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标普底仓 + 美股行业相对动量（Mom12-1 · XL*九大+SOXX Top2）+ 黄金卫星。动量腿用 SPY 12个月动量做 Risk-On/Off（关仓持 BIL）。组合层主推等权月再平衡。回测自 2008， 截至 2026-10-30；单边成本 10bp。数据日更。
相对纯标普：收益相近或略有取舍，回撤明显更浅（本页窗口 MaxDD -24.3% vs SPY -51.6%）。 2020 起 OOS：混仓 CAGR 15.8% / Sharpe 0.99 / MDD -24.3%。
| 档位 | 年化 | 夏普 | 回撤 | 说明 |
|---|---|---|---|---|
| ★ 等权 SPY/MOM/GLD（主推） | 10.3% | 0.78 | -24.3% | 主推·低相关三腿 |
| 50/30/20 SPY/MOM/GLD | 10.3% | 0.73 | -27.6% | 多留底仓 |
| 纯行业动量 | 10.4% | 0.6 | -33.2% | 进攻腿单独 |
| 纯 SPY | 9.7% | 0.57 | -51.6% | 买入持有对照 |
| 纯 GLD | 8% | 0.51 | -45.6% | 黄金单独 |
信号日 2026-09-30 · SPY12m 14.5% · Risk-On
组合层目标权重 SPY/MOM/GLD = SPY 33.3% · MOM 33.3% · GLD 33.3%；动量腿内部：半导体、能源（SOXX 88.5%、XLE 43.2%）。
| 腿相关(日) | SPY | MOM | GLD |
|---|---|---|---|
| SPY | 1.00 | 0.63 | 0.06 |
| MOM | 0.63 | 1.00 | 0.09 |
| GLD | 0.06 | 0.09 | 1.00 |
| 逐年 | 2008 | 2009 | 2010 | 2011 | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ★等权 | -11.6% | +22.7% | +18.5% | -1.7% | +6.3% | +8.3% | +8.9% | -4.5% | +6.4% | +19.4% | -3.5% | +19.1% | +22.4% | +13.3% | -4.8% | +18.5% | +21.7% | +30.8% | +10.3% |
| SPY | -34.7% | +23.5% | +12.8% | -0.2% | +13.5% | +29.7% | +11.3% | -0.8% | +9.6% | +19.4% | -6.3% | +28.8% | +16.2% | +27% | -19.5% | +24.3% | +23.3% | +16.4% | +10.8% |
| 信号月 | SPY12m | 腿盈亏 | 持仓 | 变动 |
|---|---|---|---|---|
| 2026-09 | 14.5% | -4% | 半导体 88.5%能源 43.2% | ＋XLE / －XLK |
| 2026-08 | 18.9% | +10.1% | 半导体 105.8%科技 33.6% | |
| 2026-07 | 18.2% | +2.7% | 半导体 166.9%科技 45% | |
| 2026-06 | 20.9% | -10.7% | 半导体 138.4%科技 50.9% | ＋XLK / －XLE |
| 2026-05 | 28.3% | +2.7% | 半导体 125.2%能源 46.3% | |
| 2026-04 | 29.6% | +8.6% | 半导体 78.8%能源 52.2% | ＋XLE / －XLI |
| 2026-03 | 16.3% | +20.4% | 半导体 87.2%工业 35.1% | ＋XLI / －XLK |
| 2026-02 | 15.5% | -5.7% | 半导体 66.1%科技 27.6% | |
| 2026-01 | 15% | -2.3% | 半导体 38.1%科技 24.8% | |
| 2025-12 | 16.4% | +5% | 半导体 37.7%科技 23.1% | |
| 2025-11 | 13.4% | +1% | 半导体 42.3%科技 28.6% | ＋SOXX / －XLC |
| 2025-10 | 19.9% | -1.8% | 通信 28.6%科技 26.8% | ＋XLK / －XLF |
| 2025-09 | 16.1% | -1.8% | 通信 23.2%金融 19.1% | ＋XLF / －XLK |
| 2025-08 | 14.4% | +7.5% | 通信 23%科技 19.2% | ＋XLK / －XLF |
| 2025-07 | 14.8% | +5% | 通信 26.5%金融 19.7% | ＋XLC / －XLU |
