61% | 0.00% | 0.00% | -7.9464 | 7.9464 | 0.0000 | 15.7209 |
| 2023-02-28 | risk_off | US | 美股防守货币基金 | 0.00% | 48.69% | 48.69% | 15.7194 | 0.0000 | 15.7194 | 15.7209 |
| 2023-03-31 | risk_on | US | SPY | 0.00% | 23.92% | 23.92% | 7.7984 | 0.0000 | 7.7984 | 15.5984 |
| 2023-03-31 | risk_on | US | QQQ | 0.00% | 23.92% | 23.92% | 7.7984 | 0.0000 | 7.7984 | 15.5984 |
| 2023-03-31 | risk_on | US | 美股防守货币基金 | 47.83% | 0.00% | 0.00% | -15.5984 | 15.5984 | 0.0000 | 15.5984 |
| 2023-06-30 | quarter_rebalance | ALL | 红利低波 | 14.90% | 15.00% | 15.00% | 0.0359 | 5.2947 | 5.3306 | 1.0108 |
| 2023-06-30 | quarter_rebalance | ALL | 红利低波50(SPCLLHCT) | 15.96% | 15.00% | 15.00% | -0.3394 | 5.6701 | 5.3306 | 1.0108 |
| 2023-06-30 | quarter_rebalance | ALL | 720001主动基金 | 12.33% | 15.00% | 15.00% | 0.9484 | 4.3822 | 5.3306 | 1.0108 |
| 2023-06-30 | quarter_rebalance | ALL | 黄金(GLD) | 4.93% | 5.00% | 5.00% | 0.0264 | 1.7505 | 1.7769 | 1.0108 |
| 2023-06-30 | quarter_rebalance | ALL | SPY | 25.18% | 25.00% | 25.00% | -0.0645 | 8.9489 | 8.8844 | 1.0108 |
| 2023-06-30 | quarter_rebalance | ALL | QQQ | 26.71% | 25.00% | 25.00% | -0.6069 | 9.4912 | 8.8844 | 1.0108 |
| 2023-09-29 | quarter_rebalance | ALL | 红利低波 | 16.18% | 15.00% | 15.00% | -0.4062 | 5.5699 | 5.1637 | 0.8254 |
| 2023-09-29 | quarter_rebalance | ALL | 红利低波50(SPCLLHCT) | 15.87% | 15.00% | 15.00% | -0.2989 | 5.4625 | 5.1637 | 0.8254 |
| 2023-09-29 | quarter_rebalance | ALL | 720001主动基金 | 12.61% | 15.00% | 15.00% | 0.8236 | 4.3401 | 5.1637 | 0.8254 |
| 2023-09-29 | quarter_rebalance | ALL | 黄金(GLD) | 4.99% | 5.00% | 5.00% | 0.0018 | 1.7194 | 1.7212 | 0.8254 |
| 2023-09-29 | quarter_rebalance | ALL | SPY | 25.13% | 25.00% | 25.00% | -0.0448 | 8.6509 | 8.6062 | 0.8254 |
| 2023-09-29 | quarter_rebalance | ALL | QQQ | 25.22% | 25.00% | 25.00% | -0.0757 | 8.6819 | 8.6062 | 0.8254 |
| 2024-03-29 | quarter_rebalance | ALL | 红利低波 | 13.81% | 15.00% | 15.00% | 0.4761 | 5.5276 | 6.0037 | 1.1410 |
| 2024-03-29 | quarter_rebalance | ALL | 红利低波50(SPCLLHCT) | 13.45% | 15.00% | 15.00% | 0.6222 | 5.3815 | 6.0037 | 1.1410 |
| 2024-03-29 | quarter_rebalance | ALL | 720001主动基金 | 14.89% | 15.00% | 15.00% | 0.0427 | 5.9610 | 6.0037 | 1.1410 |
| 2024-03-29 | quarter_rebalance | ALL | 黄金(GLD) | 5.11% | 5.00% | 5.00% | -0.0443 | 2.0455 | 2.0012 | 1.1410 |
