contested存疑 Cross-asset TREND = time-series momentum (sign of the trailing 3/6/12-month return). The timing carries REAL skill — it beats a permutation null (p≈0.01) — but after an 8bps cost it only matches an equal-weight buy&hold and does NOT clear the Deflated-Sharpe multiple-testing bar (DSR≈0.80). So it is shown here as a REGIME / CONTEXT read of what is trending across asset classes — NOT a strategy or a buy list. AQR’s widely-quoted gross ~1.8 Sharpe is contested and gross-of-cost; our honest after-cost number is in scripts/cross_asset_phase0.py → reports/cross-asset-phase0.md.跨资产趋势 = 时间序列动量（过去 3/6/12 个月收益的符号）。其择时确有真实技能——能击败置换检验零假设（p≈0.01）——但在扣除 8bps 成本后仅与等权买入持有持平，且无法通过 Deflated-Sharpe 的多重检验门槛（DSR≈0.80）。因此这里仅作为「各资产类别在趋势什么」的体制/背景判读——并非策略或买入清单。AQR 常被引用的约 1.8 夏普为毛收益且存在争议；我们扣费后的诚实数值见 scripts/cross_asset_phase0.py → reports/cross-asset-phase0.md。
| central bank央行 | assets ($T)资产($万亿) | share占比 | |
|---|---|---|---|
| ECB欧洲央行2026-07-10 | 7.13 | 39.9% | |
| Federal Reserve美联储2026-07-08 | 6.71 | 37.6% | |
| Bank of Japan日本央行2026-06-01 | 4.01 | 22.5% |
Global central-bank balance-sheet liquidity (Fed + ECB + BoJ), summed in USD. The IMPULSE — its rate of change — leads risk assets with a variable lag (weeks to months); rising = a liquidity tailwind. Context, not a signal: BoE (FRED annual-only) and PBoC (no clean keyless series) are omitted.全球央行资产负债表流动性（美联储+欧洲央行+日本央行），以美元汇总。其变化率（脉冲）以可变滞后（数周至数月）领先风险资产；上升=流动性顺风。仅作背景，非信号：英格兰银行（FRED 仅年度）与中国央行（无无密钥序列）未纳入。
| gauge指标 | value数值 | %ile (2y)分位(2年) | |
|---|---|---|---|
| SOFR − EFFR spreadSOFR − 联邦基金利率 SOFR above the Fed's administered rate = reserves scarce / repo stress. |
0.0bp | 43 | |
| SOFR dispersion (99th − SOFR)SOFR 离散度 (99分位 − SOFR) A fat right tail = some borrowers paying well above the median. |
9.0bp | 44 |
Funding/repo plumbing from the OFR FRBNY reference rates (keyless). SOFR above EFFR and a widening SOFR distribution flag reserve scarcity / repo stress (the Sep-2019 tell). Each scored vs its trailing ~2y range. Context, not a signal — never wired into any score.来自 OFR 纽约联储参考利率（无密钥）的资金/回购管道。SOFR 高于 EFFR 且 SOFR 分布走阔预示准备金稀缺/回购紧张（2019年9月的信号）。各项按其约2年区间打分。仅作背景，非信号——从不进入任何评分。
| asset资产 | class类别 | trend趋势 | strength强度 | 3m3月 | 6m6月 | 12m12月 |
|---|---|---|---|---|---|---|
| S&P 500标普500 | Equity股票 | ▲ up上行 | +1.00 | +7% | +8% | +22% |
| Small caps小盘股 | Equity股票 | ▲ up上行 | +1.00 | +10% | +13% | +36% |
| High yield高收益债 | Credit信用 | ▲ up上行 | +1.00 | +0% | +1% | +6% |
| Copper铜 | Commodity商品 | ▲ up上行 | +1.00 | +4% | +8% | +12% |
| US dollar美元 | Dollar美元 | ▲ up上行 | +1.00 | +3% | +1% | +2% |
| Crude oil原油 | Commodity商品 | ◦ mixed分化 | +0.33 | -14% | +31% | +18% |
| Gold黄金 | Commodity商品 | ◦ mixed分化 | -0.33 | -15% | -16% | +17% |
| Silver白银 | Commodity商品 | ◦ mixed分化 | -0.33 | -27% | -41% | +42% |
| 10Y Treasury10年美债 | Rates利率 | ▼ down下行 | -1.00 | -2% | -3% | -2% |
| Bitcoin比特币 | Crypto加密 | ▼ down下行 | -1.00 | -20% | -11% | -39% |
Trend = average sign of the trailing 3/6/12-month return (most-recent week skipped). ▲ up = the trend is positive across most horizons. Returns are price-only; the bond leg is a duration-return proxy (−7·Δyield) and the dollar leg trends the DXY level. Context, not a buy list.趋势 = 过去 3/6/12 个月收益符号的平均（跳过最近一周）。▲上行表示多数周期趋势为正。收益仅为价格收益；债券为久期收益代理（−7·Δ收益率），美元为 DXY 水平趋势。仅作背景，非买入清单。
| market市场 | corr to USD对美元相关 | if USD ↑若美元↑ | stability稳定性 |
|---|---|---|---|
| Gold黄金 | -0.75 | headwind逆风 | stable稳定 |
| Copper铜 | -0.66 | headwind逆风 | stable稳定 |
| S&P 500标普500 | -0.43 | headwind逆风 | stable稳定 |
| EM equity新兴股票 | -0.37 | headwind逆风 | stable稳定 |
| 10y Treasury10年期国债 | -0.35 | headwind逆风 | stable稳定 |
| Bitcoin比特币 | -0.26 | headwind逆风 | stable稳定 |
| Oil原油 | +0.42 | tailwind顺风 | stable稳定 |
Contemporaneous co-movement, not a forecast — a stronger dollar tightens global conditions, but the dollar move is often the same risk/tightening impulse. The full panel (stability dots, calm/stress splits, gold's real-rate leg) is on the Forex page.同步共动，非预测 — 美元走强收紧全球条件，但美元波动往往就是同一风险/紧缩脉冲。完整面板（稳定性、平静/压力分解、黄金实际利率项）见外汇页。 Forex →外汇 →
