Quant Lab — advanced analytics量化实验室 — 进阶分析

See how AI names compare with everyone else.查看 AI 相关个股与其他个股相比如何。 ?How many AI-linked names sit above their 50-day trend versus everyone else. Display only — not a signal.有多少 AI 相关个股站上 50 日均线，对比其他个股。仅供展示，不是信号。

AI-linked names lagging while the rest holds upAI 相关个股落后，非 AI 板块相对支撑

Cross-asset concentration — are the six markets one bet?跨资产集中度 — 六大市场是否同一笔押注？ ?How much the six markets (US equity, crypto, China, HK, commodities, the dollar) are really moving as ONE risk/liquidity bet vs independent bets. The absorption ratio is the share of total variance explained by the single dominant factor: 1/6≈0.17 means independent, →1 means everything moves together (a fragile, crowded regime that has historically preceded drawdowns). Stacking correlated views feels like diversification but doubles one exposure.六大市场（美股、加密货币、中国、香港、大宗商品、美元）在多大程度上其实是同一笔风险／流动性押注，而非独立押注。吸收比率是单一主导因子所解释的总方差占比：1/6≈0.17 表示独立，→1 表示一切同向（脆弱、拥挤的状态，历史上常先于回撤出现）。叠加相关的观点感觉像分散，实则在加倍同一笔敞口。

DIVERSIFIED

the 6 markets are moving largely independently (correlation in the bottom 28% of its 5y range); separate views are genuinely separate bets.

Correlation matrix (63-day, risk-on-oriented)相关性矩阵（63日，按风险偏好定向）

	US	Crypto	China	HK	Commodities	Dollar
US	1.00	0.36	0.02	0.03	0.50	0.24
Crypto	0.36	1.00	0.10	0.28	0.25	0.36
China	0.02	0.10	1.00	0.40	0.13	-0.11
HK	0.03	0.28	0.40	1.00	0.20	-0.01
Commodities	0.50	0.25	0.13	0.20	1.00	0.16
Dollar	0.24	0.36	-0.11	-0.01	0.16	1.00

Absorption ratio = PC1 variance share (Kritzman-Page 2010): high/rising absorption marks a fragile one-factor regime that has historically led drawdowns. Daily closes across US/Asia/24-7 crypto carry a timezone lead/lag — a coarse regime gauge, not a hedge ratio.

Risk budgeting across the six markets六大市场的风险预算 ?If you expressed all six market views as one book, how should they be weighted? Equal-weight (1/6 each), inverse-vol (more in the calm markets), and equal-risk-contribution (ERC — each market contributes the SAME share of portfolio risk). The 'risk' column is each market's share of total portfolio variance: equal-weight quietly concentrates risk in the most volatile market; ERC equalizes it. This is the honest 'size as uncorrelated bets' weighting — a reference, not a trade list.若把全部六个市场观点合成一个组合，该如何配权？等权（各 1/6）、逆波动率（在平静市场配得更多），以及等风险贡献（ERC — 每个市场对组合风险贡献相同份额）。'风险'列是各市场对组合总方差的占比：等权会悄悄把风险集中在波动最大的市场；ERC 将其均衡。这是诚实的'按不相关押注定量'配权 — 仅作参考，非交易清单。

Equal-weighting all 6 market views puts 36% of portfolio RISK in one market (vs 17% if truly balanced); ERC rebalances to ~equal risk (heaviest weight: Dollar 0.471). Diversification ratio 1.67.

market市场	EW wt权重	IV逆波	ERC	EW riskEW风险
US	17%	17%	14%	12%
Crypto	17%	6%	6%	36%
China	17%	11%	12%	14%
HK	17%	12%	13%	12%
Commodities	17%	9%	8%	24%
Dollar	17%	45%	47%	3%

Diversification ratio分散化比率: EW 1.59 · ERC 1.67 (higher = more genuine diversification越高 = 越真实的分散化). Equal-weight puts等权将 36% of risk in one market; ERC caps each at的风险放在一个市场；ERC 将每个限制在 ~17%.

