← Strategies策略
★ Flagship strategy旗舰策略 · Moderate均衡
⚖️ China Mastermind — Moderate中国操盘大师 — 均衡
Balanced China GTAA — the full A-share + bond + gold + metals book, lightly levered to the highest-conviction sleeves; aims to beat CSI 300 on risk-adjusted return with a far shallower drawdown.均衡型中国全球配置——A 股＋国债＋黄金＋有色的完整组合，对最高信念的资产轻杠杆；力求在风险调整后收益上跑赢沪深300，回撤浅得多。
CAGR9.93%vs对比 CSI 300沪深300 7.31%
Sharpe1.15B&H买持 0.44 · 2.6×
Max drawdown最大回撤-12.1%B&H买持 -45.5%
Leverage now当前杠杆0.96xavg平均 0.93x · 13.0y
Capital preservation资本保全Maximum growth增长最大化
⚗ Experimental — under validation实验性 — 验证中
Active · vol-targeted · leverage-capable主动 · 波动率目标 · 可加杠杆
As of截至 2026-07-17
How this strategy works本策略如何运作
Every China Mastermind profile runs the SAME engine. It scores the six Mainland-investible assets on a每个中国操盘大师风险档都运行同一台引擎。它用一个 regime-led four-factor conviction体制主导的四因子信念 — but unlike the US flagship it DOWN-weights price trend (A-shares mean-revert and whipsaw trend timers) and leans hardest on a price-orthogonal credit / volatility / margin regime. It sizes by risk, scales the book to a target volatility, and rebalances weekly. The three profiles differ ONLY in how much risk they target and how much leverage they use — same signals, three risk dials.为六个境内可投资产打分——但与美国旗舰不同，它下调价格趋势的权重（A 股均值回归、会让趋势择时反复打脸），转而最重地依靠与价格正交的信用／波动率／融资体制。它按风险定仓，将组合缩放至目标波动率，并每周再平衡。三个档位之间唯一的差别，是它们瞄准多大的风险、使用多大的杠杆——相同信号，三档风险旋钮。
① The four conviction factors四个信念因子 · what makes an asset attractive, and how much each one counts决定资产吸引力的因素，以及各自的权重
🚦40%
Regime体制
the China engine中国引擎
The largest weight and the China-specific heart of the book — a price-orthogonal de-risk signal from three slow, fundamentals-based gauges: the credit impulse (TSF), retail margin-leverage euphoria and CSI 300 realized volatility. When they flash risk-off it fades A-shares & metals into govt bonds, dividend and gold. It carries far more weight here (0.40 vs the US flagship's 0.20) because A-shares are driven by the credit cycle and liquidity, not earnings trends.权重最大、也是本组合中国特定的核心——一个与价格正交的降险信号，源自三个慢节奏、基本面驱动的指标：信用脉冲（社融）、散户融资杠杆狂热、以及沪深300已实现波动率。当它们转为风险偏离时，将 A 股与有色减配至国债、红利与黄金。其权重在此远高于美国旗舰（0.40 对 0.20），因为 A 股由信用周期与流动性驱动，而非盈利趋势。
Inputs输入: TSF impulse · margin/float · 21d realized vol社融脉冲 · 融资/流通市值 · 21日已实现波动率
📈30%
Trend趋势
down-weighted here此处降权
Multi-horizon time-series momentum on each asset — is it trending up across the 1-to-12-month lookbacks? It is the workhorse of the US flagship but deliberately DOWN-weighted here (0.30 vs 0.45): A-shares mean-revert and whipsaw naive price-trend timers, so trend is a contributor, not the captain.对每个资产的多周期时间序列动量——在 1 至 12 个月回看窗口中是否上行？它是美国旗舰的主力，但在此被刻意下调权重（0.30 对 0.45）：A 股均值回归、会让朴素的价格趋势择时频繁打脸，因此趋势是贡献者而非主角。
Inputs输入: Price · TSMOM (1–12m)价格 · TSMOM（1–12月）
💰15%
Carry套息
structural tilt结构性倾斜
A steady structural tilt toward the income-bearing, store-of-value sleeves — SSE Dividend, the 5-year China govt bond and onshore gold. China lacks a clean tradable yield-curve series for a time-varying carry leg, so this is a constant lean toward the diversifiers rather than a live yield signal.对生息、价值储藏型资产的稳定结构性倾斜——上证红利、5 年期国债与境内黄金。中国缺乏可交易的干净收益率曲线序列以构建时变套息腿，因此这是对分散资产的恒定倾斜，而非实时收益率信号。
Inputs输入: Static tilt: dividend · CGB · gold静态倾斜：红利 · 国债 · 黄金
🔀15%
Cross-asset momentum跨资产动量
ride the leaders追随领先者
Relative 6-month momentum ACROSS the six sleeves — overweight whatever has been leading, underweight the laggards. Captures the rotations between A-shares, bonds, gold and metals that single-asset trend alone misses.六个资产之间的相对 6 个月动量——超配领先者、低配落后者。捕捉 A 股、国债、黄金与有色之间单资产趋势本身会错过的轮动。
