Task #4 v0++ Single-Asset Cap Sensitivity
Scope: quick patch on v0+ funded baseline. Stage 4 cash/short-bond zeroing remains unchanged; after redistribution, cap single asset at 25% / 30% / 35% and spread excess to same-sleeve assets first, then cross-sleeve assets by inverse-vol capacity.
IS 2015-2023 Results
| Variant | Ann Return | Vol | Sharpe | Max DD | Latest Max Asset | Historical Max Asset |
|---|---|---|---|---|---|---|
| v0+ funded uncapped | 6.01% | 5.77% | 1.04 | -12.78% | 53.52% | 55.34% |
| 25% cap | 5.36% | 9.61% | 0.56 | -24.98% | 25.00% | 25.00% |
| 30% cap | 5.47% | 8.21% | 0.67 | -20.61% | 30.00% | 30.00% |
| 35% cap | 5.74% | 7.19% | 0.80 | -18.76% | 35.00% | 35.00% |
Latest 30% Cap Snapshot, 2026-05-15
| Asset | Weight | Risk Contribution |
|---|---|---|
511220.XSHG 城投债ETF |
30.00% | -0.37% |
511020.XSHG 活跃国债ETF |
19.25% | 0.70% |
510300.XSHG 沪深300ETF |
17.34% | 44.19% |
511260.XSHG 10年国债ETF |
15.76% | 0.64% |
510500.XSHG 中证500ETF |
11.19% | 44.03% |
518880.XSHG 黄金ETF |
2.09% | 8.33% |
159985.XSHE 豆粕ETF |
2.02% | -0.48% |
510880.XSHG 红利ETF |
1.47% | 0.76% |
159980.XSHE 有色/商品ETF |
0.87% | 2.20% |
511990.XSHG 货币基金ETF |
0.00% | 0.00% |
511360.XSHG 短债ETF |
0.00% | 0.00% |
Latest 30% cap trailing 60d realized vol: 5.10% annualized.
Interpretation
The cap solves single-asset concentration but worsens portfolio risk because the excess from 511220.XSHG is mostly absorbed by R1 same-sleeve equity assets (510300, 510500). This raises equity risk contribution and pushes MDD above the original target zone.
Recommendation: do not lock 25% or 30% cap as final deployable baseline. If a quick cap must be used before structural fix, 35% is less damaging, but the better answer is still the structural fix: remove cash/short-bond from regime sleeves before Stage 2 and rerun ERC.