Crisis stress replay危机压力回放 ?What an equal-weight book of the then-available markets would have done through past crises. The point: in a stress everything correlates toward 1, so the 'diversified' six-view book still craters — the tail cost of the concentration the absorption ratio flags in calm times.等权持有当时可用市场的组合在过去危机中的表现。要点：在压力中一切相关性趋于 1，因此'分散'的六观点组合依然崩塌 — 这正是吸收比率在平静期所警示的集中度的尾部代价。

crisis危机	book组合	max DD最大回撤	worst最差
2008 GFC	-30.8%	-38.8%	Commodities -46.4%
2015-16 China	-4.4%	-11.6%	HK -23.2%
2018 Q4	-14.2%	-14.7%	Crypto -43.5%
2020 COVID	-6.1%	-20.9%	Crypto -14.6%
2022 bear	-28.6%	-29.0%	Crypto -55.7%

Factor IC scorecard — leak-free (point-in-time)因子 IC 记分卡 — 无前视（时点） ?Each equity factor's Information Coefficient: the cross-sectional rank correlation of its score vs forward returns, per quarter, built point-in-time (EDGAR as-of fundamentals + prices truncated to the date) so no factor ever sees a not-yet-filed report. IC-IR is mean/vol (the signal-to-noise); t_HAC is a Newey-West t-stat (overlapping windows autocorrelate); q_FDR is the Benjamini-Hochberg false-discovery rate ACROSS the factor panel. Judge survivors vs ~0 — post point-in-time fix the spreads are honestly weak.每个股票因子的信息系数：其分数对未来回报的横截面秩相关，按季度、以时点方式构建（EDGAR 截至日基本面 + 截断至当日的价格），因此任何因子都不会看到尚未提交的报表。IC-IR 是均值／波动（信噪比）；t_HAC 是 Newey-West t 统计量（重叠窗口存在自相关）；q_FDR 是跨因子面板的 Benjamini-Hochberg 错误发现率。以约 0 来评判幸存者 — 时点修正后价差确实偏弱。

Span区间 2011-03-31..2025-12-31 · 60 quarterly rebalances · forward次季度再平衡 · 前瞻 63d · ~1154 names只股票.

factor因子	mean IC平均IC	IC-IR	t_HAC	q_FDR	hit命中	survives FDR?通过FDR？
value	0.0184	0.223	2.006	0.247	0.55	no
profitability	0.0141	0.12	0.82	0.9309	0.55	no
quality	0.0042	0.073	0.564	0.9309	0.533	no
investment	-0.0029	-0.036	-0.288	0.9456	0.5	no
payout	0.0247	0.298	2.723	0.0715	0.583	✓
low_vol	-0.0209	-0.093	-0.742	0.9309	0.467	no
low_beta	-0.0151	-0.063	-0.535	0.9309	0.533	no
accruals	0.007	0.099	0.729	0.9309	0.55	no
sue	0.0006	0.009	0.065	0.9482	0.517	no
composite	-0.0072	-0.049	-0.396	0.9456	0.45	no
composite_orth	0.0024	0.015	0.124	0.9482	0.483	no

Factor overlap因子重叠: mean |corr|平均|相关| 0.137 raw →原始 → 0.055 orthogonalized. Most-correlated:正交化后。相关性最高： low_vol↔low_beta (0.74); quality↔accruals (0.71)

Deep ~2011-2026 re-test on a SURVIVORSHIP-BIASED price panel: delisted names are absent (yahoo serves only currently-listed), so this is an OPTIMISTIC bound — a clean test needs delisting-recovered prices. FINRA short-interest is omitted (no point-in-time history). Fundamentals stay point-in-time from the EDGAR panel. Compare to the shallow 2023-2025 read: factors that survived on ~2.5y (notably SUE) weaken on deep history. Point-in-time (EDGAR panel + prices truncated to asof); IC = quarterly cross-sectional rank corr of factor z vs forward return; t_hac = Newey-West; q_fdr = Benjamini-Hochberg across the factor panel. Survivors judged vs ~0.

The two dials behind the regime周期背后的两个刻度盘 ?The regime label comes from two scores between -1 and +1, built from market prices (which lead) plus a small weight on economic data (which confirms).周期标签来自两个介于 -1 与 +1 之间的分数，由市场价格（领先）加上经济数据（确认）的小幅权重构建。

Growth:增长： RISING上行 (+0.13 of ±1 · agreement／±1 · 一致度 8%)

Inflation pressure:通胀压力： RISING上行 (+0.28 of ±1 · agreement／±1 · 一致度 19%)

What's voting for this regime哪些指标在为此周期投票

Weakest link最薄弱环节

Watch the copper-vs-gold price trend (a classic growth-expectations gauge) — of everything supporting the current call, it's the one closest to flipping sides. If it fades, the growth dial (and possibly the regime) goes with it.关注 the copper-vs-gold price trend (a classic growth-expectations gauge) — 在支撑当前判断的所有因素中，它最接近翻转。若其转弱，growth 刻度（乃至周期）也会随之改变。

