version: ipo_break_risk_reward_v0 effective_date: 2026-06-22 status: experimental_overlay owner_skill: analyst base_models: - ipo_score_v0 - ipo_score_v0_95_final_heat_trial purpose: > Add a defensive risk/reward overlay for Hong Kong IPO subscription decisions. This overlay is designed for investors who care about D1 break avoidance, cash-lockup efficiency, and expected allocation efficiency, not only headline first-day upside. It does not replace the heat-adjusted subscription score. targets: primary: D1 non-break probability, defined as D1 sell return versus IPO offer price > 0 secondary: - cash-lockup and expected allocation efficiency - D1 upside optionality - trade-off between defensive quality and pop-seeking heat data_policy: allowed_live_inputs: - T0 prospectus structure score - archived T0.95 market-heat multiple observed before the executable order cutoff - offer size - minimum subscription amount - subscription deadline and expected allotment date - prospectus-stage fundamentals calibration_inputs: - archived historical D1 return labels - final public oversubscription buckets - historical offer size and minimum subscription buckets forbidden_live_inputs: - official allotment results released after the user's order cutoff - grey-market return - D1 price performance caveat: > Current T0.95 market heat has no completed D1 labels in the archive yet. Historical final public oversubscription can guide bucket design but must not be treated as an input that was visible before a live order. empirical_calibration_snapshot: dataset: data/snapshots/analysis_model_v0_dataset.csv analysis_as_of: 2026-06-22T08:55:00Z labeled_d1_rows: 274 all_sample_break_rate: 29.9% reference_break_rates: T0_score_gte_8: 23.3% T0_score_5_to_7: 26.7% T0_score_lte_4: 38.5% offer_size_gte_5000m_hkd: 23.1% offer_size_1000m_to_5000m_hkd: 28.0% offer_size_lt_1000m_hkd: 31.9% final_public_oversubscription_gte_1000x: 9.0% final_public_oversubscription_100x_to_1000x: 35.7% final_public_oversubscription_10x_to_100x: 46.0% final_public_oversubscription_lt_10x: 35.8% score_components: break_protection_score: range: 0_to_10 interpretation: Higher score means lower estimated break risk. components: T0_structure_support: range: 0_to_2 points: T0_score_gte_8: 2.0 T0_score_5_to_7: 1.2 T0_score_1_to_4: 0.5 T0_score_lt_1: 0.0 T0_95_demand_support: range: 0_to_3 points: margin_heat_lt_1x: 0.0 margin_heat_1x_to_3x: 0.5 margin_heat_3x_to_10x: 1.0 margin_heat_10x_to_100x: 1.5 margin_heat_100x_to_1000x: 2.5 margin_heat_gte_1000x: 3.0 fundamental_support: range: 0_to_3 points: mature_profitable_cash_generative: 3.0 profitable_quality_growth: 2.5 stable_profitable_low_growth: 2.0 high_growth_lossmaking: 1.0 early_stage_or_project_asset: 0.0_to_0.5 note: > This remains analyst-scored until issuer fundamentals are structured in the dataset. Use prospectus-stage facts only. supply_absorption_support: range: 0_to_2 points: offer_size_gte_5000m_hkd: 2.0 offer_size_2000m_to_5000m_hkd: 1.6 offer_size_800m_to_2000m_hkd: 1.2 offer_size_300m_to_800m_hkd: 0.8 offer_size_lt_300m_hkd: 0.5 note: > Larger deals can cap upside, but the current archive shows lower break rates for larger offer-size buckets. capital_efficiency_score: range: 0_to_5 interpretation: > Higher score means a better chance of getting useful allocation with less cash locked, lower one-lot cost, or shorter lockup. components: minimum_subscription_amount: range: 0_to_2 points: lt_3000_hkd: 2.0 gte_3000_lt_7000_hkd: 1.5 gte_7000_lt_10000_hkd: 1.0 gte_10000_hkd: 0.5 allocation_efficiency_from_heat: range: 0_to_2 points: margin_heat_lt_1x: 2.0 margin_heat_1x_to_3x: 1.8 margin_heat_3x_to_10x: 1.5 margin_heat_10x_to_100x: 1.0 margin_heat_100x_to_1000x: 0.5 margin_heat_gte_1000x: 0.2 note: > Low heat is positive for allocation efficiency but not for demand support. Do not confuse easier allocation with lower break risk. lockup_timing: range: 0_to_1 points: standard_two_day_cash_lock: 1.0 longer_weekend_or_holiday_lock: 0.8 unusually_long_or_unclear_lock: 0.5 upside_optionality_score: range: 0_to_5 interpretation: Higher score means better D1 pop potential, not lower risk. components: demand_momentum: range: 0_to_2.5 points: margin_heat_lt_1x: 0.0 margin_heat_1x_to_3x: 0.3 margin_heat_3x_to_10x: 0.6 margin_heat_10x_to_100x: 1.2 margin_heat_100x_to_1000x: 2.0 margin_heat_gte_1000x: 2.5 scarcity_from_offer_size: range: 0_to_1 points: offer_size_lt_800m_hkd: 1.0 offer_size_800m_to_2000m_hkd: 0.8 offer_size_2000m_to_5000m_hkd: 0.5 offer_size_gte_5000m_hkd: 0.2 theme_and_sponsor_optionality: range: 0_to_1.5 note: > Analyst-scored from prospectus-stage sector narrative, sponsor quality, and current market appetite. Use this as an option value, not a substitute for demand support. combined_score: defensive_risk_reward_score: range: 0_to_100 formula: > 5 * break_protection_score + 6 * capital_efficiency_score + 4 * upside_optionality_score weights: break_protection: 50% capital_efficiency: 30% upside_optionality: 20% bands: gte_65: defensive_priority_candidate gte_60_lt_65: balanced_candidate gte_55_lt_60: watch_only_or_small lt_55: avoid_unless_new_evidence usage: - Use alongside the heat-adjusted IPO score, not instead of it. - A low subscription multiple improves allocation efficiency but weakens demand support. - A mature profitable issuer can have low break risk but low D1 upside. - A high-heat thematic issuer can have high D1 upside but poor cash efficiency and weaker fundamental downside support. - Re-score after T1 allotment results; official public oversubscription should replace T0.95 heat once it becomes stage-safe. known_limitations: - Fundamentals are still analyst-scored rather than extracted into structured factors. - T0.95 market-heat snapshots do not yet have completed D1 labels in the archive. - The score is ordinal and comparative within a batch; it is not a standalone probability forecast. - Historical bucket rates are not yet industry-neutral or market-regime-neutral.