Inputs输入: 126-day relative rank126日相对排名
② The investable universe可投资域 · six Mainland-investible assets — A-shares, govt bonds, onshore gold & metals; no crypto, no US treasuries六个境内可投资产——A股、国债、境内黄金与有色；无加密货币、无美债
📈 A-share equityA股股票
CSI 300Broad A-share beta — the benchmarkA股大盘贝塔 — 基准
ChiNextGrowth / high-beta kicker成长 / 高贝塔加速器
💴 Dividend equity红利股票
SSE DividendDefensive high-dividend A-shares — equity carry防御型高股息 A 股 — 股票套息
🏛️ Govt bonds国债
5y CGB ETFChina 5-year govt bond — the duration ballast5年期国债 — 久期压舱石
🪙 Real assets实物资产
Gold (onshore)SGE-linked RMB gold — store of value上海金 RMB 黄金 — 价值储藏
Nonferrous MetalsCopper/aluminium producers — China-holdable cyclical铜/铝生产商 — 境内可投周期品
③ From conviction to position从信念到仓位 · the sizing pipeline, re-run every week每周重跑一次的定仓流程
1🧮Score all six assets 0→1 on the four-factor conviction (regime-led)用四因子信念为全部六个资产打分（0→1，体制主导）
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2⚖️Size by inverse volatility (risk parity) — calmer assets get more按波动率倒数定仓（风险平价）——更平静的资产权重更大
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3🎯Tilt by conviction — the strongest signals are scaled up按信念倾斜——最强信号被加码
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4🧢Cap each name at the profile's per-name limit每个标的设单一上限（按风险档）
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5📐Scale the whole book to the profile's target volatility将整个组合缩放至风险档的目标波动率
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6🔧Cap total leverage, hold one week, repeat — idle cash earns ~1.8%限制总杠杆，持有一周后重复——闲置现金约 1.8%
This profile’s risk dials本档的风险旋钮
The balanced setting: a 9% target volatility, up to 1.3× leverage and a 40% per-name cap. It aims to beat CSI 300's long-run return while taking far less risk to get it — leaning on the credit / vol / margin regime rather than chasing price trend. ⚠️ Basis: prior-set weights (uncalibrated — calibration is a planned fast-follow). Split-half OOS numbers are on hand-set priors over a short, regime-poor A-share sample (~2013–present); at 1.3× leverage any overfit in weights is magnified. Treat the OOS Sharpe / drawdown panel as directional, not precise edge. The flagship default.均衡设定：9% 目标波动率、最高 1.3× 杠杆、40% 单一上限。目标是在承担远更低风险的前提下跑赢沪深300 的长期收益——靠信用／波动率／融资体制而非追逐价格趋势。⚠️ 基础：手设先验权重（尚未校准，校准为近期跟进计划）。半样本外结果基于短周期、体制不充分的 A 股样本（约 2013 年至今）；1.3× 杠杆下，权重过拟合风险被放大。请将 OOS 夏普／最大回撤面板视为方向性参考，而非精确度量。旗舰默认档。
🛟 Conservative保守
Target volatility目标波动率5%
Max leverage最大杠杆1.0x
Per-name cap单一上限35%
Benchmark基准China 40/60中国40/60
⚖️ Moderate均衡THIS本档
Target volatility目标波动率9%
Max leverage最大杠杆1.3x
Per-name cap单一上限40%
Benchmark基准CSI 300沪深300
🚀 Aggressive进取
Target volatility目标波动率15%
Max leverage最大杠杆1.8x
Per-name cap单一上限50%
Benchmark基准CSI 300沪深300
Live regime layer · why the book is positioned this way实时体制层 · 当前持仓为何如此
Risk-off — de-risking风险偏离 — 降险中
Risk-on风险偏好Blended de-risk综合降险 97/100Risk-off风险偏离
As of截至 2026-07-17
The regime layer — the largest single weight at 40% of the conviction — currently reads risk-off (blended de-risk 97/100). The engine is fading A-shares & metals into China govt bonds, dividend and gold, which is why the live book below holds little equity. It leans back in as these gauges normalise.体制层——信念中权重最大的单项（40%）——当前读数为风险偏离（综合降险 97/100）。引擎正将 A 股与有色减配至国债、红利与黄金，这正是下方实时组合几乎不持股票的原因。待这些指标回归正常，它会重新加仓。
Credit impulse信用脉冲45% of layer层内权重
97/100 de-risk降险
Total Social Financing — China's broadest credit aggregate. The 6-month change of credit growth, ranked over 36 months. High = credit is contracting → de-risk.社会融资规模——中国最广义的信用总量。信用增速的6个月变化、按36个月排名。高 = 信用收缩 → 降险。
