Risk Parity Model and USD/CNY Research
USD/CNY is quoted as CNY per USD. A positive FX return means RMB depreciation and a gain from holding USD.
The overlay is a research approximation: combined return = strategy return + USD overlay x FX return.
The gross overlay excludes implementation costs. The carry-adjusted overlay adds an indicative CNH forward carry estimate,
but still excludes bid-ask spread, collateral, tax, operational constraints, and the existing QDII overseas FX exposure.
FX source: Bloomberg Desktop API: USDCNY Curncy PX_LAST. The common research sample is capped at
2026-09-04, the latest available FX observation.
Offshore CNH forward snapshot
CNH forward points are Bloomberg Desktop API snapshots. Estimated carry assumes an unchanged spot rate,
excludes bid-ask spread, collateral, tax, and execution costs, and is shown only to establish direction and scale.
| tenor |
spot_usdcnh |
forward_points |
forward_outright |
annualized_long_usd_carry |
annualized_sell_usd_hedge_carry |
| 1M |
6.708000 |
-138.020000 |
6.694198 |
0.024741 |
-0.024741 |
| 3M |
6.708000 |
-424.840000 |
6.665516 |
0.025495 |
-0.025495 |
| 6M |
6.708000 |
-873.000000 |
6.620700 |
0.026372 |
-0.026372 |
| 12M |
6.708000 |
-1839.830000 |
6.524017 |
0.028201 |
-0.028201 |
Overlay carry convention: 3M CNH forward;
latest annualized long-USD carry = 2.55%;
historical average annualized long-USD carry = 0.69%.
Positive overlays hold USD; negative overlays sell USD as a hedge. The carry estimate uses the latest snapshot for scenario analysis,
while the carry-adjusted overlay scan uses the historical daily forward curve.
baseline_63d
Daily correlation: -0.054;
63-day latest rolling correlation: -0.222;
252-day latest rolling correlation: -0.069.
In-sample overlay scan: gross highest Sharpe at
+0% USD overlay;
carry-adjusted highest Sharpe at +10%;
carry-adjusted minimum volatility at +5%.
Overlay scan
| usd_overlay |
average_annualized_fx_carry |
gross_nav |
gross_annual_return |
gross_annual_volatility |
gross_sharpe_rf0 |
gross_max_drawdown |
cost_adjusted_nav |
cost_adjusted_annual_return |
cost_adjusted_annual_volatility |
cost_adjusted_sharpe_rf0 |
cost_adjusted_max_drawdown |
| -1.0000 |
-0.0069 |
1.8168 |
0.0932 |
0.0668 |
1.3956 |
-0.1614 |
1.7345 |
0.0857 |
0.0668 |
1.2829 |
-0.1576 |
| -0.9500 |
-0.0066 |
1.8149 |
0.0930 |
0.0655 |
1.4198 |
-0.1552 |
1.7368 |
0.0859 |
0.0655 |
1.3106 |
-0.1516 |
| -0.9000 |
-0.0062 |
1.8130 |
0.0929 |
0.0643 |
1.4439 |
-0.1490 |
1.7390 |