| 2025-06 | 13.5% | +2% | 金融 24%公用事业 20.2% | ＋XLU / －XLC |
| 2025-05 | 11.8% | +4.6% | 金融 17.1%通信 14.6% | |
| 2025-04 | 10.5% | +5.1% | 通信 23.9%金融 23.4% | |
| 2025-03 | 6.9% | -1.5% | 通信 24.9%金融 23.9% | |
| 2025-02 | 16.9% | -4.1% | 通信 29%金融 27.6% | ＋XLF / －XLY |
| 2025-01 | 24.6% | -3.2% | 可选消费 31.3%通信 27.6% | ＋XLY / －XLF |
| 2024-12 | 23.3% | +6% | 金融 36.5%通信 35.4% | |
| 2024-11 | 32% | -3.7% | 通信 31.9%金融 29.5% | ＋XLC / －SOXX |
| 2024-10 | 36% | +3.8% | 半导体 56.4%金融 40% | |
| 2024-09 | 34.2% | +0.3% | 半导体 46.4%金融 37.9% | |
| 2024-08 | 25.2% | +3.9% | 半导体 38.3%金融 27.2% | ＋XLF / －XLK |
| 2024-07 | 20.3% | +5.3% | 半导体 38.2%科技 26.8% | ＋XLK / －XLC |
| 2024-06 | 22.8% | -1.9% | 半导体 38.4%通信 27.9% | ＋XLC / －XLF |
| 2024-05 | 26.2% | +2.3% | 半导体 34.7%金融 27.1% | ＋XLF / －XLK |
| 2024-04 | 20.7% | +10.7% | 半导体 64.4%科技 38.1% | |
| 2024-03 | 27.8% | -6.1% | 半导体 46.6%科技 37.1% | |
| 2024-02 | 28.2% | -0.7% | 科技 44.8%半导体 43% | |
| 2024-01 | 18.8% | +7% | 半导体 42.7%科技 41.6% | |
| 2023-12 | 24.3% | +5.5% | 科技 48.8%半导体 47.6% | ＋SOXX / －XLC |
| 2023-11 | 12% | +3.8% | 通信 25.6%科技 20.6% | ＋XLK / －SOXX |
| 2023-10 | 8.3% | +9.8% | 半导体 45.1%通信 36% | ＋XLC / －XLK |
| 2023-09 | 19.7% | -4.1% | 半导体 60.2%科技 47.9% | |
| 2023-08 | 14% | -7.2% | 半导体 44.8%科技 31.9% | |
| 2023-07 | 11.1% | -3.2% | 半导体 24.5%科技 20.6% | |
| 2023-06 | 17.5% | +3.7% | 半导体 36.4%科技 29.2% | ＋SOXX / －XLI |
| 2023-05 | 1.2% | +7.1% | 科技 7.4%工业 5.6% | ＋XLK、XLI / －SOXX、XLE |
| 2023-04 | 1% | +2.3% | 半导体 11%能源 10.2% | ＋SOXX、XLE / －BIL |
| 2023-03Off | -9.4% | +0.3% | 现金BIL | |
| 2023-02Off | -9.2% | +0.4% | 现金BIL | |
| 2023-01Off | -9.7% | +0.3% | 现金BIL | |
| 2022-12Off | -19.5% | +0.3% | 现金BIL | |
| 2022-11Off | -10.5% | +0% | 现金BIL | |
| 2022-10Off | -15.9% | +0.3% | 现金BIL | |
| 2022-09Off | -16.8% | +0.2% | 现金BIL | |
| 2022-08Off | -12.5% | +0.2% | 现金BIL | |
| 2022-07Off | -6% | +0.2% | 现金BIL | |
| 2022-06Off | -11.9% | +0% | 现金BIL | |
| 2022-05Off | -1.7% | +0.1% | 现金BIL | |
| 2022-04Off | -1.3% | +0% | 现金BIL | ＋BIL / －XLE、XLK |
| 2022-03 | 14% | -6.6% | 能源 43.9%科技 16% | |
| 2022-02 | 14.8% | +6.6% | 能源 36.9%科技 23.9% | ＋XLK / －SOXX |
| 2022-01 | 21.6% | +1% | 能源 41.1%半导体 38.6% | |
| 2021-12 | 27% | +0.2% | 能源 44%半导体 39.6% | ＋SOXX / －XLF |
