r/letfs
回测18年基于跨资产宏观状态评分的SPY前瞻收益。最弱的区间并非最可怕的那个。
回测显示SPY在轻度宏观压力下前瞻收益最差，因市场缓慢失血；而完全避险状态则会出现强劲反弹。
- 历史数据显示，完全避险（Risk-Off）状态通常会在3个月内带来约6%的强劲前瞻收益，主要源于超卖反弹。
- 风险偏好（Risk-On）和轻度风险偏好（Mildly-On）状态持续带来强劲的正向收益，胜率高达83%-84%。
- 轻度避险（Mildly-Off）状态产生最弱的前瞻收益，因为环境恶化尚未被完全定价，导致市场缓慢失血。
- 完全避险状态下的强劲反弹仅基于14个非重叠窗口的较小样本，统计上尚不够确凿。
I built a daily cross-asset regime score (8 inputs: credit spreads, the yield curve, equity/bond vol, currency carry, copper/gold, sector leadership, defensive rotation, each z-scored against its own history) and bucketed every day into 5 bands from Risk-On to Risk-Off. Then I looked at SPY forward returns conditioned on the band, 2008 to present.
The result that surprised me: the worst forward returns don't come from full Risk-Off (the scariest band). They come from Mildly-Off, the mild-stress band just below Neutral.
3-month forward, by band (median / % positive / non-overlapping windows):
- Risk-Off: +6.0% / 78% / 14 (thin)
- Mildly-Off: +1.7% / 61% / 39 ← weakest
- Neutral: +4.4% / 77% / 57
- Mildly-On: +4.7% / 83% / 39
- Risk-On: +5.9% / 84% / 26
Mildly-Off is the low point at 1, 3, and 6 months, not just one horizon. My read: mild stress means conditions are deteriorating but not yet priced. Hasn't fallen far enough to set up a bounce, but the stuff underneath keeps getting worse. Slow bleed rather than a crash.
The flip side is the part everyone's seen before: full Risk-Off has strong forward returns (\~6% 3mo), but that rests on a small sample (14 non-overlapping windows), so I'd treat it as suggestive, not settled.
A couple of methodology notes since this sub will (rightly) ask:
- Non-overlapping windows. Measuring every overlapping window inflates the n with non-independent observations. The window counts above are independent. Where a band had under 10, I don't report it.
- Single stocks don't behave like the index. Ran the same on individual names. MSFT clusters tight across regimes (spread under 2pp); AAPL spreads as much as the market does. So the regime is market context, not a per-stock signal. The "regime washes out for single stocks" claim is false as a universal.
Curious what this sub thinks, particularly: (1) is the Mildly-Off weakness robust or am I slicing noise with the band cutoffs, and (2) better ways to handle the small-sample Risk-Off band than just flagging it.