0.0861 |
0.0643 |
1.3386 |
-0.1456 |
| -0.8500 |
-0.0059 |
1.8110 |
0.0927 |
0.0631 |
1.4680 |
-0.1428 |
1.7411 |
0.0863 |
0.0631 |
1.3667 |
-0.1395 |
| -0.8000 |
-0.0055 |
1.8090 |
0.0925 |
0.0620 |
1.4920 |
-0.1365 |
1.7432 |
0.0865 |
0.0620 |
1.3949 |
-0.1334 |
| -0.7500 |
-0.0052 |
1.8070 |
0.0923 |
0.0609 |
1.5156 |
-0.1302 |
1.7453 |
0.0867 |
0.0609 |
1.4230 |
-0.1273 |
| -0.7000 |
-0.0048 |
1.8049 |
0.0921 |
0.0599 |
1.5389 |
-0.1238 |
1.7473 |
0.0869 |
0.0599 |
1.4510 |
-0.1211 |
| -0.6500 |
-0.0045 |
1.8027 |
0.0919 |
0.0589 |
1.5616 |
-0.1174 |
1.7493 |
0.0870 |
0.0589 |
1.4786 |
-0.1148 |
| -0.6000 |
-0.0042 |
1.8005 |
0.0917 |
0.0579 |
1.5837 |
-0.1112 |
1.7512 |
0.0872 |
0.0579 |
1.5058 |
-0.1086 |
| -0.5500 |
-0.0038 |
1.7983 |
0.0915 |
0.0570 |
1.6048 |
-0.1054 |
1.7531 |
0.0874 |
0.0570 |
1.5323 |
-0.1027 |
| -0.5000 |
-0.0035 |
1.7960 |
0.0913 |
0.0562 |
1.6249 |
-0.0995 |
1.7549 |
0.0876 |
0.0562 |
1.5581 |
-0.0968 |
| -0.4500 |
-0.0031 |
1.7937 |
0.0911 |
0.0554 |
1.6438 |
-0.0936 |
1.7567 |
0.0877 |
0.0554 |
1.5828 |
-0.0912 |
| -0.4000 |
-0.0028 |
1.7913 |
0.0909 |
0.0547 |
1.6613 |
-0.0877 |
1.7584 |
0.0879 |
0.0547 |
1.6064 |
-0.0855 |
| -0.3500 |
-0.0024 |
1.7889 |
0.0907 |
0.0541 |
1.6772 |
-0.0818 |
1.7601 |
0.0881 |
0.0541 |
1.6286 |
-0.0798 |
| -0.3000 |
-0.0021 |
1.7865 |
0.0905 |
0.0535 |
1.6912 |
-0.0758 |
1.7618 |
0.0882 |
0.0535 |
1.6492 |
-0.0741 |
| -0.2500 |
-0.0017 |
1.7840 |
0.0902 |
0.0530 |
1.7033 |
-0.0697 |
1.7634 |
0.0884 |
0.0530 |
1.6679 |
-0.0683 |
| -0.2000 |
-0.0014 |
1.7814 |
0.0900 |
0.0525 |
1.7133 |
-0.0641 |
1.7650 |
0.0885 |
0.0525 |
1.6847 |
-0.0630 |
| -0.1500 |
-0.0010 |
1.7788 |
0.0898 |
0.0522 |
1.7209 |
-0.0585 |
1.7665 |
0.0886 |
0.0522 |
1.6994 |
-0.0577 |
| -0.1000 |
-0.0007 |
1.7762 |
0.0895 |
0.0519 |
1.7261 |
-0.0529 |
1.7680 |
0.0888 |
0.0519 |
1.7117 |
-0.0524 |
| -0.0500 |
-0.0003 |
1.7735 |
0.0893 |
0.0516 |
1.7288 |
-0.0473 |
1.7694 |
0.0889 |
0.0516 |
1.7215 |
-0.0471 |
| 0.0000 |
0.0000 |
1.7708 |
0.0890 |
0.0515 |
1.7288 |
-0.0417 |
1.7708 |
0.0890 |
0.0515 |
1.7288 |
-0.0417 |
| 0.0500 |
0.0003 |
1.7680 |
0.0888 |
0.0514 |
1.7262 |
-0.0419 |
1.7721 |
0.0892 |
0.0514 |
1.7334 |
-0.0418 |
| 0.1000 |
0.0007 |
1.7652 |
0.0885 |
0.0514 |
1.7209 |
-0.0424 |
1.7734 |
0.0893 |
0.0514 |
1.7354 |
-0.0421 |
| 0.1500 |
0.0010 |
1.7624 |
0.0883 |
0.0515 |
1.7129 |
-0.0429 |
1.7747 |
0.0894 |
0.0515 |
1.7347 |
-0.0424 |
| 0.2000 |
0.0014 |
1.7595 |
0.0880 |
0.0517 |
1.7024 |
-0.0433 |
1.7759 |