| 2021-11 | 25.8% | +3.4% | 能源 56.3%金融 44.4% | |
| 2021-10 | 40.6% | -6.2% | 能源 81.4%金融 57.3% | |
| 2021-09 | 28.1% | +6.2% | 能源 61.6%金融 59.5% | ＋XLE / －SOXX |
| 2021-08 | 29.3% | -3% | 半导体 48.7%金融 45.7% | |
| 2021-07 | 34.3% | +3.5% | 半导体 56.4%金融 52.7% | |
| 2021-06 | 38.8% | +0.4% | 金融 64.2%半导体 59.7% | |
| 2021-05 | 38% | +0.6% | 半导体 67.6%金融 54.9% | ＋XLF / －XLI |
| 2021-04 | 43.7% | +2.9% | 半导体 80.4%工业 53.3% | ＋XLI / －XLE |
| 2021-03 | 53.8% | -2.8% | 半导体 103.2%能源 65.7% | ＋XLE / －XLK |
| 2021-02 | 28.4% | -1.4% | 半导体 68.9%科技 45.9% | |
| 2021-01 | 15% | +0.7% | 半导体 56%科技 36.4% | |
| 2020-12 | 16.2% | +2.3% | 半导体 44.1%科技 34.7% | |
| 2020-11 | 15.2% | +3.5% | 半导体 30.8%科技 25.7% | |
| 2020-10 | 7.7% | +14.5% | 科技 39.5%半导体 35.8% | |
| 2020-09 | 12.8% | -3.9% | 科技 53.4%半导体 45.3% | |
| 2020-08 | 19.4% | -5.1% | 半导体 41.8%科技 38.9% | |
| 2020-07 | 9.8% | +6.5% | 科技 29.4%半导体 29.2% | |
| 2020-06 | 5.2% | +7.1% | 半导体 26.9%科技 25.5% | |
| 2020-05 | 10.6% | +7.4% | 半导体 33.2%科技 27.2% | ＋SOXX、XLK / －BIL |
| 2020-04Off | -1.2% | +0% | 现金BIL | |
| 2020-03Off | -8.8% | +0% | 现金BIL | ＋BIL / －SOXX、XLK |
| 2020-02 | 6.3% | -14.2% | 科技 34.5%半导体 32.3% | |
| 2020-01 | 19.2% | -7.1% | 半导体 45.4%科技 38.3% | |
| 2019-12 | 28.8% | -1.6% | 半导体 48.8%科技 42.2% | |
| 2019-11 | 14% | +7.4% | 半导体 33.3%科技 23.2% | ＋XLK / －XLU |
| 2019-10 | 12.1% | +0.1% | 半导体 29.7%公用事业 20.6% | ＋SOXX / －XLP |
| 2019-09 | 2.1% | -0.3% | 公用事业 18.9%必选消费 12.6% | |
| 2019-08 | 0.7% | +1.1% | 公用事业 11.4%必选消费 10.5% | ＋XLP / －XLK |
| 2019-07 | 5.7% | +1.5% | 公用事业 13%科技 10% | ＋XLK / －XLP |
| 2019-06 | 8% | +0.9% | 公用事业 12.1%必选消费 7.9% | |
| 2019-05 | 1.6% | +2.3% | 必选消费 16.2%公用事业 15.1% | ＋XLP / －XLK |
| 2019-04 | 11.2% | -4.1% | 科技 13%公用事业 12.8% | ＋XLK / －XLV |
| 2019-03 | 7.3% | -0.6% | 公用事业 12.8%医疗 12.6% | |
| 2019-02 | 2.6% | +0.3% | 公用事业 11.6%医疗 7.8% | ＋XLU、XLV / －BIL |
| 2019-01Off | -4.2% | +0.2% | 现金BIL | |
| 2018-12Off | -6.3% | +0.2% | 现金BIL | ＋BIL / －XLK、XLY |
| 2018-11 | 4% | -10.4% | 可选消费 9%科技 8.6% | |
| 2018-10 | 5.2% | -1.3% | 可选消费 27.4%科技 19.7% | |
| 2018-09 | 15.7% | -9.1% | 可选消费 29.8%科技 27.9% | ＋XLK / －SOXX |
| 2018-08 | 17.3% | -1.7% | 可选消费 24.1%半导体 22.6% | ＋XLY / －XLK |
| 2018-07 | 14% | +4.2% | 科技 21.5%半导体 21.3% | |
