Task #4 Phase A v0.1a IC Handoff
Status: ready for IC pack v1 drafting.
Scope
Phase A implements the final-acked v0.1a universe:
- 27 instruments / about 25 ERC entities.
- ETF-only, unlevered Path X.
- Two grouped entities:
- R1 growth_innovation_group: 159915.XSHE 创业板ETF + 588000.XSHG 科创50ETF, fixed 50/50.
- R2 ai_compute_chain: 515880.XSHG 通信设备 + 512480.XSHG 半导体, fixed 50/50.
- Multi-stage covariance ERC:
- Stage 1: entity ERC inside each sleeve.
- Stage 2: sleeve ERC using sleeve sub-portfolio covariance.
- Cross-sleeve overlap handled by Option A: monitor underlying risk-source RC, do not cap or restructure in v0.1a.
Baseline Results
| Segment | Annual Return | Vol | Sharpe | Max Drawdown |
|---|---|---|---|---|
| IS 2015-2023 | 4.29% | 6.03% | 0.71 | -10.52% |
| OOS 2024 pre-9/24 | -6.56% | 8.12% | -0.81 | -9.22% |
| OOS 9/24-2025H1 | 21.20% | 9.41% | 2.25 | -3.30% |
| OOS 2025H2-now | 17.05% | 7.57% | 2.25 | -3.50% |
| FULL | 5.52% | 6.58% | 0.84 | -13.65% |
Primary Premium RC
Average risk contribution:
- Equity: 56.05%
- Inflation: 35.62%
- Rate: 5.68%
- Credit: 2.65%
Read: v0.1a remains equity/inflation dominated. Rate RC is structurally low despite latest notional duration weight being high, which is the expected unlevered risk-parity failure mode for low-vol assets.
Underlying Risk-Source RC
Average risk contribution:
- Broad A equity: 22.61%
- Commodity inflation chain: 19.96%
- R3 defensive equity: 18.40%
- Growth + AI compute combined: 17.40%
- Physical chain: 15.66%
- Green manufacturing growth: 12.44%
- HK internet + A growth: 10.08%
- Rate duration: 5.68%
- Productivity chain: 4.35%
- Credit carry: 2.65%
Read: cross-sleeve growth/AI overlap is present but not the binding issue. growth_ai_compute_combined_risk is below the 30%-35% escalation threshold, so Option A monitoring is acceptable for v0.1a.
Latest Portfolio Shape
Latest date: 2026-05-15.
Largest scaled entity weights:
- treasury_10y: 63.10%
- treasury_30y: 16.59%
- consumer_staples: 1.93%
- hs300: 1.84%
- utilities_power: 1.75%
- free_cash_flow: 1.25%
- Most other entities: roughly 0.4%-1.2%.
Read: the current unlevered implementation is duration-heavy in notional terms. This is not an implementation bug; it is the expected result of unlevered ERC allocating high notional to low-vol duration assets while still producing low rate risk contribution.
Main Findings
1. The framework direction is validated enough for IC review.
- Full-sample Sharpe is positive at 0.84.
- Post-2024-09-24 periods are strong.
- Vol is in the 6%-8% target range.
2. Path X is not the final framework.
- The unlevered version under-represents rate risk contribution.
- It uses high notional duration but does not create enough rate premium RC.
3. Stage 4 leverage is the main v0.2 engineering priority.
- The data supports Qian's point: unlevered risk parity over-allocates low-vol assets by notional and still under-delivers their risk premium.
- v0.2 should evaluate TL/T/TF/TS treasury futures or other funded duration implementation.
4. Cross-sleeve overlap does not require immediate restructuring.
- Growth + AI compute combined RC is 17.40% average and 12.94% latest.
- Keep monitoring in IC pack and production reports.
5. 2024 pre-9/24 stress remains a weakness.
- OOS pre-9/24 annualized return was -6.56%, MDD -9.22%.
- This supports the v2 roadmap for crisis-mode triggers and dynamic risk allocation.
IC Pack v1 Mandatory Disclosures
v0.1a is a China-localized stepping stone based on Qian / Bridgewater / Lin Yingying principles. It is not the complete final implementation.
Explicit gap disclosure should include:
- Stage 4 funded leverage not implemented.
- Single-level integrated ERC not implemented.
- Dynamic Risk Allocation overlay not implemented.
- TIPS / inflation-linked bond market gap in China.
- Crisis-mode hard triggers not implemented.
- Full sector RP not implemented.
- Simplicity gap versus Bridgewater's original broad-instrument all-weather design.
v0.2 / v2 Engineering Roadmap
Priority order:
1. Stage 4 funded duration leverage.
- Evaluate TL main contract and 10Y/30Y duration mix.
- Target: lift rate RC toward 25%-30% while controlling overall vol.
2. Crisis-mode hard triggers.
- Candidate inputs: M2, central bank rate moves, credit spread widening, global liquidity tightening.
- Goal: reduce 2024H1-style stress drawdown.
3. Dynamic Risk Allocation overlay.
- Inflation tilt, deleveraging, rebound/re-risking rules.
- Keep capped and auditable.
4. Single-level integrated ERC diagnostic.
- Run as research benchmark against multi-stage ERC.
- Do not replace the four-sleeve framework until IC sees trade-offs.
5. Full sector RP / sector-balanced equity sleeve.
- Evaluate after v0.2 leverage and crisis-mode work.
Output Files
- task4_phase_a_v01a_summary.md
- task4_phase_a_v01a_metrics.csv
- task4_phase_a_v01a_daily_returns.csv
- task4_phase_a_v01a_monthly_scaled_weights.csv
- task4_phase_a_v01a_risk_contribution.csv
- task4_phase_a_v01a_primary_premium_rc.csv
- task4_phase_a_v01a_audit_bucket_rc.csv
- task4_phase_a_v01a_underlying_risk_source_rc.csv
- task4_phase_a_v01a_price_metadata.csv