Source: task4-all-weather/output/phase_a_precheck/task4_phase_a_universe_precheck.md
Last modified: 2026-05-18 11:37:32 · 15,859 bytes

Task #4 Phase A Universe Precheck

Scope: pre-baseline data check only. It does not change production config; formal Phase A baseline waits for Kaite's final universe pick.

Key Findings

- 钢铁ETF/煤炭ETF recent correlation: 60d=0.04, 120d=0.33, 252d=0.39. This is below the default force-grouping threshold; keep independent in ERC and monitor combined coal/steel-chain risk in the analytic layer.

- Forced grouped entities should be data-driven. Default trigger: recent/intermediate correlation > 0.6 or a single clean representative ETF is available.

- 科创创业50 ETF can likely replace a free 创业板+科创50 group. 易方达 159781 has stronger liquidity than 南方 159780 in this sample.

- 自由现金流 ETF history starts in 2025, so it is a candidate/diagnostic rather than a full-period tradable replacement unless using an index proxy.

- 161226 白银LOF and 162411 华宝油气LOF remain observation-only because they introduce LOF or cross-border/currency issues.

- 159825 农产品 + 159985 豆粕 have partial overlap; keep both only if Kaite wants a broad agriculture basket plus focused oilseed/feed exposure, otherwise prefer 159825 for non-overlap.

Availability And Liquidity

Ticker Name Bucket Sleeve First Rows 60d Turnover Status Note
510300.XSHG 沪深300ETF 股权风险/大盘 R1/R2 2015-01-05 2759 3938.8m phase_a_candidate 现有持仓层
510500.XSHG 中证500ETF 股权风险/中盘 R1/R2 2015-01-05 2759 4820.3m phase_a_candidate 现有持仓层
512100.XSHG 中证1000ETF 股权风险/小盘 R1/R2 2016-11-04 2312 2534.2m phase_a_candidate Phase A 新增候选
159915.XSHE 创业板ETF 股权风险/成长 R1/R2 2015-01-05 2759 4200.2m phase_a_candidate Phase A 新增候选
588000.XSHG 科创50ETF 股权风险/硬科技 R1/R2 2020-11-16 1331 4035.1m phase_a_candidate Phase A 新增候选
159781.XSHE 易方达科创创业50ETF 股权风险/科创创业 R1/R2 2021-07-05 1177 244.9m phase_a_candidate 优先替代创业板+科创50 grouped
159780.XSHE 南方科创创业50ETF 股权风险/科创创业 R1/R2 2021-07-05 1177 93.6m phase_a_candidate 科创创业备选
510880.XSHG 红利ETF 股权风险/防御现金流 R4/R3 2015-01-05 2759 491.2m phase_a_candidate 现有持仓层
159201.XSHE 华夏国证自由现金流ETF 股权风险/自由现金流 R4/R3 2025-02-27 294 651.9m short_history_tradable_post_listing 短历史；红利替代候选
159399.XSHE 国泰富时A股自由现金流聚焦ETF 股权风险/自由现金流 R4/R3 2025-02-27 294 228.1m short_history_tradable_post_listing 短历史；红利替代候选
511220.XSHG 城投债ETF 信用/流动性 carry credit 2015-01-05 2759 1163.8m phase_a_candidate 需控制集中度
511260.XSHG 10年国债ETF 利率风险/久期 R4 2017-08-24 2114 4632.3m phase_a_candidate 现有持仓层
511020.XSHG 5-10年国债ETF 利率风险/久期 R4 2019-02-22 1752 381.2m phase_a_candidate 现有持仓层
511090.XSHG 30年国债ETF 利率风险/长久期 R4 2023-06-13 706 4055.8m short_history_tradable_post_listing 短历史；tradable post-listing
511010.XSHG 5年国债ETF 利率风险/中久期 R4 2015-01-05 2759 766.8m phase_a_candidate 候选/对照
518880.XSHG 黄金ETF 通胀/实际利率/避险 R3 2015-01-05 2759 6561.5m phase_a_candidate 与银/铂分开，不并入工业贵金属
512400.XSHG 南方有色ETF 工业金属 R2 2017-09-01 2108 1418.7m phase_a_candidate 候选；与159980择优
159980.XSHE 有色金属期货ETF 工业金属 R2 2019-12-24 1546 667.9m phase_a_candidate 现有候选；与512400择优
515210.XSHG 钢铁ETF 煤焦钢矿/地产基建链 R2 2020-03-02 1504 168.1m phase_a_candidate 与煤炭 grouped entity
515220.XSHG 煤炭ETF 煤焦钢矿/地产基建链 R2 2020-03-02 1504 879.6m phase_a_candidate 与钢铁 grouped entity
159870.XSHE 化工ETF 化工/库存周期 R2 2021-03-03 1260 1394.3m phase_a_candidate 候选
159981.XSHE 能化期货ETF 能源化工/通胀链 R3 2020-01-17 1529 2576.6m phase_a_candidate 候选；替代纯能源跨境暴露
159930.XSHE 中证能源ETF 能源股票 R2/R3 2015-01-05 2759 178.4m phase_a_candidate 能源/能化拆分候选
159825.XSHE 农产品ETF 农副产品/供给冲击 R3 2020-12-29 1300 169.2m phase_a_candidate 候选；与豆粕需查重
159985.XSHE 豆粕ETF 油脂油料/饲料 R3 2019-12-05 1559 796.5m phase_a_candidate 现有；与159825 partial overlap
161226.XSHE 白银LOF 工业贵金属 R2 2015-08-17 2607 859.9m observation_only 仅做观察；流动性/LOF结构 caveat
162411.XSHE 华宝油气LOF 能源/跨境油气权益 R3 2015-01-05 2759 1624.8m observation_only 仅做观察；跨境+currency caveat