| 2018-06 | 12.2% | +2.3% | 半导体 33.7%科技 27.7% | ＋SOXX / －XLF |
| 2018-05 | 12.2% | -2.7% | 金融 18.1%科技 15.8% | ＋XLF / －SOXX |
| 2018-04 | 11.1% | +7.4% | 半导体 32.3%科技 20.3% | |
| 2018-03 | 11.6% | +0% | 半导体 35.1%科技 27.9% | |
| 2018-02 | 14.9% | -1.7% | 半导体 40.3%科技 30.8% | |
| 2018-01 | 23.9% | +0.1% | 半导体 32.8%科技 27.7% | |
| 2017-12 | 19.4% | +5.8% | 半导体 40.6%科技 32% | |
| 2017-11 | 20.3% | +0.1% | 半导体 44.7%科技 32.5% | ＋XLK / －XLF |
| 2017-10 | 21% | +1.9% | 半导体 42.4%金融 31% | |
| 2017-09 | 16.1% | +5.1% | 半导体 33.9%金融 28% | |
| 2017-08 | 13.9% | +4.4% | 半导体 35%金融 25.8% | |
| 2017-07 | 13.7% | +0% | 半导体 34.8%金融 28.4% | ＋XLF / －XLK |
| 2017-06 | 15.4% | +5.7% | 半导体 58%科技 30.3% | |
| 2017-05 | 15.1% | -4.4% | 半导体 43.3%科技 23.1% | |
| 2017-04 | 15.4% | +5.4% | 半导体 56.7%科技 26.5% | ＋XLK / －XLF |
| 2017-03 | 14.7% | -0.3% | 半导体 43.5%金融 34.3% | |
| 2017-02 | 22.2% | -1.8% | 半导体 51.4%金融 36.1% | |
| 2017-01 | 17.5% | +3.2% | 半导体 47.8%金融 31.8% | ＋XLF / －XLE |
| 2016-12 | 9.6% | -0.1% | 半导体 32.9%能源 23.4% | ＋XLE / －XLU |
| 2016-11 | 5.6% | +6.4% | 半导体 21.6%公用事业 15.4% | |
| 2016-10 | 2.2% | +2.1% | 半导体 26.2%公用事业 12% | ＋XLU / －XLB |
| 2016-09 | 12.9% | -1.4% | 半导体 33.7%材料 21.6% | ＋XLB / －XLU |
| 2016-08 | 10% | +1.5% | 半导体 25.3%公用事业 22.8% | ＋SOXX / －XLP |
| 2016-07 | 3.1% | -3.2% | 公用事业 19.3%必选消费 9.6% | |
| 2016-06 | 1.8% | -0.5% | 公用事业 18.5%必选消费 10.6% | ＋XLU、XLP / －BIL |
| 2016-05Off | -0.6% | +0% | 现金BIL | |
| 2016-04Off | -1% | +0% | 现金BIL | |
| 2016-03Off | -0.4% | +0% | 现金BIL | |
| 2016-02Off | -8.1% | +0% | 现金BIL | |
| 2016-01Off | -2.9% | +0% | 现金BIL | |
| 2015-12Off | -0.8% | +0% | 现金BIL | ＋BIL / －XLK、XLY |
| 2015-11 | 0.7% | -3.8% | 可选消费 12.8%科技 2.7% | ＋XLK / －XLP |
| 2015-10 | 3.1% | -1.1% | 可选消费 9%必选消费 1% | ＋XLY、XLP / －BIL |
| 2015-09Off | -2.7% | +0% | 现金BIL | |
| 2015-08Off | -1.5% | +0% | 现金BIL | ＋BIL / －XLV、XLY |
| 2015-07 | 9% | -7% | 医疗 22.1%可选消费 16.1% | ＋XLY / －SOXX |
| 2015-06 | 5.2% | -1.7% | 医疗 23.2%半导体 17% | ＋SOXX / －XLY |
| 2015-05 | 9.6% | -0.6% | 医疗 19.9%可选消费 14.7% | ＋XLY / －SOXX |
| 2015-04 | 10.7% | +4.5% | 医疗 24.7%半导体 20.2% | |
| 2015-03 | 10.4% | -0.3% | 医疗 23.5%半导体 21.5% | ＋SOXX / －XLU |
| 2015-02 | 13.1% | -0.2% | 公用事业 19.5%医疗 16.5% | ＋XLU / －SOXX |
