AEGIS China ETF — Incubator

Parallel track to the AEGIS stock-picker strategy. Applies the same Fiedler λ₂ regime gate + V3.7 entropy signal to 9 CSI sector ETFs, providing direct large-cap market access. Signals 1-day lagged (LOOKAHEAD CLEAN). No CCAD — China regime determined independently from US markets. Backtest: — Sharpe | — CAGR vs CSI 300 B&H — max drawdown.

Sharpe Ratio

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4.9y full backtest

CAGR

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Ann. Vol: —

Max Drawdown

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Calmar: —

CSI 300 B&H Sharpe

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CSI 300 MaxDD: —

Current Regime

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As of —

Equity Exposure

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Fiedler λ₂: —

Equity Curve — Full Backtest History (2021 – present)

ETF Track (AEGIS V3.7-ETF)

Stock Track (AEGIS V3.7)

CSI 300 B&H

⚙️ ETF Universe

ETF	Name	Sector
510300.SS	CSI 300 ETF	Core
510500.SS	CSI 500 ETF	Core Mid
512760.SS	STAR Chip ETF	Technology
512010.SS	CSI Healthcare	Healthcare
512660.SS	CSI Defense ETF	Defense
510880.SS	CSI Dividend / Finance	Financials
159845.SZ	CSI New Energy ETF	NewEnergy
159967.SZ	CSI Semiconductor	Semis
159766.SZ	CSI Consumer ETF	Consumer

🧠 Strategy Design

L1 — Regime Gate
Fiedler λ₂ of China theme correlation graph. 4 regimes: BROADENING / ROTATION / CONCENTRATION / CRISIS. Hysteresis + min-hold classifier prevents excessive switching.

L2 — Sector Tilt
Regime-dependent sector preference. ROTATION → cyclical (Defense, Finance, NewEnergy). CONCENTRATION → momentum (Tech, Semis, Healthcare). CRISIS → core only (CSI300/500).

L3 — Sigmoid Exposure
V3.7 entropy-augmented z-score → sigmoid scaling of total equity exposure (5%–95%). 5% per-ETF trailing stop; CSI 300 fallback on breach.

Cost Model
5 bps per trade. Rebalance: weekly. Bucket cap enforced.

ETF Track (AEGIS V3.7-ETF)

Sharpe

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CAGR

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MaxDD

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Calmar

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Stock Track (AEGIS V3.7)

Sharpe

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CAGR

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Small/mid-cap stock-picker track

CSI 300 B&H

Sharpe

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MaxDD

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Passive benchmark

Full Equity Curve — Cumulative Return (base 1.0)

ETF Track

Stock Track

CSI 300 B&H

🔍 Audit Notes

Look-ahead bias	CLEAN — signals 1-day lagged
CCAD overlay	NOT USED — China regime independent from US Mega-7
Survivorship bias	CLEAN — ETF universe fixed at inception
Cost model	5 bps per trade, weekly rebalance
Trailing stop	5% per-ETF; CSI 300 fallback on breach
Paper AUM	¥100M CNY · Inception 2026-03-07

Current Regime

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As of —

Equity Exposure

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Sigmoid of z-score

Fiedler λ₂

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China theme graph

Avg Correlation

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Theme pair avg

🗺️ Regime Map

BROADENING All sectors accessible — full diversification, max exposure

ROTATION Cyclical tilt: Defense, Finance, NewEnergy, Consumer

CONCENTRATION Momentum tilt: Tech, Semis, Healthcare, Core_Mid

CRISIS Defensive: Core only (CSI300 + CSI500), reduced exposure

📊 z-score → Exposure

Signal z-score drives sigmoid exposure scaling:

exposure = sigmoid(z) ∈ [5%, 95%]

z > +1 → 73%+ exposure (bull signal)
z ≈ 0 → 50% baseline
z < −1 → <27% exposure (bear signal)
CRISIS → capped at 30% regardless

Fiedler λ₂ — 90-day

Equity Exposure — 1-Year History

Holdings Date

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Active ETFs

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Current Regime

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Equity Exposure

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💼 Current ETF Portfolio

Ticker	Name	Sector	Target Weight	Sector Color
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