Frontier Macro｜前沿宏观

1.0 Who We Are｜我们是谁

Frontier Macro is a manager brand focused on P&L through risk budgeting and execution rules.
前沿宏观是管理人品牌，核心是盈亏：通过风险预算与执行规则管理组合。

We optimize for consistency of the return path under a drawdown budget, with a priority on avoiding irreversible drawdowns.
我们在回撤预算约束下优先优化收益路径的一致性，并以避免不可逆回撤为首要原则。

2.0 How We Work｜我们如何工作

2.1 Risk Path Compression｜风险路径合并

We compress complexity into monitoring chain: energy price → inflation expectations → rate conditions → liquidity stress.
我们把复杂宏观叙事压缩为监控主链：能源价格 → 通胀预期 → 利率条件 → 流动性压力。

In tail scenarios, liquidity can dominate and push multiple price carriers to move together; diversification is verified, not assumed.
在极端情境下，流动性可能压过叙事并导致多类价格载体同向波动；分散必须被验证，而不是被假设。

2.2 Risk Translation｜风险载体映射

We focus on how risk gets priced and keep a stable set of observables for decision-making.
我们关注的是风险如何进入价格，并维护一组稳定的可观测变量用于决策。

We capture the macro–financial regime using a set of proxies spanning energy prices, inflation expectations, real rates and opportunity cost, funding and liquidity stress, rate volatility, broad risk volatility, positioning and flows, and correlation dynamics.
我们通过涵盖能源价格、通胀预期、实际利率与机会成本、资金与流动性压力、利率与风险波动、仓位与资金流向以及相关性结构的一组指标来刻画宏观金融状态。

2.3 Correlation Check｜相关性检查

We classify linkage into Normal / Weakened / Crisis and treat it as a prerequisite for hedge validity.
我们把联动状态分为 正常/减弱/危机，并将其作为对冲有效性的前提条件。

When linkage turns abnormal, hedge assumptions and execution rules adjust.
当联动进入异常区间，对冲假设与执行规则会同步调整。

3.0 Portfolio Engineering｜组合工程

We operationalize macro hedge portfolio management into three stages: correction, rolling windows, and stress testing.
我们把宏观对冲组合管理固化为三段式流程：纠偏、滚动、压力测试。

3.1 Quarterly Correction｜季度纠偏

We revise core assumptions and structure when return drivers migrate.
当收益驱动迁移时，我们修正组合的核心假设与结构。

3.2 90-Day Rolling Window｜90天滚动窗口

We align controllable drawdowns with stability targets using a 90-day window; the Sharpe–Sortino gap is used to describe downside-risk quality.
我们用 90 天窗口对齐可控回撤与稳定性目标，并用 Sharpe–Sortino 的差异刻画下行风险质量。

3.3 Monte Carlo on Geometric Paths｜几何路径压力测试

We prioritize paths over averages to keep decisions inside visible risk boundaries.
我们优先看路径而非均值，用可见的风险边界约束决策。

4.0 The Regime We Monitor｜我们监控的新范式

We frame the new macro regime as a shift from low inflation/low rates/passive beta toward a regime shaped by fiscal expansion, higher inflation volatility, and tighter supply constraints.
我们把新的宏观环境定定义为从低通胀、低利率、被动 beta 主导，转向财政扩张、通胀波动更高与供给约束更强的新阶段。

In this regime, long-duration risk may not hedge reliably; defense relies on scenario-based hedging logic and rule-driven execution.
在这一框架下，长久期风险未必稳定提供对冲；组合防守依赖情景化对冲逻辑与规则化执行。

5.0 Only What Matters｜专注于真正重要的事

We manage exposure with rules, not forecasts; we manage change with explicit update conditions.
我们用规则管理曝险，而不是预测；用明确的更新条件管理变化。

5.1 When We Can Add Exposure｜允许新增曝险的前提

When volatility structure is digested and markets return to a lower-noise tradable regime.
当波动结构完成消化并回到低噪声的可交易状态。

When the active intermediary variable on the chain is not near a persistent stress threshold.
当链条中当期主导的中介变量未处于持续的压力阈值附近。

5.2 When We Must Cut Risk Regardless of P&L｜必须减曝的状态

When the chain "shock → intermediary variable up → tighter rate conditions → liquidity stress" is consecutively confirmed.
当"冲击 → 中介变量上行 → 利率条件收紧 → 流动性压力"链条被连续确认。

When structural fragility meets deteriorating risk appetite and forced deleveraging risk rises.
当结构性脆弱点叠加风险偏好恶化，强迫去杠杆风险上升。

5.3 Update Conditions｜更新条件

We update the framework when baseline scenarios deviate and persist, volatility regimes flip, or structural events trigger non-linear shocks with signs of propagation.
当基准情景持续偏离、波动结构切换，或结构性事件引发并扩散的非线性冲击时，我们更新框架。

Each update ships with: What changed / Why / Portfolio implication.
每次更新附带：变更点 / 原因 / 对组合含义。

6.0 Publishing Format｜我们如何发布

We publish IC/peer-ready notes in a fixed structure to keep meeting cadence, decision records, and post-mortems aligned.
我们用固定结构发布投委会/同业可直接使用的内容，用于会议节奏、决策记录与复盘口径对齐。

Market Consensus｜共识收益流
Worst 90-Day Risk Path｜最危险90天路径
Vulnerabilities｜脆弱点
Risk Translation｜风险映射
Correlation Check｜相关性检查
Only What Matters｜专注于真正重要的事（加曝/减曝/更新条件）

7.0 Compliance & Disclosures｜合规与披露

For compliance and information-asymmetry reasons, we disclose "states and rules" but do not disclose position sizing or holdings details.
出于合规与信息不对称考虑，我们披露"状态与规则"，不披露具体仓位与持仓细节。