| 2015-01 | 11.9% | +6.5% | 半导体 29.2%医疗 22.2% | |
| 2014-12 | 11.3% | -1.9% | 半导体 28.5%医疗 25.6% | |
| 2014-11 | 14.5% | -0.4% | 半导体 25.4%医疗 21.7% | |
| 2014-10 | 14.7% | +4.9% | 半导体 26.1%医疗 21.1% | |
| 2014-09 | 17.3% | +4.7% | 半导体 31.9%医疗 26.2% | ＋XLV / －XLK |
| 2014-08 | 22.6% | -0.9% | 半导体 32.4%科技 24.2% | ＋XLK / －XLB |
| 2014-07 | 14.5% | +4.9% | 半导体 33%材料 22.6% | |
| 2014-06 | 22% | -3.9% | 半导体 28.6%材料 28% | ＋XLB / －XLI |
| 2014-05 | 17.9% | +2.4% | 半导体 22.8%工业 21.8% | |
| 2014-04 | 17.9% | +3.5% | 半导体 32.3%工业 26.2% | ＋XLI / －XLV |
| 2014-03 | 19.4% | -2.3% | 半导体 29.6%医疗 29.4% | |
| 2014-02 | 22.9% | +1.8% | 医疗 28.8%半导体 23.9% | ＋XLV、SOXX / －XLI、XLY |
| 2014-01 | 19% | +8.1% | 可选消费 33.3%工业 30.4% | ＋XLI / －XLV |
| 2013-12 | 29.7% | -2.1% | 医疗 38.6%可选消费 38.3% | ＋XLV / －SOXX |
| 2013-11 | 27.3% | +3.6% | 半导体 35.2%可选消费 33.4% | |
| 2013-10 | 24.4% | +2.3% | 半导体 33.6%可选消费 31.6% | ＋SOXX / －XLF |
| 2013-09 | 16.7% | +3.2% | 金融 24.7%可选消费 23.3% | ＋XLY / －XLV |
| 2013-08 | 15.9% | +1.9% | 金融 35.2%医疗 31.4% | ＋XLV / －XLY |
| 2013-07 | 22.5% | -5.5% | 金融 32.7%可选消费 29.5% | |
| 2013-06 | 17.9% | +4.8% | 金融 35.5%可选消费 28.2% | ＋XLY / －XLV |
| 2013-05 | 24.3% | -1.8% | 金融 33.5%医疗 30.9% | |
| 2013-04 | 14.2% | +5% | 医疗 22.5%金融 18% | ＋XLF / －XLY |
| 2013-03 | 11.3% | +3.3% | 医疗 15.5%可选消费 13% | ＋XLY / －XLF |
| 2013-02 | 10.6% | +4.1% | 医疗 18.6%金融 17.8% | ＋XLV / －XLY |
| 2013-01 | 14% | +0.5% | 金融 16.6%可选消费 14.8% | |
| 2012-12 | 13.5% | +3.3% | 可选消费 21.8%金融 21.2% | |
| 2012-11 | 13.7% | +2.4% | 金融 24.1%可选消费 18.9% | ＋XLF / －XLV |
| 2012-10 | 12.6% | +0.8% | 可选消费 19.9%医疗 19.5% | ＋XLV / －XLK |
| 2012-09 | 27.2% | -3.8% | 可选消费 30.7%科技 29.2% | |
| 2012-08 | 15.5% | +2% | 科技 19.7%可选消费 15.9% | ＋XLK、XLY / －XLP、XLU |
| 2012-07 | 6.5% | -1.7% | 必选消费 12.8%公用事业 11.5% | ＋XLU / －XLK |
| 2012-06 | 3.1% | +1.6% | 科技 8.7%必选消费 8.2% | ＋XLK、XLP / －BIL |
| 2012-05Off | -2.5% | +0% | 现金BIL | ＋BIL / －XLK、XLY |
| 2012-04 | 2.5% | -6.4% | 科技 12.8%可选消费 11.2% | ＋XLY / －XLP |
| 2012-03 | 6.2% | -1.3% | 科技 11.1%必选消费 11.1% | ＋XLK、XLP / －XLU、XLV |
| 2012-02 | 2.9% | +1.8% | 医疗 9.6%公用事业 8% | ＋XLV / －XLP |
| 2012-01 | 2.1% | +1.6% | 公用事业 13.4%必选消费 12.5% | ＋XLU、XLP / －BIL |
| 2011-12Off | -0.2% | +0% | 现金BIL | ＋BIL / －XLE、XLU |
