业绩分析
AlphaGo 美股均衡一号 业绩分析 · SPY
13.2%回测年化
0.71夏普比率
-23.5%最大回撤日度
13.3%年化波动
18.9%样本外年化2022-01-03→
-19.5%样本外回撤
净值地形 山脊=累计净值 · 峡谷=回撤(数据驱动)
回撤
分年表现(日度采样)
| 年份 | 产品 | 年内最大回撤 | SPY |
|---|---|---|---|
| 2009 | 8.1% | -10.2% | 22.7% |
| 2010 | 25.3% | -9.7% | 15.1% |
| 2011 | 4.9% | -10.7% | 1.9% |
| 2012 | 17.0% | -5.1% | 16.0% |
| 2013 | 13.3% | -8.4% | 32.3% |
| 2014 | 18.4% | -9.0% | 13.5% |
| 2015 | -3.7% | -9.5% | 1.2% |
| 2016 | 3.8% | -7.0% | 12.0% |
| 2017 | 11.6% | -4.6% | 21.7% |
| 2018 | -10.7% | -20.3% | -4.6% |
| 2019 | 23.3% | -8.0% | 31.2% |
| 2020 | 39.6% | -23.5% | 18.3% |
| 2021 | 4.4% | -16.4% | 28.7% |
| 2022 | -6.5% | -17.7% | -18.2% |
| 2023 | 16.4% | -9.2% | 26.2% |
| 2024 | 14.4% | -12.7% | 24.9% |
| 2025 | 29.9% | -18.1% | 17.7% |
| 2026 | 42.7% | -19.5% | 13.5% |
危机窗口
| 区间 | 产品 | SPY |
|---|---|---|
| 2022 bear (Jan-Oct) (2022-01→2022-10) | -6.8% | -17.7% |
| 2024 vol spike (Jul-Aug) (2024-07→2024-08) | -1.5% | 3.4% |
| 2025 tariff shock (Mar-Apr) (2025-03→2025-04) | 1.6% | -6.4% |
纸盘前向记录: 2026-10-01 → 2026-10-20 (14 个交易日): -8.40%, MaxDD -8.40%. 样本仍小,仅作连通性验证。
月度收益 — 回测(%)
| 年 | 1月 | 2月 | 3月 | 4月 | 5月 | 6月 | 7月 | 8月 | 9月 | 10月 | 11月 | 12月 | 年 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | -3.4 | 2.1 | 0.8 | 2.1 | 1.1 | 2.2 | 1.3 | -0.2 | -2.0 | 7.4 | 2.6 | 8.1 | |
| 2010 | 3.1 | 5.1 | 3.6 | 5.3 | -6.2 | 0.2 | 3.7 | 2.3 | 7.2 | -0.3 | 0.1 | -1.1 | 25.3 |
| 2011 | 0.5 | 4.4 | 1.5 | 3.2 | -4.2 | 0.7 | 3.4 | 0.0 | -8.1 | 10.3 | -4.7 | -0.9 | 4.9 |
| 2012 | 2.3 | 4.5 | 0.9 | 2.8 | -1.5 | 0.3 | 2.2 | 2.0 | 2.6 | -1.4 | 0.7 | 0.7 | 17.0 |
| 2013 | 4.6 | 0.9 | 3.5 | -0.6 | 1.7 | -6.7 | 4.8 | 1.1 | 4.2 | 2.1 | -1.6 | 0.5 | 13.3 |
| 2014 | 2.1 | 8.8 | -5.3 | -0.8 | 5.0 | 3.6 | -0.2 | 3.6 | -2.2 | -1.0 | 4.8 | -0.4 | 18.4 |
| 2015 | 2.6 | 0.2 | 0.2 | -2.2 | 1.7 | -2.3 | -1.1 | -1.5 | -3.3 | 4.0 | -0.4 | -1.7 | -3.7 |
