← Masterminds操盘大师
★ Flagship strategy旗舰策略 · Conservative保守
🛟 Mastermind — Conservative操盘大师 — 保守
Capital-preservation GTAA — diversified, lightly levered; ~1.5× the 60/40 Sharpe at about half the drawdown, for a comparable return.资本保全型全球配置——分散、轻杠杆；夏普约为 60/40 的 1.5 倍、回撤约为其一半，收益相当。
CAGR7.85%vs对比 60/40 (SPY/IEF)60/40（SPY/IEF） 8.36%
Sharpe1.12B&H买持 0.77 · 1.5×
Max drawdown最大回撤-17.3%B&H买持 -31.4%
Leverage now当前杠杆0.61xavg平均 0.78x · 19.2y
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 2026-07-16
How this strategy works本策略如何运作
Every Mastermind profile runs the SAME engine. It scores all nine assets on a每个操盘大师风险档都运行同一台引擎。它用一个 four-factor conviction四因子信念, sizes them by risk, scales the whole book to a target volatility, and rebalances weekly. The three profiles differ ONLY in how much risk they target and how much leverage they will use — same signals, three risk dials.为全部九个资产打分，按风险定仓，将整个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
📈45%
Trend趋势
the workhorse主力引擎
Multi-horizon time-series momentum on each asset — is it in an uptrend across the 1-to-12-month lookbacks? The single most robust, most-replicated edge in all of asset pricing, and the engine's largest weight.对每个资产的多周期时间序列动量——在 1 至 12 个月的回看窗口中是否处于上升趋势？这是整个资产定价中最稳健、被复现最多的优势，也是引擎中权重最大的因子。
Inputs输入: Price · TSMOM价格 · TSMOM
💰20%
Carry套息
get paid to wait持有获酬
The income an asset pays you to hold it: the Treasury yield level for duration, yield + credit spread (OAS) for credit, and minus the real yield for gold — because gold competes with real rates.持有资产所获得的收益：久期看国债收益率水平，信用看收益率 + 信用利差（OAS），黄金取实际收益率的相反数——因为黄金与实际利率相竞争。
Inputs输入: DGS10 · HY OAS · DFII1010年期 · 高收益OAS · 实际收益率
🚦20%
Regime周期
risk-on / risk-off风险偏好
A macro tilt from the dashboard's validated condition gauges — recession & drawdown risk fade equities, credit and copper while favouring Treasuries + gold; the risk-on (RORO) gauge does the reverse. The second-order, regime-conditioning layer.来自仪表盘已验证状态计的宏观倾斜——衰退与回撤风险减配股票、信用与铜，同时偏好国债 + 黄金；风险偏好（RORO）计反向操作。这是二阶的、对周期进行条件化的层。
Inputs输入: Recession · Drawdown · RORO衰退 · 回撤 · RORO
🔀15%
Cross-asset momentum跨资产动量
ride the leaders追随领先者
Relative 6-month momentum ACROSS the nine assets — overweight whatever has been leading, underweight the laggards. Captures the rotations that single-asset trend alone misses.九个资产之间的相对 6 个月动量——超配一直领先的资产、低配落后者。捕捉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 · nine assets across five classes — full cross-asset freedom五大类、九个资产——完全跨资产自由
📈 Equity股票
SPYBroad US market beta美国大盘贝塔
QQQGrowth / long-duration tilt成长 / 长久期倾斜
🏛️ Treasuries国债
IEF7–10y duration7–10年久期
TLT20y+ duration — crash hedge20年+久期 — 崩盘对冲
💵 Credit信用
LQDInvestment-grade投资级
HYGHigh-yield — risk carry高收益 — 风险套息
🪙 Real assets实物资产
GoldReal-rate & inflation hedge实际利率与通胀对冲
CopperGlobal-growth cyclical全球增长周期品
₿ Crypto加密
BitcoinConvex growth (0 weight pre-2014)凸性增长（2014年前权重为0）
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 every asset 0→1 on the four-factor conviction用四因子信念为每个资产打分（0→1）
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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, then hold one week and repeat限制总杠杆，持有一周后重复
This profile’s risk dials本档的风险旋钮
The risk dials are turned all the way down: a low 7% target volatility, barely any leverage (1.2× cap), and a tight 30% per-name limit force broad diversification. The goal is not to win the bull market — it is to compound through every regime with a fraction of the drawdown, beating a classic 60/40 portfolio on risk-adjusted terms.风险旋钮全部调到最低：7% 的低目标波动率、几乎不加杠杆（1.2× 上限）、以及 30% 的严格单一上限，强制广泛分散。目标不是在牛市中获胜——而是以极小的回撤穿越每一种周期复利增长，在风险调整后跑赢经典的 60/40 组合。
🛟 Conservative保守THIS本档
Target volatility目标波动率7%
Max leverage最大杠杆1.2x
Per-name cap单一上限30%
Benchmark基准60/4060/40
⚖️ Moderate均衡
Target volatility目标波动率12%
Max leverage最大杠杆1.6x
Per-name cap单一上限40%
Benchmark基准S&P 500标普500
🚀 Aggressive进取
Target volatility目标波动率22%
Max leverage最大杠杆2.5x
Per-name cap单一上限55%
Benchmark基准S&P 500标普500
Current allocation当前配置
S&P 500标普50012.2%
Nasdaq 100纳指10012.2%
IG credit投资级信用12.2%
High-yield credit高收益信用12.2%
Copper铜11.7%
Gross exposure now当前总敞口: 0.61x · weekly rebalance, vol-targeted每周再平衡，波动率目标
Backtest scorecard回测记分卡 · 19.2y vs对比 60/40 (SPY/IEF)60/40（SPY/IEF）
Max DD最大回撤
-17.3%
B&H买持 -31.4%
Avg leverage平均杠杆
0.78x
8.44x 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 | 7.85% | 8.36% | 1.12 | 0.77 | |
| First half前半段 | 6.73% | 6.76% | 1.0 | 0.62 | ✗ |
| Second half后半段 | 8.99% | 9.98% | 1.24 | 0.93 | ✗ |
The robust, out-of-sample-stable edge is the SHARPE (~1.5× 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). This is genuine risk-adjusted alpha, levered — not just more risk.稳健且样本外稳定的优势在于夏普（约为基准 1.5 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）。这是真实的风险调整阿尔法加杠杆——而非单纯承担更高风险。
Multi-asset GTAA, experimental / display-only. Universe = SPY/QQQ, IEF/TLT, LQD/HYG, gold + copper, BTC (book starts 2007, BTC weight 0 before 2014). Net of 3 bps cost + 1% financing on the levered part; weekly rebalance. Leverage amplifies losses as well as gains. Benchmarks: the S&P 500 and a 60/40 (SPY/IEF). Full Phase-0 is a fast-follow.多资产全球配置，实验性 / 仅展示。资产池 = SPY/QQQ、IEF/TLT、LQD/HYG、黄金 + 铜、BTC（组合自 2007 年起，2014 年前 BTC 权重为 0）。扣除 3 个基点成本 + 杠杆部分 1% 融资；每周再平衡。杠杆会同时放大盈亏。基准：标普500 与 60/40（SPY/IEF）。完整 Phase-0 为后续跟进。