| 2011-11 | 5.5% | +0.3% | 公用事业 13.3%能源 11.2% | ＋XLE / －XLP |
| 2011-10 | 5.9% | +3.9% | 公用事业 6%必选消费 3.1% | ＋XLU、XLP / －BIL |
| 2011-09Off | -0.9% | +0% | 现金BIL | ＋BIL / －XLE、XLY |
| 2011-08 | 16.1% | -10.1% | 能源 49.3%可选消费 31.3% | |
| 2011-07 | 17.3% | -7.4% | 能源 40%可选消费 27.9% | ＋XLY / －XLB |
| 2011-06 | 27.9% | -1.9% | 能源 55.2%材料 40.1% | |
| 2011-05 | 23.3% | +1.2% | 能源 51.7%材料 32.9% | |
| 2011-04 | 14.8% | -2.5% | 能源 33.1%材料 17.7% | ＋XLB / －SOXX |
| 2011-03 | 13.3% | +2.3% | 能源 36.5%半导体 25.6% | |
| 2011-02 | 20.2% | +0.3% | 能源 30.3%半导体 28.2% | ＋XLE / －XLY |
| 2011-01 | 19.8% | +3.3% | 半导体 29.6%可选消费 29.4% | ＋SOXX / －XLI |
| 2010-12 | 12.8% | +0.7% | 可选消费 21.4%工业 17.3% | |
| 2010-11 | 7.8% | +2.8% | 可选消费 23.2%工业 17% | |
| 2010-10 | 14.4% | +2% | 可选消费 24.6%工业 23.7% | |
| 2010-09 | 8.1% | +4.1% | 可选消费 9.9%工业 7% | |
| 2010-08 | 2.8% | +6.9% | 工业 21.1%可选消费 20.2% | |
| 2010-07 | 11.6% | -7.4% | 可选消费 15.3%工业 14.9% | |
| 2010-06 | 12.3% | +8.9% | 可选消费 40.3%工业 34.8% | |
| 2010-05 | 18.2% | -6.9% | 可选消费 50.6%工业 44.8% | ＋XLY / －XLF |
| 2010-04 | 35.9% | -10.9% | 金融 48.6%工业 43.6% | |
| 2010-03 | 47.1% | +2.1% | 金融 66.6%工业 56.5% | ＋XLI / －XLY |
| 2010-02 | 49.8% | +7.1% | 金融 86.6%可选消费 64.9% | ＋XLF、XLY / －SOXX、XLB |
| 2010-01 | 29.7% | +2.5% | 半导体 78.2%材料 56.6% | |
| 2009-12 | 23.5% | -12.5% | 半导体 52.8%材料 42.9% | ＋XLB / －XLK |
| 2009-11 | 22% | +6.8% | 半导体 50%科技 35.1% | |
| 2009-10 | 7% | +5.9% | 半导体 34.1%科技 25.3% | ＋SOXX、XLK / －BIL |
| 2009-09Off | -9% | +0.1% | 现金BIL | |
| 2009-08Off | -20.4% | +0.1% | 现金BIL | |
| 2009-07Off | -22.1% | +0% | 现金BIL | |
| 2009-06Off | -28.2% | -0.1% | 现金BIL | |
| 2009-05Off | -34.1% | +0.1% | 现金BIL | |
| 2009-04Off | -36.8% | +0% | 现金BIL | |
| 2009-03Off | -39.7% | +0% | 现金BIL | |
| 2009-02Off | -44.8% | -0.1% | 现金BIL | |
| 2009-01Off | -39.7% | -0.1% | 现金BIL | |
| 2008-12Off | -38.3% | +0.2% | 现金BIL | |
| 2008-11Off | -39.4% | -0.3% | 现金BIL | |
| 2008-10Off | -37.4% | +0% | 现金BIL | |
| 2008-09Off | -24% | -0.2% | 现金BIL | |
| 2008-08Off | -12.7% | +0.4% | 现金BIL | |
| 2008-07Off | -13% | +0.1% | 现金BIL | |
| 2008-06Off | -14.9% | +0.2% | 现金BIL | |
| 2008-05Off | -8.5% | +0.1% | 现金BIL | ＋BIL |
表内盈亏为动量腿当期收益（非整仓混仓）。组合层每月把 SPY、动量腿净值、GLD 再平衡到目标权重。