Source来源: TSF 12m-sum YoY · 6m change · 36m rank社融12月累计同比·6月变化·36月排名
Realized volatility已实现波动率35% of layer层内权重
94/100 de-risk降险
Moreira-Muir: CSI 300's own 21-day realized volatility, ranked over 5 years. Vol is persistent and precedes drawdowns. High = elevated → de-risk.Moreira-Muir：沪深300自身21日已实现波动率、按5年排名。波动率具持续性且先于回撤。高 = 升高 → 降险。
Source来源: CSI 300 21d realized vol · 5y percentile沪深300 21日已实现波动率·5年百分位
Margin euphoria融资狂热20% of layer层内权重
100/100 de-risk降险
Retail margin financing as a share of float market cap, ranked over 5 years (the 2015 bubble top read an extreme). High = leverage euphoria → de-risk.散户融资余额占流通市值比重、按5年排名（2015年泡沫见顶为极值）。高 = 杠杆狂热 → 降险。
Source来源: Margin balance / float mcap · 5y percentile融资余额/流通市值·5年百分位
These are the live de-risk legs, lagged exactly as the book trades them (credit ~1 month, vol & margin 1 day); weights renormalise over whichever legs have data. Display-only — the same gauges already drive the weekly allocation below.以上为实时降险分腿，按组合实际交易的滞后处理（信用约1个月，波动率与融资1天）；权重在有数据的分腿间重新归一化。仅展示——同一组指标已驱动下方的每周配置。
Current allocation当前配置
China 5y Govt Bond5年国债51.8%
SSE Dividend上证红利25.4%
Gold (onshore)黄金16.9%
ChiNext (growth)创业板（成长）2.0%
Gross exposure now当前总敞口: 0.96x · weekly rebalance, vol-targeted每周再平衡，波动率目标
Backtest scorecard回测记分卡 · 13.0y vs对比 CSI 300沪深300
Max DD最大回撤
-12.1%
B&H买持 -45.5%
Avg leverage平均杠杆
0.93x
9.61x turnover/yr换手/年
Net of 3 bps cost + a 1% financing spread on the levered part. The de-risked sleeve earns the T-bill yield.扣除 3 个基点成本 + 杠杆部分 1% 融资利差。降险部分赚取短债收益。
Growth of $1 (log) — vs buy & hold1美元增长（对数）— 对比买入持有
Underwater (drawdown) — vs buy & hold水下回撤 — 对比买入持有
Exposure / leverage over time敞口 / 杠杆走势
The vol-targeted gross exposure. It runs hot in strong, calm trends and light in turmoil — that is how an active book can out-CAGR buy-&-hold without simply taking more risk all the time.波动率目标下的总敞口。在强劲而平静的趋势中加大、在动荡中减小——这正是主动组合能在不始终承担更高风险的情况下跑赢买入持有年化的方式。
Out-of-sample honesty · does the edge hold in both halves?样本外诚实检验 · 优势在两个半段是否成立？
| Window区间 | Strategy CAGR策略年化 | Buy & hold买入持有 | Strategy Sharpe策略夏普 | B&H Sharpe买持夏普 | Beats?跑赢？ |
|---|
| Full sample全样本 | 9.93% | 7.31% | 1.15 | 0.44 | CAGR年化 |
| First half前半段 | 10.77% | 11.61% | 1.3 | 0.58 | ✗ |
| Second half后半段 | 9.1% | 3.21% | 1.02 | 0.27 | ✓ |
The robust, out-of-sample-stable edge is the SHARPE (~2.6× the benchmark) and the drawdown; the full-sample CAGR also beats here, but that part is era-dependent (it does not win in both halves). Risk-adjusted alpha via diversification + the China regime layer — not just more risk.稳健且样本外稳定的优势在于夏普（约为基准 2.6 倍）与回撤；全样本年化在此也跑赢，但该部分取决于时代（并非两个半段都赢）。通过分散与中国体制层实现的风险调整阿尔法——而非单纯承担更高风险。
China multi-asset GTAA, experimental / display-only. Mainland-investible universe = CSI 300 (510300) + ChiNext (159915), SSE Dividend (510880), 5y China govt bond (511010), onshore gold (518880), nonferrous-metals equity (512400). NO crypto, NO US treasuries, NO US stocks. Net of 3 bps cost + 1% financing on the levered part; weekly rebalance; cash earns ~1.8%. Leverage amplifies losses as well as gains. The regime leg leans on China's credit impulse / margin euphoria / realized vol (price-orthogonal, since A-shares whipsaw trend timers). Benchmarks: CSI 300 and a China 40/60 (CSI300/CGB). Priors-based knobs — full Phase-0 + calibration is a fast-follow.中国多资产全球配置，实验性／仅展示。境内可投资产池 = 沪深300（510300）＋创业板（159915）、上证红利（510880）、5年国债（511010）、境内黄金（518880）、有色金属股票（512400）。无加密货币、无美债、无美股。扣除 3 个基点成本 + 杠杆部分 1% 融资；每周再平衡；现金约 1.8%。杠杆同时放大盈亏。体制腿依靠中国的信用脉冲／融资狂热／已实现波动率（与价格正交，因 A 股趋势择时易反复打脸）。基准：沪深300 与中国 40/60（沪深300/国债）。参数为先验设定——完整 Phase-0 与校准为后续跟进。