| ratio比价 | value数值 | %ile (2y)分位(2年) | 3m3月 |
|---|---|---|---|
| Copper / Gold铜/金
Cyclical-growth & bond-yield proxy (Gundlach): rising = growth/yields up. |
0.002 | 71 | +21% |
| Gold / Silver金/银
Risk appetite: a high ratio (silver cheap) is defensive / late-cycle. |
71.805 | 31 | +18% |
| Oil / Gold油/金
Real-economy vs safe-haven demand: rising = reflation/growth. |
0.02 | 48 | +1% |
| Stocks / Gold股/金
Risk-asset vs hard-asset preference: rising = risk-on regime. |
0.188 | 63 | +28% |
| source来源 | carry套息 | state状态 |
|---|---|---|
| Rates term-spread (10y-3m)利率期限利差 (10年-3月) | 0.87% | positive carry |
| Gold roll yieldgold 展期收益 | -0.1%/yr | contango (negative) |
| Silver roll yieldsilver 展期收益 | -0.1%/yr | contango (negative) |
| Copper roll yieldcopper 展期收益 | -0.1%/yr | contango (negative) |
Current-state carry context only. Rates term-spread has deep history; commodity roll-yield is reconstructed from dated futures with <2y of history, so it is NOT backtested as a factor. Context, not a buy list.仅为当前状态的套息背景。利率期限利差历史悠久；商品展期收益由近月合约重建、历史不足两年，故未作因子回测。仅作背景。
| US | Crypto | China | HK | Commodities | Dollar | |
|---|---|---|---|---|---|---|
| US | 1.00 | 0.44 | 0.38 | 0.19 | 0.52 | 0.50 |
| Crypto | 0.44 | 1.00 | 0.03 | 0.00 | 0.27 | 0.42 |
| China | 0.38 | 0.03 | 1.00 | 0.27 | 0.38 | 0.12 |
| HK | 0.19 | 0.00 | 0.27 | 1.00 | 0.13 | 0.12 |
| Commodities | 0.52 | 0.27 | 0.38 | 0.13 | 1.00 | 0.46 |
| Dollar | 0.50 | 0.42 | 0.12 | 0.12 | 0.46 | 1.00 |
CONCENTRATED — 3 of 6 markets are one bet (US, Commodities, Dollar). Cross-asset correlation is in the top 12% of its 5y range: stacking these views is doubling one liquidity/risk exposure, not diversifying.CONCENTRATED — 3 of 6 markets are one bet (US, Commodities, Dollar). Cross-asset correlation is in the top 12% of its 5y range: stacking these views is doubling one liquidity/risk exposure, not diversifying.
US is leading HK by ~1 day (r=+0.34, HAC t=+4.7, FDR q=0.0). US leads 2 markets. Unstable across the prior window — treat as tentative.US is leading HK by ~1 day (r=+0.34, HAC t=+4.7, FDR q=0.0). US leads 2 markets. Unstable across the prior window — treat as tentative.
| leader → follower领先 → 滞后 | lag滞后 | r | HAC tHAC t | FDR qFDR q |
|---|---|---|---|---|
| US → HK | 1d | +0.34 | +4.7 | 0.0 |
| Crypto → HK | 1d | +0.30 | +4.5 | 0.0 |
| Dollar → HK | 1d | +0.29 | +4.4 | 0.0 |
| US → China | 1d | +0.24 | +3.2 | 0.0563 |
Lead/lag = mean of z_follower(t)·z_leader(t−k), Newey-West (HAC) t-stat, Benjamini-Hochberg FDR across all ordered pairs×lags. Daily lead/lag is noisy and partly timezone-driven (the US closes before Asia opens) — a transmission/regime gauge, NOT a tradeable hedge ratio.Lead/lag = mean of z_follower(t)·z_leader(t−k), Newey-West (HAC) t-stat, Benjamini-Hochberg FDR across all ordered pairs×lags. Daily lead/lag is noisy and partly timezone-driven (the US closes before Asia opens) — a transmission/regime gauge, NOT a tradeable hedge ratio. Validation: scripts/cross_asset_leadlag_phase0.py — only timezone lag-1 links are split-half stable.验证：scripts/cross_asset_leadlag_phase0.py — 仅时区滞后1日链路两半稳定。
Cross-asset trend = time-series momentum (sign of trailing return), the canonical managed-futures factor — shown as a REGIME read, not a buy list. AQR's gross Sharpe is contested; the validated, after-cost number is in reports/cross-asset-phase0.md. Carry & ratios are current-state context.Cross-asset trend = time-series momentum (sign of trailing return), the canonical managed-futures factor — shown as a REGIME read, not a buy list. AQR's gross Sharpe is contested; the validated, after-cost number is in reports/cross-asset-phase0.md. Carry & ratios are current-state context. Generated生成于 2026-07-17 17:04 UTC. Source: engine/cross_asset_trend.py + the cross-asset correlation leaf, over keyless price stores. Validation: scripts/cross_asset_phase0.py.来源：engine/cross_asset_trend.py 及跨资产相关性叶子模块，覆盖无密钥价格库。验证：scripts/cross_asset_phase0.py。