Task #4 Layer 1 Structural Cash-Out Result
Scope: remove 511990.XSHG and 511360.XSHG from all regime sleeves before Stage 1/2. No universe expansion and no Stage 4 cash redistribution.
IS 2015-2023 Metrics
| Variant | Ann Return | Vol | Sharpe | Max DD |
|---|---|---|---|---|
| v0 conservative | 5.36% | 4.68% | 1.15 | -10.70% |
| structural cash-out | 5.36% | 4.68% | 1.15 | -10.70% |
| v0+ funded old | 6.01% | 5.77% | 1.04 | -12.78% |
Latest Snapshot, 2026-05-15
| Asset | Weight | Risk Contribution |
|---|---|---|
511220.XSHG 城投债ETF |
48.44% | 2.15% |
511020.XSHG 活跃国债ETF |
22.43% | 6.57% |
511260.XSHG 10年国债ETF |
18.36% | 6.70% |
510300.XSHG 沪深300ETF |
2.76% | 20.48% |
518880.XSHG 黄金ETF |
1.89% | 27.95% |
159985.XSHE 豆粕ETF |
1.83% | 3.09% |
510500.XSHG 中证500ETF |
1.78% | 20.14% |
510880.XSHG 红利ETF |
1.72% | 6.51% |
159980.XSHE 有色/商品ETF |
0.79% | 6.41% |
Regime sleeve weights / vols:
| Regime | Sleeve Weight | Sleeve Vol |
|---|---|---|
| R1 | 51.33% | 1.17% |
| R2 | 2.93% | 20.46% |
| R3 | 3.23% | 18.54% |
| R4 | 42.51% | 1.41% |
Interpretation
Layer 1 removed the cash/short-bond distortion. R4 sleeve vol rose from 0.19% to 1.41%, which is directionally correct. But because 511220.XSHG is still in R1 and has very low 60d vol, the portfolio still concentrates in credit/carry: latest 511220.XSHG remains 48.44%.
Important implication: structural cash-out alone is not enough. It also removes the funded risk-up effect and collapses to the old conservative v0 baseline. To get a deployable all-weather portfolio, Layer 2 must address universe richness and risk budgeting, especially by adding more assets that can absorb low-vol/carry risk and by testing longer/EWMA vol windows.