Task #4 All-Weather Locked Baselines
Status
- RayDario locked both baselines on 2026-05-16.
- Default deployment baseline: v0_plus_funded_6pct.
- Conservative reference baseline: v0_ex_ante_7pct.
- Model parameters are frozen. No further tuning unless RayDario reopens Task #4.
Baseline Comparison
| Metric | v0 conservative | v0+ funded | Funded / conservative |
|---|---|---|---|
| IS annualized return | 5.36% | 6.01% | 1.12x |
| IS annualized vol | 4.68% | 5.77% | 1.23x |
| IS max drawdown | -10.70% | -12.78% | 1.19x |
v0 Conservative
| Segment | Annualized | Vol | Sharpe | Max DD |
|---|---|---|---|---|
| IS 2015-2023 | 5.36% | 4.68% | 1.15 | -10.70% |
| OOS-A 2024 pre-9/24 | 6.07% | 2.29% | 2.65 | -1.44% |
| OOS-B 9/24-2025H1 | 11.93% | 3.83% | 3.12 | -1.49% |
| OOS-C 2025H2-now | 8.21% | 2.45% | 3.35 | -1.11% |
v0+ Funded
| Segment | Annualized | Vol | Sharpe | Max DD |
|---|---|---|---|---|
| IS 2015-2023 | 6.01% | 5.77% | 1.04 | -12.78% |
| OOS-A 2024 pre-9/24 | 5.85% | 2.46% | 2.38 | -1.78% |
| OOS-B 9/24-2025H1 | 12.68% | 4.23% | 3.00 | -1.70% |
| OOS-C 2025H2-now | 9.41% | 2.80% | 3.36 | -1.24% |
Implementation Notes
- Conservative baseline excludes cash/short-bond proxies from the investable universe.
- Funded baseline uses a cash-inclusive two-stage risk parity base, then sets 511360.XSHG and 511990.XSHG to zero and redistributes their weights pro-rata to non-cash assets.
- Funded gross exposure remains 100% NAV; there is no real margin borrowing.
- RayDario defined the funded leverage comparison relative to the locked conservative no-cash v0. Under that definition, realized vol amplification is 1.23x.
Data Quality
- ETF returns use pre-adjusted prices.
- Raw unadjusted 511220.XSHG had a 10:1-style discontinuity on 2023-01-16 and is not used for return calculation.
- Current adjusted ETF outlier check has zero |daily return| > 15% observations.
Output Files
- Metrics: task4_baseline_metrics.csv and .md
- Conservative daily return: task4_daily_returns_v0_ex_ante_7pct.csv
- Funded daily return: task4_daily_returns_v0_plus_funded_6pct.csv
- Conservative/funded comparison: task4_v0_vs_funded_comparison.csv and .md
- Conservative charts: charts/task4_v0_conservative_*.png
- Funded charts: charts/task4_v0_plus_funded_*.png