0.0895 |
0.0517 |
1.7313 |
-0.0427 |
| 0.2500 |
0.0017 |
1.7566 |
0.0877 |
0.0519 |
1.6893 |
-0.0438 |
1.7770 |
0.0896 |
0.0519 |
1.7253 |
-0.0430 |
| 0.3000 |
0.0021 |
1.7536 |
0.0874 |
0.0522 |
1.6739 |
-0.0443 |
1.7781 |
0.0897 |
0.0522 |
1.7169 |
-0.0434 |
| 0.3500 |
0.0024 |
1.7506 |
0.0872 |
0.0526 |
1.6563 |
-0.0448 |
1.7792 |
0.0898 |
0.0526 |
1.7060 |
-0.0437 |
| 0.4000 |
0.0028 |
1.7475 |
0.0869 |
0.0531 |
1.6367 |
-0.0452 |
1.7802 |
0.0899 |
0.0531 |
1.6930 |
-0.0453 |
| 0.4500 |
0.0031 |
1.7444 |
0.0866 |
0.0536 |
1.6151 |
-0.0457 |
1.7812 |
0.0900 |
0.0536 |
1.6778 |
-0.0488 |
| 0.5000 |
0.0035 |
1.7413 |
0.0863 |
0.0542 |
1.5920 |
-0.0481 |
1.7821 |
0.0901 |
0.0542 |
1.6608 |
-0.0523 |
| 0.5500 |
0.0038 |
1.7381 |
0.0860 |
0.0549 |
1.5673 |
-0.0512 |
1.7830 |
0.0901 |
0.0549 |
1.6422 |
-0.0558 |
| 0.6000 |
0.0042 |
1.7349 |
0.0857 |
0.0556 |
1.5414 |
-0.0543 |
1.7838 |
0.0902 |
0.0556 |
1.6220 |
-0.0592 |
| 0.6500 |
0.0045 |
1.7316 |
0.0854 |
0.0564 |
1.5145 |
-0.0573 |
1.7846 |
0.0903 |
0.0564 |
1.6006 |
-0.0627 |
| 0.7000 |
0.0048 |
1.7283 |
0.0851 |
0.0572 |
1.4867 |
-0.0604 |
1.7853 |
0.0904 |
0.0573 |
1.5780 |
-0.0661 |
| 0.7500 |
0.0052 |
1.7250 |
0.0848 |
0.0581 |
1.4583 |
-0.0634 |
1.7860 |
0.0904 |
0.0582 |
1.5546 |
-0.0695 |
| 0.8000 |
0.0055 |
1.7216 |
0.0845 |
0.0591 |
1.4293 |
-0.0664 |
1.7866 |
0.0905 |
0.0591 |
1.5304 |
-0.0729 |
| 0.8500 |
0.0059 |
1.7182 |
0.0841 |
0.0601 |
1.4000 |
-0.0694 |
1.7872 |
0.0905 |
0.0601 |
1.5056 |
-0.0763 |
| 0.9000 |
0.0062 |
1.7148 |
0.0838 |
0.0612 |
1.3706 |
-0.0724 |
1.7877 |
0.0906 |
0.0612 |
1.4804 |
-0.0797 |
| 0.9500 |
0.0066 |
1.7113 |
0.0835 |
0.0623 |
1.3410 |
-0.0754 |
1.7882 |
0.0906 |
0.0623 |
1.4549 |
-0.0831 |
| 1.0000 |
0.0069 |
1.7077 |
0.0832 |
0.0634 |
1.3115 |
-0.0784 |
1.7887 |
0.0907 |
0.0634 |
1.4292 |
-0.0865 |
Annual relationship
| year |
observations |
strategy_return |
usdcny_return |
daily_correlation |
| 2020 |
261 |
0.1243 |
-0.0628 |
-0.0778 |
| 2021 |
261 |
0.0906 |
-0.0262 |
-0.0863 |
| 2022 |
260 |
-0.0161 |
0.0854 |
0.0329 |
| 2023 |
260 |
0.0640 |
0.0292 |
-0.0574 |
| 2024 |
262 |
0.1198 |
0.0281 |
-0.0095 |
| 2025 |
261 |
0.1749 |
-0.0426 |
-0.1560 |
| 2026 |
177 |
0.0487 |
-0.0396 |
-0.1007 |
baseline_42d
Daily correlation: -0.068;
63-day latest rolling correlation: -0.143;
252-day latest rolling correlation: -0.045.
In-sample overlay scan: gross highest Sharpe at
+0% USD overlay;
carry-adjusted highest Sharpe at +15%;
carry-adjusted minimum volatility at +10%.
