可解释的制度感知投资
Explainable Regime Aware Investing
AI总结：
本文提出了一种基于Wasserstein隐马尔可夫模型的可解释制度感知投资策略，通过动态适应制度复杂性并降低回撤，提升了投资组合的风险调整后收益。
摘要：
我们提出了一种基于严格因果Wasserstein隐马尔可夫模型的可解释制度感知投资组合构建框架。该模型结合滚动高斯HMM推断与预测模型阶数选择和基于模板的身份跟踪，使用高斯成分之间的2-Wasserstein距离。这使得制度复杂性能够动态适应，同时保持稳定的经济解释。制度概率被嵌入到交易成本意识的均值-方差优化框架中，并在多样化每日跨资产宇宙中进行评估。与等权重和SPX买入持有基准相比，Wasserstein HMM在风险调整后的表现显著更高，夏普比率分别为2.18 versus 1.59和1.18，并且最大回撤显著更低，负5.43百分比 versus 负14.62百分比对于SPX。在2025年初的股市抛售事件被标记为解放日期间，该策略动态减少了股票敞口并转向防御性资产，从而减轻了峰值到谷底的损失。与使用相同特征和优化层的非参数KNN条件矩估计器相比，参数化制度模型产生了显著更低的周转率和更平滑的权重演变。结果表明，制度推断的稳定性，特别是身份保持和自适应复杂度控制，是每日资产配置中投资组合回撤和实施稳健性的首要决定因素。
英文摘要：
We propose an explainable regime-aware portfolio construction framework based on a strictly causal Wasserstein Hidden Markov Model. The model combines rolling Gaussian HMM inference with predictive model-order selection and template-based identity tracking using the 2-Wasserstein distance between Gaussian components. This allows regime complexity to adapt dynamically while preserving stable economic interpretation. Regime probabilities are embedded into a transaction-cost-aware mean-variance optimization framework and evaluated on a diversified daily cross-asset universe. Relative to equal-weight and SPX buy-and-hold benchmarks, the Wasserstein HMM achieves materially higher risk-adjusted performance with Sharpe ratios of 2.18 versus 1.59 and 1.18 and substantially lower maximum drawdown of negative 5.43 percent versus negative 14.62 percent for SPX. During the early 2025 equity selloff labeled Liberation Day, the strategy dynamically reduced equity exposure and shifted toward defensive assets, mitigating peak-to-trough losses. Compared to a nonparametric KNN conditional-moment estimator using the same features and optimization layer, the parametric regime model produces materially lower turnover and smoother weight evolution. The results demonstrate that regime inference stability, particularly identity preservation and adaptive complexity control, is a first-order determinant of portfolio drawdown and implementation robustness in daily asset allocation.
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