S&P 500 三维五因子风控回测报告

生成时间：2026-07-07T00:00:42.995805+00:00 · 运行日期：2026-07-07 · 回测区间：2010-01-04 ~ 2026-07-06 · 配置：risk_model_sharpe_2010_smooth10_balanced
模型年化收益
10.0%
模型最大回撤
-18.8%
模型 Sharpe
0.852
买入持有最大回撤
-33.9%
平均仓位
82.9%
风险等级切换
109

核心对比

模型总收益384.0%
买入持有总收益565.3%
超额总收益-181.3%
模型年化波动12.1%
买入持有年化波动17.2%
回撤改善15.2%
4级及以上高风险天数1190
5级及以上高风险天数759

核心图表

权益曲线：模型 vs 买入持有

Equity Curve: Risk Model vs Buy & Hold Growth of $1 0.00 1.00 2.00 3.00 4.00 5.00 6.00 7.00 Risk model Buy & hold

回撤对比

Drawdown Comparison Peak-to-trough drawdown -70% -60% -50% -40% -30% -20% -10% -0% Risk model drawdown Buy & hold drawdown

综合风险分数

Composite Risk Score 10-day averaged weighted z-score -2.00 -1.00 0.00 1.00 2.00 3.00 L1/L2 L2/L3 L3/L4 L4/L5 L5/L6 Risk score

风险等级时间线

Risk Level Timeline 1=low risk, 6=crisis 0.00 1.00 2.00 3.00 4.00 5.00 6.00 7.00 Official risk level Daily risk level

目标权益仓位

Target Equity Position Equity exposure 0% 20% 40% 60% 80% 100% Model position

五因子风险 Z-Score

Five Factor Risk Z-Scores Higher values mean higher risk -3.00 -2.00 -1.00 0.00 1.00 2.00 3.00 two-factor veto single-factor veto VIX Z HY OAS Z 10Y-2Y Z Deviation Z Slope Z

S&P 500 与 125 日均线

S&P 500 Price Index Price index close 0.00 2,000 4,000 6,000 8,000 S&P 500 125d MA

VIX

VIX Close 0.00 20.0 40.0 60.0 80.0 VIX

高收益债 OAS

ICE BofA US High Yield OAS Percentage points 2.00 4.00 6.00 8.00 10.0 12.0 HY OAS

美债期限利差

Treasury Term Spread Percentage points -1.00 0.00 1.00 2.00 3.00 inversion 10Y - 2Y

年度收益

Annual Return by Year Calendar-year return -40% -20% -0% 20% 40% Risk model Buy & hold

月度收益热力图

Monthly Return Heatmap Top: risk model, bottom: buy and hold S&P 500 price index Model Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2010 -8 8 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 -8 11 2021 2022 2023 9 2024 2025 2026 Buy Hold Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2010 -8 9 2011 11 2012 2013 2014 2015 8 2016 2017 2018 -9 2019 2020 -8 -13 13 11 2021 2022 -9 -8 9 -9 2023 9 2024 2025 2026 10

Euro debt 事件期权益曲线

Euro debt: Equity Curve Period-normalized growth of $1 0.85 0.90 0.95 1.00 1.05 1.10 Risk model Buy & hold

Covid 事件期权益曲线

Covid: Equity Curve Period-normalized growth of $1 0.60 0.70 0.80 0.90 1.00 1.10 1.20 Risk model Buy & hold

2022 bear 事件期权益曲线

2022 bear: Equity Curve Period-normalized growth of $1 0.75 0.80 0.85 0.90 0.95 1.00 Risk model Buy & hold

分风险等级统计

风险等级天数平均仓位平均次日收益
1791100.0%0.1%
2151196.9%0.0%
365889.6%0.1%
443166.9%0.1%
548147.5%-0.0%
627827.8%0.1%

关键事件期表现

事件期区间模型总收益买入持有总收益模型最大回撤买入持有最大回撤平均仓位
2011_euro_debt2011-01-03 ~ 2011-12-30-4.3%-1.1%-14.1%-19.4%73.2%
2020_covid_liquidity2020-01-02 ~ 2020-12-3114.6%15.3%-18.2%-33.9%78.8%
2022_rate_hike_bear2022-01-03 ~ 2022-12-30-16.4%-20.0%-18.8%-25.4%59.0%

近期权益曲线简表

日期模型权益买入持有权益模型日收益买入持有日收益模型仓位
2026-06-174.7666.549-1.2%-1.2%97.0%
2026-06-184.8176.6201.1%1.1%97.0%
2026-06-224.7996.596-0.4%-0.4%97.0%
2026-06-234.7326.501-1.4%-1.4%97.0%
2026-06-244.7286.495-0.1%-0.1%97.0%
2026-06-254.7276.494-0.0%-0.0%97.0%
2026-06-264.7256.491-0.0%-0.0%97.0%
2026-06-294.7796.5671.1%1.2%97.0%
2026-06-304.8166.6190.8%0.8%97.0%
2026-07-014.8066.605-0.2%-0.2%97.0%
2026-07-024.8066.6050.0%0.0%97.0%
2026-07-064.8406.6530.7%0.7%97.0%

近期月度表现

月份模型收益买入持有收益
2025-081.9%1.9%
2025-093.4%3.5%
2025-102.3%2.3%
2025-110.1%0.1%
2025-12-0.0%-0.1%
2026-011.3%1.4%
2026-02-0.8%-0.9%
2026-03-3.9%-5.1%
2026-045.1%10.4%
2026-054.7%5.1%
2026-06-1.0%-1.1%
2026-070.5%0.5%