Does the market agree with the regime?市场是否认同此周期？

tape disagrees with framework-preferred sectors — treat as a transition signal

Market internals — risk appetite gauges市场内部结构 — 风险偏好计 ?Simple ratios between two assets; each answers a question about investor mood. Direction over the last 20 days matters more than the level.两类资产之间的简单比率；每一个都回答一个关于投资者情绪的问题。过去 20 天的方向比绝对水平更重要。

gauge指标	past month过去一月	what it's saying它在说什么
Shoppers: wants vs needs购物者：想要 vs 必需 ?Consumer-discretionary stocks vs consumer-staples stocks. Rising = people are buying TVs and vacations, not just groceries — confidence. Falling = belt-tightening.可选消费股 vs 必需消费股。上升 = 人们在买电视和度假，不只是买杂货 — 信心。下降 = 勒紧裤带。Consumer-discretionary stocks vs consumer-staples stocks. Rising = people are buying TVs and vacations, not just groceries — confidence. Falling = belt-tightening.可选消费股 vs 必需消费股。上升 = 人们在买电视和度假，不只是买杂货 — 信心。下降 = 勒紧裤带。	-2.72%	consumers cautious消费者谨慎
Tech vs utilities科技 vs 公用事业 ?The market's boldest sector vs its sleepiest. Rising = growth appetite; falling = safety-seeking.市场最大胆的板块 vs 最沉闷的板块。上升 = 增长偏好；下降 = 寻求安全。The market's boldest sector vs its sleepiest. Rising = growth appetite; falling = safety-seeking.市场最大胆的板块 vs 最沉闷的板块。上升 = 增长偏好；下降 = 寻求安全。	-12.24%	safety-seeking寻求安全
Junk bonds vs quality bonds垃圾债 vs 优质债 ?Risky-company bonds vs blue-chip bonds. Rising = credit investors relaxed; falling = they're getting picky — often an early warning.高风险公司债 vs 蓝筹债。上升 = 信用投资者放松；下降 = 他们开始挑剔 — 往往是早期预警。Risky-company bonds vs blue-chip bonds. Rising = credit investors relaxed; falling = they're getting picky — often an early warning.高风险公司债 vs 蓝筹债。上升 = 信用投资者放松；下降 = 他们开始挑剔 — 往往是早期预警。	-1.24%	credit getting picky信用趋于挑剔
Daring vs defensive stocks进取股 vs 防御股 ?The most volatile S&P stocks vs the calmest. The purest read on whether fund managers are playing offense or defense.标普中波动最大的股票 vs 最平稳的股票。最纯粹地反映基金经理在打进攻还是防守。The most volatile S&P stocks vs the calmest. The purest read on whether fund managers are playing offense or defense.标普中波动最大的股票 vs 最平稳的股票。最纯粹地反映基金经理在打进攻还是防守。	-12.71%	playing defense打防守
Panic gauge (now vs later)恐慌指标（现在 vs 之后） ?Near-term fear vs 3-month fear. Rising toward 1.0 = stress building right now; comfortably below 0.9 = calm.近期恐慌 vs 3个月恐慌。升向1.0 = 压力正在累积；稳稳低于0.9 = 平静。Near-term fear vs 3-month fear. Rising toward 1.0 = stress building right now; comfortably below 0.9 = calm.近期恐慌 vs 3个月恐慌。升向1.0 = 压力正在累积；稳稳低于0.9 = 平静。	+0.66%	near-term stress building近期压力累积
Copper vs gold铜 vs 黄金 ?The economist's metal vs the doomsday metal. Rising = bets on real economic activity; falling = safety-seeking. Historically leads bond yields.经济学家的金属 vs 末日金属。上升 = 押注真实经济活动；下降 = 寻求安全。历史上领先债券收益率。The economist's metal vs the doomsday metal. Rising = bets on real economic activity; falling = safety-seeking. Historically leads bond yields.经济学家的金属 vs 末日金属。上升 = 押注真实经济活动；下降 = 寻求安全。历史上领先债券收益率。	+5.92%	growth optimism增长乐观

US equity — size & style美股 — 规模与风格 ?Is the advance broad or narrow? Small/mid caps vs the S&P 500; growth vs value style rotation. Direction over the last 20 trading days.上涨是广泛还是狭窄？小／中盘对标普500；成长对价值的风格轮动。看过去20个交易日的方向。