Overlap Diagnostics

Pair Window Overlap Days Correlation Sample
钢铁/煤炭：煤焦钢矿 grouped entity 60 60 0.0364 2026-02-09..2026-05-15
钢铁/煤炭：煤焦钢矿 grouped entity 120 120 0.3295 2025-11-13..2026-05-15
钢铁/煤炭：煤焦钢矿 grouped entity 252 252 0.3892 2025-04-29..2026-05-15
创业板/科创50：成长股 grouped candidate 60 60 0.7385 2026-02-09..2026-05-15
创业板/科创50：成长股 grouped candidate 120 120 0.7733 2025-11-13..2026-05-15
创业板/科创50：成长股 grouped candidate 252 252 0.7683 2025-04-29..2026-05-15
科创创业50/创业板：单一代表覆盖度 60 60 0.9450 2026-02-09..2026-05-15
科创创业50/创业板：单一代表覆盖度 120 120 0.9375 2025-11-13..2026-05-15
科创创业50/创业板：单一代表覆盖度 252 252 0.9330 2025-04-29..2026-05-15
科创创业50/科创50：单一代表覆盖度 60 60 0.8483 2026-02-09..2026-05-15
科创创业50/科创50：单一代表覆盖度 120 120 0.8457 2025-11-13..2026-05-15
科创创业50/科创50：单一代表覆盖度 252 252 0.8716 2025-04-29..2026-05-15
沪深300/红利：底层大盘价值股重叠监控 60 60 0.1857 2026-02-09..2026-05-15
沪深300/红利：底层大盘价值股重叠监控 120 120 0.3253 2025-11-13..2026-05-15
沪深300/红利：底层大盘价值股重叠监控 252 252 0.2760 2025-04-29..2026-05-15
自由现金流/红利：现金流质量替代检查 60 60 0.5824 2026-02-09..2026-05-15
自由现金流/红利：现金流质量替代检查 120 120 0.6596 2025-11-13..2026-05-15
自由现金流/红利：现金流质量替代检查 252 252 0.5722 2025-04-29..2026-05-15
富时自由现金流/红利：替代检查 60 60 0.3371 2026-02-09..2026-05-15
富时自由现金流/红利：替代检查 120 120 0.5395 2025-11-13..2026-05-15
富时自由现金流/红利：替代检查 252 252 0.5108 2025-04-29..2026-05-15
农产品/豆粕：农业供给链 partial overlap 60 60 0.2534 2026-02-09..2026-05-15
农产品/豆粕：农业供给链 partial overlap 120 120 0.2178 2025-11-13..2026-05-15
农产品/豆粕：农业供给链 partial overlap 252 252 0.1979 2025-04-29..2026-05-15
南方有色/有色期货：工业金属择优 60 60 0.8155 2026-02-09..2026-05-15
南方有色/有色期货：工业金属择优 120 120 0.7899 2025-11-13..2026-05-15
南方有色/有色期货：工业金属择优 252 252 0.7432 2025-04-29..2026-05-15
能化期货/化工股票：能源化工是否重叠 60 60 -0.0070 2026-02-09..2026-05-15
能化期货/化工股票：能源化工是否重叠 120 120 0.1384 2025-11-13..2026-05-15
能化期货/化工股票：能源化工是否重叠 252 252 0.1747 2025-04-29..2026-05-15
能源股票/能化期货：能源 driver 对照 60 60 0.6330 2026-02-09..2026-05-15
能源股票/能化期货：能源 driver 对照 120 120 0.5796 2025-11-13..2026-05-15
能源股票/能化期货：能源 driver 对照 252 252 0.5330 2025-04-29..2026-05-15
能源股票/化工股票：产业链拆分检查 60 60 0.1859 2026-02-09..2026-05-15
能源股票/化工股票：产业链拆分检查 120 120 0.3238 2025-11-13..2026-05-15
能源股票/化工股票：产业链拆分检查 252 252 0.3239 2025-04-29..2026-05-15
能化/华宝油气：能源 proxy 对照 60 60 0.7216 2026-02-09..2026-05-15
能化/华宝油气：能源 proxy 对照 120 120 0.6235 2025-11-13..2026-05-15
能化/华宝油气：能源 proxy 对照 252 252 0.6011 2025-04-29..2026-05-15
黄金/白银：货币金属 vs 工业贵金属 60 60 0.7824 2026-02-09..2026-05-15
黄金/白银：货币金属 vs 工业贵金属 120 120 0.5657 2025-11-13..2026-05-15
黄金/白银：货币金属 vs 工业贵金属 252 252 0.5679 2025-04-29..2026-05-15

