Systematic investment strategies are exposed to a subtle but pervasive vulnerability: the progressive erosion of their effectiveness as market regimes change. Traditional risk measures, designed to capture volatility or drawdowns, overlook this form of structural fragility. This article introduces a quantitative framework for assessing the durability of systematic strategies through minimum regime performance (MRP), defined as the lowest realized risk-adjusted return across distinct historical regimes. MRP serves as a lower bound on a strategy's robustness, capturing how performance deteriorates when underlying relationships weaken or competitive pressures compress alpha. Applied to a broad universe of established factor strategies, the measure reveals a consistent trade-off between efficiency and resilience -- strategies with higher long-term Sharpe ratios do not always exhibit higher MRPs. By translating the persistence of investment efficacy into a measurable quantity, the framework provides investors with a practical diagnostic for identifying and managing strategy-decay risk, a novel dimension of portfolio fragility that complements traditional measures of market and liquidity risk.

翻译：系统化投资策略面临一种微妙但普遍存在的脆弱性：随着市场制度的变化，其有效性逐渐减弱。传统的风险度量指标旨在捕捉波动性或回撤，却忽视了这种结构性脆弱性。本文引入了一个量化框架，通过最低制度绩效（MRP）来评估系统化策略的持久性，该指标定义为在不同历史制度下实现的最低已实现风险调整后收益。MRP作为策略稳健性的下限，捕捉了当基础关系减弱或竞争压力压缩阿尔法时，绩效如何恶化。将该度量应用于广泛的已确立因子策略中，该指标揭示了一致权衡：效率与韧性——具有较高长期夏普比率的策略并不总是表现出更高的MRP。通过将投资效用的持续性转化为可量化指标，该框架为投资者提供了一种实用诊断工具，用于识别和管理策略衰减风险，这是一种新的投资组合脆弱性维度，补充了传统的市场和流动性风险度量。