Task #4 Phase A v0.1a Baseline
Interim baseline: Stage 1 covariance ERC + final locked universe. Stage 4 funded leverage is not implemented in this run.
Metrics
| segment | days | ann_return | ann_vol | sharpe | sortino | max_drawdown | calmar |
|---|---|---|---|---|---|---|---|
| IS_2015_2023 | 2188.0000 | 0.0429 | 0.0603 | 0.7112 | 0.8742 | -0.1052 | 0.4073 |
| OOS_A_2024_pre_924 | 176.0000 | -0.0656 | 0.0812 | -0.8070 | -1.1835 | -0.0922 | -0.7114 |
| OOS_B_924_to_2025H1 | 183.0000 | 0.2120 | 0.0941 | 2.2530 | 3.2396 | -0.0330 | 6.4300 |
| OOS_C_2025H2_now | 211.0000 | 0.1705 | 0.0757 | 2.2512 | 2.8794 | -0.0350 | 4.8662 |
| FULL | 2758.0000 | 0.0552 | 0.0658 | 0.8391 | 1.0694 | -0.1365 | 0.4047 |
Average Primary Risk Contribution
| primary_premium | avg_risk_contribution |
|---|---|
| equity | 56.05% |
| inflation | 35.62% |
| rate | 5.68% |
| credit | 2.65% |
Average Audit Bucket Risk Contribution
| audit_bucket | avg_risk_contribution |
|---|---|
| consumption_pass_through_equity | 12.41% |
| equity_large | 8.48% |
| industrial_metals | 8.38% |
| equity_mid | 8.36% |
| energy_global_pricing | 8.33% |
| equity_growth_innovation_group | 7.81% |
| equity_small | 5.77% |
| gold_monetary_hedge | 5.55% |
| rate_duration_10y | 5.42% |
| coal_steel_chain | 5.23% |
| ai_compute_chain | 3.83% |
| agriculture_supply | 3.21% |
| energy_chemical_commodity | 2.88% |
| credit_growth_sensitive | 2.65% |
| hk_connect_internet | 2.27% |
| utilities_defensive_equity | 2.21% |
| chemical_equity | 2.05% |
| green_manufacturing | 2.01% |
| robotics_productivity | 1.59% |
| hk_connect_innovative_drug | 0.74% |
| quality_cashflow_defensive_equity | 0.57% |
| rate_duration_30y | 0.27% |
Average Underlying Risk Source Contribution
| risk_source | avg_risk_contribution |
|---|---|
| broad_a_equity | 22.61% |
| commodity_inflation_chain | 19.96% |
| r3_defensive_equity | 18.40% |
| growth_ai_compute_combined_risk | 17.40% |
| physical_chain | 15.66% |
| green_manufacturing_growth | 12.44% |
| hk_internet_a_growth_combined_risk | 10.08% |
| rate_duration | 5.68% |
| productivity_chain | 4.35% |
| credit_carry | 2.65% |
Latest Scaled Weights
| entity_id | weight | name | primary_premium | audit_bucket |
|---|---|---|---|---|
| treasury_10y | 63.10% | 10年国债ETF | rate | rate_duration_10y |
| treasury_30y | 16.59% | 30年国债ETF | rate | rate_duration_30y |
| consumer_staples | 1.93% | 中证主要消费ETF | equity | consumption_pass_through_equity |
| hs300 | 1.84% | 沪深300ETF | equity | equity_large |
| utilities_power | 1.75% | 电力公用ETF | equity | utilities_defensive_equity |
| free_cash_flow | 1.25% | 自由现金流ETF | equity | quality_cashflow_defensive_equity |
| agriculture_basket | 1.21% | 农产品ETF | inflation | agriculture_supply |
| csi1000 | 1.12% | 中证1000ETF | equity | equity_small |
| energy_chemical_commodity | 1.09% | 能源化工期货ETF | inflation | energy_chemical_commodity |
| coal | 1.08% | 煤炭ETF | inflation | coal_steel_chain |
| csi500 | 1.08% | 中证500ETF | equity | equity_mid |
| hk_connect_internet | 1.06% | 港股通互联网ETF | equity | hk_connect_internet |
| growth_innovation_group | 1.01% | 创业板+科创50成长组 | equity | equity_growth_innovation_group |
| robotics | 0.85% | 机器人ETF | equity | robotics_productivity |
| gold | 0.80% | 黄金ETF | inflation | gold_monetary_hedge |
| hk_connect_innovative_drug | 0.70% | 港股通创新药ETF | equity | hk_connect_innovative_drug |
| steel | 0.65% | 钢铁ETF | inflation | coal_steel_chain |
| ai_compute_chain | 0.63% | AI算力链组 | equity | ai_compute_chain |
| energy_global_pricing | 0.63% | 华宝油气LOF | inflation | energy_global_pricing |
| new_energy | 0.62% | 中证新能源ETF | equity | green_manufacturing |
| chemical_equity | 0.61% | 化工ETF | inflation | chemical_equity |
| industrial_metals | 0.39% | 有色ETF | inflation | industrial_metals |
Caveats
- 159201.XSHE 自由现金流 ETF and 159570.XSHE 港股通创新药 ETF have short tradable history; index proxies are needed for long-history diagnostics.
- 511090.XSHG 30Y treasury ETF has tradable history only from 2023; pre-2023 30Y cash-bond proxy is not included in this tradable baseline.
- 162411.XSHE is QDII/LOF implementation for global-pricing energy exposure; monitor premium/discount, tracking error, and NAV lag.
- Cross-sleeve overlap is managed by covariance ERC plus underlying risk-source audits, not eliminated in v0.1.
- No bond-futures funded leverage is included; Phase B should evaluate T/TF/TS/TL implementation.