Credit Carry信用套息
Harvest the high-yield carry; rotate to Treasuries before the default cycle claws it back.收割高收益债票息；在违约周期吞噬之前轮动至国债。
As of截至 Oct 22, 2026 · High-yield credit (TR)高收益信用债（总回报） · current income当前票息 ~7.02%
Backtest window回测窗口
Jun 19, 2023 → Oct 22, 2026 (3.3y)
⚗ Experimental — display-only (Phase-0)实验性 — 仅展示（Phase-0）
A drawdown / Sharpe engine — not a yield-maximizer回撤 / 夏普引擎 — 并非收益最大化工具
Recommended allocation right now当前建议仓位
High-yield credit (TR)高收益信用债（总回报）66%
Treasuries国债34%
High-yield credit (TR)高收益信用债（总回报）
Treasuries国债 (cash carry现金套息)
Last change上次调整: 2026-07-22 — 100% → 66%
Current income blends the risk-asset yield (when invested) with the cash-leg yield (when de-risked).当前票息为风险资产收益（在场时）与现金腿收益（降险时）的加权。
Credit stress信用压力 score评分 (0–100)
53
Watch — trim关注 — 减仓
Higher = more risk-off. The score sets the risk-asset weight via graded bands (below), with a 5-day debounce to cut whipsaw.分数越高越偏避险。该分数通过分级区间（见下）设定风险资产权重，并有 5 日缓冲以抑制频繁换仓。
What is driving the score分数由什么驱动
Each leg adds points to the 0–100 score (renormalised weighted mean). The bar is the current score, split by contribution.各分项为 0–100 分数贡献分值（归一化加权平均）。下方进度条为当前分数，按贡献拆分。
Filled width = the score out of 100. Empty = headroom (calm).填充宽度 = 满分100中的得分。空白 = 余量（平静）。
| Signal leg信号分项 | Intensity强度 | Weight权重 | Pub lag发布滞后 | Points贡献分 |
|---|
| Credit stress (HY-OAS widening)信用压力（高收益利差走阔） |
87/100 |
1.0 |
3d |
34.8 |
| Recession risk衰退风险 |
4/100 |
1.0 |
22d |
1.5 |
| Equity vol-risk premium (risk-off)股票波动风险溢价（避险） |
82/100 |
0.5 |
3d |
16.5 |
| Composite score综合分数 | | | | 53 |
The strategy in action · benchmark with the model on top策略实战 · 基准叠加模型
Green = fully invested, amber = trimmed, clear = defensive. ▲/▼ mark every allocation change. The strategy equity (blue) is rescaled onto the benchmark axis so you can read protection vs participation directly.绿色 = 满仓，琥珀 = 减仓，空白 = 防守。▲/▼ 标注每次仓位变动。策略净值（蓝）已缩放至基准轴，可直接对比保护与参与度。
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
Honest framing: this does NOT reliably beat buy-and-hold on CAGR — sitting in the cash leg through stress gives up some carry. The edge is the higher Sharpe and the much shallower max drawdown: it times the LEFT TAIL that destroys the yield (the recession/credit/rate shock), not the yield itself.诚实说明：本策略在年化收益上并不稳定跑赢买入持有 —— 压力期退守现金腿会让出部分套息。优势在于更高的夏普与明显更浅的最大回撤：它择时的是吞噬收益的左尾（衰退/信用/利率冲击），而非收益本身。
Backtest scorecard · 3.3 years vs buy & hold回测记分卡 · 3.3 年对比买入持有
CAGR
5.92%
buy & hold买入持有 7.21%
Sharpe
2.52
buy & hold买入持有 2.01
Max drawdown最大回撤
-2.4%
buy & hold买入持有 -3.8%
Time invested在场时间
99.9%
2.21x turnover/yr换手/年
Sortino
3.19
buy & hold买入持有 2.67
Income yield now当前票息
7.02%
blended risk-asset + cash风险资产 + 现金加权
Deflated Sharpe贬值夏普
0.9987
multiple-testing haircut多重检验折减 · n=8
After-tax CAGR (taxable, 35%)税后年化（应税，35%）
3.83%
buy & hold买入持有 7.21% ·
cum. tax累计税 0.06×
Cash-sleeve contribution现金仓位贡献
+1.34pp
CAGR without it不含该部分年化
4.57% ·
Treasuries国债 yield while de-risked降险期间收益
The rule-book · risk band → weight规则手册 · 风险区间 → 权重
| Risk band风险区间 | Score分数 | High-yield credit (TR)高收益信用债（总回报） weight权重 | Treasuries国债 |
|---|
| Calm — fully invested平静 — 满仓 |
< 25 |
100% |
0% |
| Watch — trim关注 — 减仓 ◀ |
25–50 |
66% |
34% |
| Stress — de-risk压力 — 降险 |
50–75 |
33% |
67% |
| Defensive — all cash防守 — 全现金 |
≥ 75 |
0% |
100% |
A new band must hold 5 trading days before it takes effect (hysteresis kills whipsaw). Bands and leg weights are pre-registered, not tuned per result.新区间须连续保持 5 个交易日才生效（滞后机制抑制频繁换仓）。区间与分项权重为预先登记，非按结果调参。
Independent bear episodes · the true sample size独立熊市事件 · 真实样本量
| Peak峰值 | Trough谷底 | Buy & hold drawdown买入持有回撤 |
|---|
| No independent ≥20% bear in the available history.可用历史中无独立的 ≥20% 熊市。 |
A handful of independent ≥20% bears govern a get-out / get-back-in switch — effective-N, not the day count, bounds confidence. Full leave-one-crisis-out validation is a fast-follow.少数几次独立的 ≥20% 熊市决定一次离场/再入场切换 — 决定置信度的是有效样本量，而非天数。完整的留一危机验证为后续跟进。
Experimental — display-only, not a scored signal. The Phase-0 study (reports/credit-carry-phase0.md) found the drawdown control held up across past credit crises but did NOT beat a naive 200-day trend on high yield. The scorecard above covers only the backtest window printed at the top of this page. Benchmark = ICE BofA US High Yield total-return index when we hold it, otherwise HYG's dividend-adjusted close. Not investment advice.实验性 — 仅展示，非评分信号。Phase-0 研究（reports/credit-carry-phase0.md）发现其回撤控制在以往信用危机中均成立，但在高收益债上并未跑赢朴素 200 日趋势。上方记分卡仅覆盖本页顶部所示的回测窗口。基准 = ICE BofA 美国高收益总回报指数（如有），否则为 HYG 经分红调整收盘价。非投资建议。