SWS L2 Risk Proxy
As of 2026-06-10. Research-only visibility.
This is a lightweight proxy attribution, not Barra. It uses observable local data: HS300/CSI500 regression beta, 60d annualized volatility, 60d/250d momentum, market-cap percentile, and RQData SWS L2 industry. It does not use RQData _rqd6 Barra factor exposure, factor covariance, or specific risk, and it must not be used for optimization, factor neutralization, buy/sell, sizing, or M-filter decisions.
Portfolio Summary
| portfolio | asof | nav | cash_weight | gross_exposure | names | weighted_beta_hs300 | weighted_beta_csi500 | weighted_vol_60d_ann | weighted_mom_60d | weighted_mom_250d | weighted_size_pct_rank |
|---|---|---|---|---|---|---|---|---|---|---|---|
| P1 | 2026-06-10 | 11313677.7958 | 0.0010 | 0.9990 | 12 | 2.2541 | 1.5570 | 0.7729 | 0.9311 | 8.4940 | 0.9679 |
Top Industry Exposures
| portfolio | sws_l2_industry | weight | market_value | names | weighted_beta_hs300 | weighted_vol_60d_ann | weighted_mom_60d | cap_limit | cap_utilization | cap_status |
|---|---|---|---|---|---|---|---|---|---|---|
| P1 | 半导体 | 0.2969 | 3359354.2501 | 4 | 2.2344 | 0.8306 | 0.6879 | 0.3000 | 0.9898 | cap_bound_or_near |
| P1 | 通信设备 | 0.1810 | 2048300.8177 | 2 | 2.4141 | 0.6879 | 1.0877 | 0.3000 | 0.6035 | below_cap |
| P1 | 玻璃玻纤 | 0.1450 | 1640563.3821 | 1 | 2.3998 | 0.8217 | 1.7260 | 0.3000 | 0.4834 | below_cap |
| P1 | 通用设备 | 0.1199 | 1356108.8310 | 1 | 2.4031 | 0.7673 | 1.3756 | 0.3000 | 0.3995 | below_cap |
| P1 | 自动化设备 | 0.0667 | 754933.8761 | 1 | 1.8756 | 0.8975 | 0.5197 | 0.3000 | 0.2224 | below_cap |
| P1 | 光学光电子 | 0.0646 | 731313.6554 | 1 | 1.3237 | 0.6100 | 0.2498 | 0.3000 | 0.2155 | below_cap |
| P1 | 元件 | 0.0633 | 715802.4718 | 1 | 2.7593 | 0.6888 | 0.1851 | 0.3000 | 0.2109 | below_cap |
| P1 | 专用设备 | 0.0615 | 696095.1973 | 1 | 2.1139 | 0.7630 | 0.8335 | 0.3000 | 0.2051 | below_cap |
Holding Detail
| portfolio | order_book_id | symbol | weight | sws_l1_industry | sws_l2_industry | proxy_beta_hs300_252d | proxy_beta_csi500_252d | proxy_vol_60d_ann | proxy_mom_60d | proxy_mom_250d | size_pct_rank |
|---|---|---|---|---|---|---|---|---|---|---|---|
| P1 | 603256.XSHG | 宏和科技 | 0.1450 | 建筑材料 | 玻璃玻纤 | 2.3998 | 1.6822 | 0.8217 | 1.7260 | 17.4218 | 0.9699 |
| P1 | 301377.XSHE | 鼎泰高科 | 0.1199 | 机械设备 | 通用设备 | 2.4031 | 1.5265 | 0.7673 | 1.3756 | 14.9528 | 0.9610 |
| P1 | 688072.XSHG | 拓荆科技 | 0.1010 | 电子 | 半导体 | 1.8513 | 1.3268 | 0.7620 | 0.8096 | 3.0841 | 0.9787 |
| P1 | 300502.XSHE | 新易盛 | 0.1001 | 通信 | 通信设备 | 2.4586 | 1.3318 | 0.7631 | 1.0395 | 7.8630 | 0.9952 |
| P1 | 300308.XSHE | 中际旭创 | 0.0809 | 通信 | 通信设备 | 2.3591 | 1.2979 | 0.5949 | 1.1473 | 11.1566 | 0.9982 |
| P1 | 688525.XSHG | 佰维存储 | 0.0788 | 电子 | 半导体 | 2.4896 | 1.8928 | 0.8896 | 0.5627 | 4.5565 | 0.9765 |
| P1 | 301308.XSHE | 江波龙 | 0.0777 | 电子 | 半导体 | 2.5440 | 1.9532 | 0.8811 | 0.5893 | 5.9452 | 0.9881 |
| P1 | 688025.XSHG | 杰普特 | 0.0667 | 机械设备 | 自动化设备 | 1.8756 | 1.6099 | 0.8975 | 0.5197 | 6.3958 | 0.8932 |
| P1 | 688127.XSHG | 蓝特光学 | 0.0646 | 电子 | 光学光电子 | 1.3237 | 1.1979 | 0.6100 | 0.2498 | 2.5653 | 0.8986 |
| P1 | 300476.XSHE | 胜宏科技 | 0.0633 | 电子 | 元件 | 2.7593 | 1.7345 | 0.6888 | 0.1851 | 2.9426 | 0.9925 |
| P1 | 301200.XSHE | 大族数控 | 0.0615 | 机械设备 | 专用设备 | 2.1139 | 1.5374 | 0.7630 | 0.8335 | 6.3470 | 0.9627 |
| P1 | 300604.XSHE | 长川科技 | 0.0395 | 电子 | 半导体 | 2.0962 | 1.6772 | 0.7889 | 0.8199 | 4.4417 | 0.9745 |
Boundary
- Use this as research-only visibility to understand SWS L2 industry concentration and proxy risk shape.
- Do not call it Barra. Official Barra Phase 1 still requires RQData _rqd6 permissions.
- Do not alter v1.5 production rules from this report.