Overlay scan
| usd_overlay |
average_annualized_fx_carry |
gross_nav |
gross_annual_return |
gross_annual_volatility |
gross_sharpe_rf0 |
gross_max_drawdown |
cost_adjusted_nav |
cost_adjusted_annual_return |
cost_adjusted_annual_volatility |
cost_adjusted_sharpe_rf0 |
cost_adjusted_max_drawdown |
| -1.0000 |
-0.0069 |
1.9003 |
0.1006 |
0.0675 |
1.4904 |
-0.1500 |
1.8143 |
0.0930 |
0.0675 |
1.3783 |
-0.1462 |
| -0.9500 |
-0.0066 |
1.8984 |
0.1004 |
0.0662 |
1.5163 |
-0.1438 |
1.8166 |
0.0932 |
0.0662 |
1.4078 |
-0.1401 |
| -0.9000 |
-0.0062 |
1.8964 |
0.1002 |
0.0650 |
1.5423 |
-0.1375 |
1.8189 |
0.0934 |
0.0650 |
1.4376 |
-0.1340 |
| -0.8500 |
-0.0059 |
1.8943 |
0.1000 |
0.0638 |
1.5682 |
-0.1312 |
1.8212 |
0.0936 |
0.0638 |
1.4676 |
-0.1278 |
| -0.8000 |
-0.0055 |
1.8923 |
0.0999 |
0.0627 |
1.5940 |
-0.1248 |
1.8234 |
0.0938 |
0.0626 |
1.4976 |
-0.1216 |
| -0.7500 |
-0.0052 |
1.8901 |
0.0997 |
0.0615 |
1.6196 |
-0.1184 |
1.8256 |
0.0940 |
0.0615 |
1.5276 |
-0.1154 |
| -0.7000 |
-0.0048 |
1.8879 |
0.0995 |
0.0605 |
1.6448 |
-0.1119 |
1.8277 |
0.0942 |
0.0605 |
1.5575 |
-0.1091 |
| -0.6500 |
-0.0045 |
1.8857 |
0.0993 |
0.0595 |
1.6695 |
-0.1054 |
1.8298 |
0.0944 |
0.0595 |
1.5871 |
-0.1028 |
| -0.6000 |
-0.0042 |
1.8835 |
0.0991 |
0.0585 |
1.6935 |
-0.0989 |
1.8318 |
0.0946 |
0.0585 |
1.6162 |
-0.0965 |
| -0.5500 |
-0.0038 |
1.8811 |
0.0989 |
0.0576 |
1.7167 |
-0.0923 |
1.8338 |
0.0947 |
0.0576 |
1.6448 |
-0.0901 |
| -0.5000 |
-0.0035 |
1.8788 |
0.0987 |
0.0568 |
1.7388 |
-0.0857 |
1.8358 |
0.0949 |
0.0567 |
1.6725 |
-0.0837 |
| -0.4500 |
-0.0031 |
1.8764 |
0.0985 |
0.0560 |
1.7597 |
-0.0790 |
1.8377 |
0.0951 |
0.0560 |
1.6992 |
-0.0772 |
| -0.4000 |
-0.0028 |
1.8739 |
0.0983 |
0.0552 |
1.7792 |
-0.0724 |
1.8395 |
0.0952 |
0.0552 |
1.7247 |
-0.0707 |
| -0.3500 |
-0.0024 |
1.8714 |
0.0980 |
0.0546 |
1.7970 |
-0.0664 |
1.8413 |
0.0954 |
0.0545 |
1.7488 |
-0.0644 |
| -0.3000 |
-0.0021 |
1.8688 |
0.0978 |
0.0540 |
1.8130 |
-0.0603 |
1.8431 |
0.0956 |
0.0539 |
1.7712 |
-0.0586 |
| -0.2500 |
-0.0017 |
1.8662 |
0.0976 |
0.0534 |
1.8270 |
-0.0541 |
1.8448 |
0.0957 |
0.0534 |
1.7918 |
-0.0527 |
| -0.2000 |
-0.0014 |
1.8636 |
0.0974 |
0.0530 |
1.8388 |
-0.0480 |
1.8464 |
0.0958 |
0.0529 |
1.8104 |
-0.0468 |
| -0.1500 |
-0.0010 |
1.8609 |
0.0971 |
0.0526 |
1.8481 |
-0.0427 |
1.8480 |
0.0960 |
0.0525 |
1.8267 |
-0.0409 |
| -0.1000 |
-0.0007 |
1.8582 |
0.0969 |
0.0522 |
1.8550 |
-0.0394 |
1.8496 |
0.0961 |
0.0522 |
1.8406 |
-0.0394 |
| -0.0500 |
-0.0003 |
1.8554 |
0.0966 |
0.0520 |
1.8592 |
-0.0389 |
1.8511 |
0.0963 |
0.0520 |
1.8519 |
-0.0391 |
| 0.0000 |
0.0000 |
1.8526 |
0.0964 |
0.0518 |
1.8606 |
-0.0389 |
1.8526 |
0.0964 |