lens维度	past month过去一月	what it's saying它在说什么
Small caps vs large小盘对大盘 ?Russell 2000 vs S&P 500 (IWM/SPY)罗素2000 对 标普500 (IWM/SPY)Russell 2000 vs S&P 500 (IWM/SPY)罗素2000 对 标普500 (IWM/SPY)	+1.08%	small caps leading — broadening, risk-on小盘领先 — 扩散、风险偏好
Mid caps vs large中盘对大盘 ?S&P MidCap 400 vs S&P 500 (IJH/SPY)标普中盘400 对 标普500 (IJH/SPY)S&P MidCap 400 vs S&P 500 (IJH/SPY)标普中盘400 对 标普500 (IJH/SPY)	+1.35%	mid caps leading — broadening中盘领先 — 扩散
Growth vs value成长对价值 ?Russell 1000 Growth vs Value (IWF/IWD). Style rotation: growth tends to lead in disinflation/slowdowns, value in reflation.罗素1000 成长 对 价值 (IWF/IWD)。风格轮动：成长在去通胀/放缓中领先，价值在再通胀中领先。Russell 1000 Growth vs Value (IWF/IWD). Style rotation: growth tends to lead in disinflation/slowdowns, value in reflation.罗素1000 成长 对 价值 (IWF/IWD)。风格轮动：成长在去通胀/放缓中领先，价值在再通胀中领先。	-8.30%	value leadership价值领先

Small-cap participation小盘参与度: 46% of S&P 600 vs的标普600 对 59% for the S&P 500的标普500 — small caps lagging large caps — narrow, mega-cap-led advance (more fragile)小盘落后于大盘 — 狭窄、由超大盘主导的上涨（更脆弱）.

Accumulation watch — sector ETFs增持监测 — 板块 ETF ?Each sector SPDR's top weights, with the part of the weight change beyond what price alone explains ('active'). On passive ETFs this is index reconstitution / float-weight flow, not manager conviction. Uncalibrated until more snapshots accrue.每只板块 SPDR 的主要权重，以及权重变动中超出价格本身所能解释的部分（'主动'）。在被动 ETF 上这是指数再平衡／流通权重资金流，而非经理人信念。在积累更多快照前未经校准。

stock个股	active Δwt主动权重Δ	est. flow估算资金流	technical技术面
PG XLP	-0.04pp	−$7M	NEARING A HIGH接近高点
ABBV XLV	-0.04pp	−$20M	NEARING A HIGH接近高点
WELL XLRE	+0.04pp	+$3M	UNCONFIRMED TURN未确认转向
META XLC	+0.03pp	+$8M	NEARING A LOW接近低点 ✅
EOG XLE	-0.03pp	−$12M	UPTREND上涨趋势
PLD XLRE	+0.03pp	+$2M	DOWNTREND下跌趋势
AMT XLRE	+0.03pp	+$2M	BOTTOMING筑底中 ✅
LOW XLY	-0.02pp	−$5M	UPTREND上涨趋势
CL XLP	-0.02pp	−$3M	UPTREND上涨趋势
PSA XLRE	+0.02pp	+$2M	UPTREND上涨趋势 ✅
O XLRE	+0.02pp	+$2M	UNCONFIRMED TURN未确认转向
VTR XLRE	+0.02pp	+$2M	UNCONFIRMED TURN未确认转向

Star fund managers' real moves & ETF money flows明星基金经理的真实动作与 ETF 资金流 ?Daily holdings of watchlist funds (ARK etc.) with mechanical flow stripped out, plus daily money in/out of each sector ETF. History builds from June 2026.观察名单基金（ARK 等）的每日持仓（已剔除机械性资金流），以及每个板块 ETF 的每日资金进出。历史自 2026 年 6 月起累积。

fund基金	stock个股	sector板块	weight权重	conviction Δwt信念权重Δ	technical技术面
UFO	SPCX Space Exploration Technologies Corp	SpaceSpace	15.93%	+10.75pp	—
MEME	MRNA Moderna Inc	Health Care医疗保健	9.04%	+9.04pp	BOTTOMING筑底中 ✅
MEME	APLD Applied Digital Corp	Meme / Retail迷因股／散户	8.97%	+8.97pp	—
EMET	GMEXICOB MM Grupo Mexico Sab De Cv	Copper / ElectrificationCopper / Electrification	8.11%	+8.11pp	—
BETZ	ALWN GA Allwyn Ag	Sports BettingSports Betting	11.60%	+7.93pp	—
SILJ	CDE Coeur Mining Inc.	Materials原材料	10.72%	+7.69pp	—
CTEC	TT Trane Technologies Plc	Industrials工业	7.00%	+7.00pp	UNCONFIRMED TURN未确认转向
WGMI	CRWV Coreweave, Inc.	Bitcoin MinersBitcoin Miners	7.14%	+6.29pp	—
PSI	TXN Texas Instruments Inc	Information Technology信息技术	6.25%	+6.25pp	NEARING A HIGH接近高点
CTEC	ETN Eaton Corp Plc	Industrials工业	6.19%	+6.19pp	DOWNTREND下跌趋势
CTEC	GEV Ge Vernova Inc	Industrials工业	6.12%	+6.12pp	DOWNTREND下跌趋势
WGMI	NBIS Nebius Group N.V.	Bitcoin MinersBitcoin Miners	8.07%	+6.06pp	—

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