| 2016 | -4.2 | 3.0 | 3.7 | -1.1 | 1.2 | 3.1 | 3.8 | -3.0 | 0.9 | -2.1 | -0.7 | -0.9 | 3.8 |
| 2017 | 2.6 | 1.2 | -0.6 | -1.3 | 3.2 | -0.8 | 1.2 | 0.5 | 1.4 | 2.5 | 1.5 | -0.3 | 11.6 |
| 2018 | 3.0 | -1.2 | -1.9 | -1.3 | 7.2 | -2.5 | 0.3 | 4.7 | -2.9 | -12.0 | 1.6 | -5.0 | -10.7 |
| 2019 | 7.4 | 2.4 | 2.8 | 0.7 | 0.5 | 5.9 | 3.3 | 3.0 | -4.8 | -0.4 | 1.0 | 0.8 | 23.3 |
| 2020 | 3.3 | -3.9 | -8.9 | 9.3 | 1.6 | 3.9 | 10.9 | 5.5 | 1.1 | -2.3 | 11.5 | 3.8 | 39.6 |
| 2021 | 3.3 | -4.1 | -7.6 | 5.4 | 1.6 | -0.7 | 4.0 | 2.8 | -2.5 | 4.7 | 0.1 | -2.5 | 4.4 |
| 2022 | -7.3 | 2.2 | 2.0 | -6.8 | 5.6 | -8.4 | 3.7 | 1.8 | -6.3 | 8.4 | 2.5 | -2.1 | -6.5 |
| 2023 | 3.2 | -4.4 | 2.9 | -0.3 | -0.4 | 1.5 | 2.0 | -0.3 | -5.6 | -0.3 | 11.7 | 6.5 | 16.4 |
| 2024 | 3.4 | 4.1 | 2.8 | -3.2 | 1.0 | -0.4 | -6.9 | 5.8 | 4.2 | 2.6 | 5.8 | -4.8 | 14.4 |
| 2025 | 7.8 | -5.3 | -1.3 | 4.5 | 5.6 | 1.4 | 4.9 | -0.5 | 6.3 | -1.0 | 0.9 | 3.2 | 29.9 |
| 2026 | 8.5 | 3.7 | -8.6 | 20.1 | 15.2 | 2.9 | -11.4 | 3.6 | 3.8 | 1.2 | 42.7 |
注:月度表为回测净值计算,当月格显示实盘(●)为主、回测仅到其净值截止日;实盘自 2026-10-05 起步,见上方实盘线。
净值历史(最近20日) 下载 nav.csv ↓
| 日期 | 净值 | 日涨跌 | 来源 |
|---|---|---|---|
| 2026-10-20 | 8.2764 | +0.00% | 纸盘 |
| 2026-10-19 | 8.2764 | -1.03% | 纸盘 |
| 2026-10-16 | 8.3626 | -1.07% | 纸盘 |
| 2026-10-15 | 8.4532 | -1.57% | 纸盘 |
| 2026-10-14 | 8.5882 | -1.60% | 纸盘 |
| 2026-10-13 | 8.7276 | -0.08% | 纸盘 |
| 2026-10-12 | 8.7347 | -2.40% | 纸盘 |
| 2026-10-09 | 8.9491 | +1.30% | 纸盘 |
| 2026-10-08 | 8.8343 | -1.80% | 纸盘 |
| 2026-10-07 | 8.9963 | -0.43% | 纸盘 |
| 2026-10-06 | 9.0351 | +0.17% | 回测 |
| 2026-10-05 | 9.0199 | +0.00% | 回测 |
| 2026-10-04 | 9.0199 | +0.00% | 回测 |
| 2026-10-03 | 9.0199 | -0.86% | 回测 |
| 2026-10-02 | 9.0985 | +1.81% | 回测 |
| 2026-10-01 | 8.9368 | +0.05% | 回测 |
| 2026-09-30 | 8.9321 | +0.84% | 回测 |
| 2026-09-29 | 8.8575 | -1.87% | 回测 |
| 2026-09-28 | 9.0262 | +0.00% | 回测 |
| 2026-09-27 | 9.0262 | +0.00% | 回测 |