Steel/Coal Chain Diagnostic

Member Label 50/50 Diagnostic 60d Liquidity Weight Phase A ERC Treatment
515210.XSHG 钢铁ETF 50.00% 16.05% independent ERC, chain-level audit
515220.XSHG 煤炭ETF 50.00% 83.95% independent ERC, chain-level audit

Current Engineering Recommendations

Design Question Data Read Recommendation
创业板+科创50 grouped 科创创业50 vs 创业板 252d corr 0.93; vs 科创50 0.87. 159781 60d turnover 244.9m vs 159780 93.6m. Use 159781.XSHE 科创创业50 as the single representative, not two free ETFs.
钢铁+煤炭 Recent corr 0.04/0.33/0.39, below force-grouping trigger. Same macro chain but not the same market behavior. Keep 515210.XSHG and 515220.XSHG independent in ERC; report combined 煤焦钢矿 chain risk contribution.
红利 vs 自由现金流 自由现金流 ETF tradable history starts 2025; 159201 liquidity strongest. 159399 has lower corr with 红利 but lower liquidity. Use free-cash-flow index/ETF as diagnostic/proxy; for tradable ETF prefer 159201.XSHE, with short-history caveat.
能源 vs 化工 159981 能化 vs 159870 化工 corr low (252d 0.17), but driver overlap exists by commodity composition. 159930 能源 vs 159981 corr higher (252d 0.53). Keep 159870 as R2 chemical-equity expression and 159981 as R3 energy/chemical commodity expression; optionally add 159930.XSHE as domestic energy-equity diagnostic, not automatic live holding.
农产品 vs 豆粕 Price corr low (252d 0.20) but product-level overlap exists. Prefer 159825.XSHE broad agriculture for non-overlap; keep 159985.XSHE only if focused oilseed/feed exposure is required.
贵金属 白银/黄金 corr 252d 0.57, 60d 0.78; 白银 is LOF not clean ETF. Skip silver in v0.1; gold remains independent R3 monetary hedge.

252d Candidate Correlation Matrix

order_book_id 512400.XSHG 159980.XSHE 515210.XSHG 515220.XSHG 159870.XSHE 159981.XSHE 159825.XSHE 159985.XSHE 518880.XSHG 161226.XSHE 162411.XSHE 159781.XSHE 159201.XSHE 159399.XSHE 159930.XSHE
512400.XSHG 1 0.743 0.739 0.24 0.705 -0.015 0.587 0.049 0.65 0.476 0.153 0.454 0.789 0.744 0.211
159980.XSHE 0.743 1 0.605 0.187 0.529 0.017 0.452 0.034 0.638 0.45 0.14 0.303 0.653 0.625 0.14
515210.XSHG 0.739 0.605 1 0.389 0.676 -0.004 0.649 0.098 0.513 0.352 0.057 0.296 0.777 0.784 0.26
515220.XSHG 0.24 0.187 0.389 1 0.402 0.456 0.4 0.201 0.16 0.023 0.36 -0.05 0.498 0.436 0.854
159870.XSHE 0.705 0.529 0.676 0.402 1 0.175 0.72 0.07 0.377 0.311 0.165 0.378 0.761 0.725 0.324
159981.XSHE -0.015 0.017 -0.004 0.456 0.175 1 0.134 0.381 -0.129 -0.161 0.601 -0.136 0.116 0.002 0.533
159825.XSHE 0.587 0.452 0.649 0.4 0.72 0.134 1 0.198 0.393 0.285 0.095 0.209 0.658 0.711 0.287
159985.XSHE 0.049 0.034 0.098 0.201 0.07 0.381 0.198 1 -0.031 -0.075 0.188 -0.04 0.088 0.067 0.184
518880.XSHG 0.65 0.638 0.513 0.16 0.377 -0.129 0.393 -0.031 1 0.568 0.14 0.17 0.596 0.534 0.182
161226.XSHE 0.476 0.45 0.352 0.023 0.311 -0.161 0.285 -0.075 0.568 1 0.014 0.229 0.389 0.37 0.054
162411.XSHE 0.153 0.14 0.057 0.36 0.165 0.601 0.095 0.188 0.14 0.014 1 -0.091 0.249 0.09 0.543
159781.XSHE 0.454 0.303 0.296 -0.05 0.378 -0.136 0.209 -0.04 0.17 0.229 -0.091 1 0.397 0.388 -0.072
159201.XSHE 0.789 0.653 0.777 0.498 0.761 0.116 0.658 0.088 0.596 0.389 0.249 0.397 1 0.906 0.483
159399.XSHE 0.744 0.625 0.784 0.436 0.725 0.002 0.711 0.067 0.534 0.37 0.09 0.388 0.906 1 0.358
159930.XSHE 0.211 0.14 0.26 0.854 0.324 0.533 0.287 0.184 0.182 0.054 0.543 -0.072 0.483 0.358 1