| 2024-03-29 | quarter_rebalance | ALL | SPY | 26.25% | 25.00% | 25.00% | -0.4985 | 10.5047 | 10.0061 | 1.1410 |
| 2024-03-29 | quarter_rebalance | ALL | QQQ | 26.49% | 25.00% | 25.00% | -0.5982 | 10.6044 | 10.0061 | 1.1410 |
| 2025-03-31 | quarter_rebalance | ALL | 红利低波 | 15.25% | 15.00% | 15.00% | -0.1113 | 6.7047 | 6.5933 | 1.2333 |
| 2025-03-31 | quarter_rebalance | ALL | 红利低波50(SPCLLHCT) | 16.15% | 15.00% | 15.00% | -0.5050 | 7.0983 | 6.5933 | 1.2333 |
| 2025-03-31 | quarter_rebalance | ALL | 720001主动基金 | 13.15% | 15.00% | 15.00% | 0.8153 | 5.7780 | 6.5933 | 1.2333 |
| 2025-03-31 | quarter_rebalance | ALL | 黄金(GLD) | 6.40% | 5.00% | 5.00% | -0.6171 | 2.8148 | 2.1978 | 1.2333 |
| 2025-03-31 | quarter_rebalance | ALL | SPY | 24.76% | 25.00% | 25.00% | 0.1060 | 10.8829 | 10.9889 | 1.2333 |
| 2025-03-31 | quarter_rebalance | ALL | QQQ | 24.29% | 25.00% | 25.00% | 0.3119 | 10.6770 | 10.9889 | 1.2333 |
| 2025-04-30 | risk_off | US | SPY | 24.68% | 0.00% | 0.00% | -10.9145 | 10.9145 | 0.0000 | 22.0782 |
| 2025-04-30 | risk_off | US | QQQ | 25.24% | 0.00% | 0.00% | -11.1637 | 11.1637 | 0.0000 | 22.0782 |
| 2025-04-30 | risk_off | US | 美股防守货币基金 | 0.00% | 49.92% | 49.92% | 22.0760 | 0.0000 | 22.0760 | 22.0782 |
| 2025-05-30 | risk_on | US | SPY | 0.00% | 24.86% | 24.86% | 10.9462 | 0.0000 | 10.9462 | 21.8945 |
| 2025-05-30 | risk_on | US | QQQ | 0.00% | 24.86% | 24.86% | 10.9462 | 0.0000 | 10.9462 | 21.8945 |
| 2025-05-30 | risk_on | US | 美股防守货币基金 | 49.72% | 0.00% | 0.00% | -21.8945 | 21.8945 | 0.0000 | 21.8945 |
| 2025-09-30 | quarter_rebalance | ALL | 红利低波 | 12.66% | 15.00% | 15.00% | 1.2522 | 6.7908 | 8.0430 | 4.5584 |
| 2025-09-30 | quarter_rebalance | ALL | 红利低波50(SPCLLHCT) | 12.53% | 15.00% | 15.00% | 1.3269 | 6.7161 | 8.0430 | 4.5584 |
| 2025-09-30 | quarter_rebalance | ALL | 720001主动基金 | 23.50% | 15.00% | 15.00% | -4.5584 | 12.6014 | 8.0430 | 4.5584 |
| 2025-09-30 | quarter_rebalance | ALL | 黄金(GLD) | 4.96% | 5.00% | 5.00% | 0.0211 | 2.6599 | 2.6810 | 4.5584 |
| 2025-09-30 | quarter_rebalance | ALL | SPY | 22.95% | 25.00% | 25.00% | 1.1002 | 12.3048 | 13.4050 | 4.5584 |
| 2025-09-30 | quarter_rebalance | ALL | QQQ | 23.40% | 25.00% | 25.00% | 0.8576 | 12.5474 | 13.4050 | 4.5584 |
| 2025-12-31 | quarter_rebalance | ALL | 红利低波 | 14.87% | 15.00% | 15.00% | 0.0745 | 8.3004 | 8.3749 | 1.0517 |