0.0518 |
1.8606 |
-0.0389 |
| 0.0500 |
0.0003 |
1.8497 |
0.0961 |
0.0517 |
1.8592 |
-0.0413 |
1.8540 |
0.0965 |
0.0517 |
1.8664 |
-0.0417 |
| 0.1000 |
0.0007 |
1.8468 |
0.0959 |
0.0517 |
1.8549 |
-0.0440 |
1.8554 |
0.0966 |
0.0517 |
1.8694 |
-0.0448 |
| 0.1500 |
0.0010 |
1.8438 |
0.0956 |
0.0517 |
1.8478 |
-0.0467 |
1.8567 |
0.0968 |
0.0518 |
1.8696 |
-0.0480 |
| 0.2000 |
0.0014 |
1.8408 |
0.0954 |
0.0519 |
1.8380 |
-0.0495 |
1.8579 |
0.0969 |
0.0519 |
1.8669 |
-0.0511 |
| 0.2500 |
0.0017 |
1.8378 |
0.0951 |
0.0521 |
1.8254 |
-0.0522 |
1.8592 |
0.0970 |
0.0521 |
1.8614 |
-0.0542 |
| 0.3000 |
0.0021 |
1.8347 |
0.0948 |
0.0524 |
1.8103 |
-0.0549 |
1.8603 |
0.0971 |
0.0524 |
1.8532 |
-0.0573 |
| 0.3500 |
0.0024 |
1.8315 |
0.0945 |
0.0527 |
1.7927 |
-0.0576 |
1.8615 |
0.0972 |
0.0527 |
1.8424 |
-0.0604 |
| 0.4000 |
0.0028 |
1.8284 |
0.0942 |
0.0532 |
1.7729 |
-0.0603 |
1.8626 |
0.0973 |
0.0532 |
1.8292 |
-0.0635 |
| 0.4500 |
0.0031 |
1.8251 |
0.0940 |
0.0537 |
1.7510 |
-0.0630 |
1.8636 |
0.0974 |
0.0537 |
1.8138 |
-0.0667 |
| 0.5000 |
0.0035 |
1.8219 |
0.0937 |
0.0542 |
1.7273 |
-0.0660 |
1.8646 |
0.0974 |
0.0543 |
1.7962 |
-0.0701 |
| 0.5500 |
0.0038 |
1.8186 |
0.0934 |
0.0549 |
1.7019 |
-0.0690 |
1.8655 |
0.0975 |
0.0549 |
1.7769 |
-0.0735 |
| 0.6000 |
0.0042 |
1.8152 |
0.0931 |
0.0556 |
1.6750 |
-0.0720 |
1.8664 |
0.0976 |
0.0556 |
1.7558 |
-0.0769 |
| 0.6500 |
0.0045 |
1.8118 |
0.0928 |
0.0563 |
1.6470 |
-0.0750 |
1.8672 |
0.0977 |
0.0564 |
1.7333 |
-0.0803 |
| 0.7000 |
0.0048 |
1.8084 |
0.0925 |
0.0571 |
1.6179 |
-0.0780 |
1.8680 |
0.0978 |
0.0572 |
1.7095 |
-0.0837 |
| 0.7500 |
0.0052 |
1.8049 |
0.0921 |
0.0580 |
1.5880 |
-0.0810 |
1.8687 |
0.0978 |
0.0581 |
1.6847 |
-0.0870 |
| 0.8000 |
0.0055 |
1.8014 |
0.0918 |
0.0590 |
1.5575 |
-0.0840 |
1.8694 |
0.0979 |
0.0590 |
1.6591 |
-0.0904 |
| 0.8500 |
0.0059 |
1.7979 |
0.0915 |
0.0599 |
1.5266 |
-0.0869 |
1.8700 |
0.0979 |
0.0600 |
1.6327 |
-0.0937 |
| 0.9000 |
0.0062 |
1.7943 |
0.0912 |
0.0610 |
1.4954 |
-0.0899 |
1.8706 |
0.0980 |
0.0610 |
1.6058 |
-0.0970 |
| 0.9500 |
0.0066 |
1.7906 |
0.0908 |
0.0620 |
1.4641 |
-0.0928 |
1.8712 |
0.0980 |
0.0621 |
1.5786 |
-0.1004 |
| 1.0000 |
0.0069 |
1.7870 |
0.0905 |
0.0632 |
1.4327 |
-0.0958 |
1.8716 |
0.0981 |
0.0632 |
1.5511 |
-0.1037 |
Annual relationship
| year |
observations |
strategy_return |
usdcny_return |
daily_correlation |
| 2020 |
261 |
0.1160 |
-0.0628 |
-0.1050 |
| 2021 |
261 |
0.0751 |
-0.0262 |
-0.1102 |
| 2022 |
260 |
0.0044 |
0.0854 |
-0.0079 |
| 2023 |
260 |
0.0512 |
0.0292 |
-0.0669 |
| 2024 |
262 |
0.1465 |
0.0281 |
-0.0309 |
| 2025 |
261 |
0.1954 |
-0.0426 |
-0.1389 |
| 2026 |
177 |
0.0669 |
-0.0396 |
-0.0708 |