SWS L2 Risk Proxy
As of 2026-07-31. 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 | 2026-07-31 | 11213951.4883 | 1.0000 | 0.0000 | 1 | 2.1448 | 1.7907 | 1.0533 | 0.3974 | 4.8504 | 0.9745 |
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 | 0.0485 | 544744.8878 | 1 | 2.1448 | 1.0533 | 0.3974 | 0.3000 | 0.1618 | 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 | 300604.XSHE | 长川科技 | 0.0485 | 电子 | 半导体 | 2.1448 | 1.7907 | 1.0533 | 0.3974 | 4.8504 | 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.