| 2025-12-31 | quarter_rebalance | ALL | 红利低波50(SPCLLHCT) | 14.87% | 15.00% | 15.00% | 0.0708 | 8.3041 | 8.3749 | 1.0517 |
| 2025-12-31 | quarter_rebalance | ALL | 720001主动基金 | 16.62% | 15.00% | 15.00% | -0.9072 | 9.2821 | 8.3749 | 1.0517 |
| 2025-12-31 | quarter_rebalance | ALL | 黄金(GLD) | 5.26% | 5.00% | 5.00% | -0.1445 | 2.9362 | 2.7916 | 1.0517 |
| 2025-12-31 | quarter_rebalance | ALL | SPY | 24.21% | 25.00% | 25.00% | 0.4393 | 13.5189 | 13.9581 | 1.0517 |
| 2025-12-31 | quarter_rebalance | ALL | QQQ | 24.16% | 25.00% | 25.00% | 0.4671 | 13.4910 | 13.9581 | 1.0517 |
| 2026-06-30 | quarter_rebalance | ALL | 红利低波 | 11.21% | 15.00% | 15.00% | 2.5693 | 7.6017 | 10.1710 | 8.3293 |
| 2026-06-30 | quarter_rebalance | ALL | 红利低波50(SPCLLHCT) | 11.71% | 15.00% | 15.00% | 2.2298 | 7.9412 | 10.1710 | 8.3293 |
| 2026-06-30 | quarter_rebalance | ALL | 720001主动基金 | 27.28% | 15.00% | 15.00% | -8.3294 | 18.5004 | 10.1710 | 8.3293 |
| 2026-06-30 | quarter_rebalance | ALL | 黄金(GLD) | 3.72% | 5.00% | 5.00% | 0.8679 | 2.5225 | 3.3903 | 8.3293 |
| 2026-06-30 | quarter_rebalance | ALL | SPY | 22.03% | 25.00% | 25.00% | 2.0137 | 14.9381 | 16.9517 | 8.3293 |
| 2026-06-30 | quarter_rebalance | ALL | QQQ | 24.04% | 25.00% | 25.00% | 0.6479 | 16.3038 | 16.9517 | 8.3293 |
各标的摘要
收益、波动和回撤按各标的自身数据区间计算；曲线从该标的首个有效数据点归一化为 100%，并使用以 2 为底的对数坐标。
| 标的 | 开始日期 | 结束日期 | 数据点数 | 期初点位/价格 | 期末点位/价格 | 区间收益 | CAGR | 年化波动 | 最大回撤 | 与组合日收益相关性 | 期末组合权重 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 红利低波 | 2010-01-01 | 2026-06-30 | 4004 | 5323.3500 | 21476.5200 | 303.44% | 8.83% | 20.17% | -42.49% | 0.54 | 15.00% |
| 红利低波50(SPCLLHCT) | 2019-04-02 | 2026-06-30 | 1696 | 4039.0700 | 6743.3700 | 66.95% | 7.33% | 15.11% | -18.86% | 0.47 | 15.00% |
| 720001主动基金 | 2011-12-01 | 2026-06-30 | 3529 | 1.0000 | 19.2120 | 1821.20% | 22.47% | 28.01% | -50.66% | 0.62 | 15.00% |
| 黄金(GLD) | 2004-11-18 | 2026-06-30 | 5436 | 367.3111 | 2504.2473 | 581.78% | 9.29% | 17.98% | -45.56% | 0.17 | 5.00% |
| SPY | 1993-01-29 | 2026-06-30 | 8411 | 139.6014 | 5076.5426 | 3536.46% | 11.35% | 20.43% | -59.19% | 0.69 | 25.00% |
| QQQ | 1999-03-10 | 2026-06-30 | 6869 | 356.2125 | 5006.0474 | 1305.35% | 10.16% | 26.90% | -82.97% | 0.62 | 25.00% |
红利低波
红利低波50(SPCLLHCT)
720001主动基金
黄金(GLD)
SPY
QQQ
汇率走势
USD/CNY 采用普通线性坐标，数值表示 1 美元兑换多少人民币。
