Investment Rating - The report indicates a bullish outlook on 10-year government bonds, 2-year government bonds, the Wind All A Index, the CSI Dividend All-Return Index, COMEX gold, and IPE crude oil [5][6] - The report suggests an adjustment for the Hang Seng Technology Index and the Sci-Tech 50 Index [5][6] - The report indicates a fluctuating outlook for the 30-year government bonds, 3-year AAA medium-short bonds, the Wind Micro Index, and the National Index 2000 [5][6] Core Insights - The original signal for the 30-year government bond is 33.34%, with a 5-day moving average (MA5) of 45.69%, indicating a fluctuating signal that has persisted for 8 trading days [5][6] - The original signal for the 10-year government bond is 13.86%, with an MA5 of 30.77%, indicating a bullish signal that has persisted for over 10 trading days [5][6] - The original signal for the Wind All A Index is 45.46%, with an MA5 of 29.85%, indicating a bullish signal that has persisted for over 10 trading days [5][6] - The original signal for COMEX gold is 11.43%, with an MA5 of 7.67%, indicating a bullish signal that has persisted for over 10 trading days [5][6] - The original signal for IPE crude oil is 21.71%, with an MA5 of 14.53%, indicating a bullish signal that has persisted for over 10 trading days [5][6] Summary by Relevant Sections Government Bonds - 10-year government bond: Original signal 13.86%, MA5 30.77%, bullish for over 10 days [5][6] - 2-year government bond: Original signal 9.23%, MA5 11.72%, bullish for over 10 days [5][6] - 30-year government bond: Original signal 33.34%, MA5 45.69%, fluctuating for 8 days [5][6] - 3-year AAA medium-short bond: Original signal 15.33%, MA5 40.25%, fluctuating for 2 days [5][6] Indices - Wind All A Index: Original signal 45.46%, MA5 29.85%, bullish for over 10 days [5][6] - CSI Dividend All-Return Index: Original signal 18.61%, MA5 27.25%, bullish for 10 days [5][6] - Hang Seng Technology Index: Original signal 70.64%, MA5 87.31%, adjustment for over 10 days [5][6] - Sci-Tech 50 Index: Original signal 67.82%, MA5 80.57%, adjustment for 8 days [5][6] - Wind Micro Index: Original signal 27.17%, MA5 45.77%, fluctuating for 2 days [5][6] - National Index 2000: Original signal 8.66%, MA5 58.45%, fluctuating for 3 days [5][6] Commodities - COMEX gold: Original signal 11.43%, MA5 7.67%, bullish for over 10 days [5][6] - IPE crude oil: Original signal 21.71%, MA5 14.53%, bullish for over 10 days [5][6]

Financial Engineering - The report emphasizes a risk-based asset allocation strategy, contrasting it with traditional methods that focus on expected returns. This approach quantifies the investor's risk tolerance and sets a clear risk budget, aiming for a diversified risk contribution from various assets to achieve better risk-adjusted returns over the long term [2][3]. Risk Parity Model - The risk parity model is highlighted as a key strategy, optimizing asset contributions to total portfolio risk equally, thus avoiding the dominance of equities in traditional stock-bond portfolios. Backtesting results show an annualized return of 6.1% with a maximum drawdown of 3.4% and a Sharpe ratio of 3.62, indicating strong robustness [3][4]. Asset Allocation Insights - The report notes a persistent higher allocation to corporate bonds over government bonds since 2017, attributed to increased interest rate volatility in government bonds post "financial deleveraging" in China. This reflects the model's disciplined dynamic adjustment to real market risk structures [3][4]. Enhanced Strategy for Returns - A target volatility strategy is proposed, which dynamically adjusts portfolio leverage to maintain a preset volatility level. This strategy shows high sensitivity to financing costs of leveraged funds and is practical for investors with flexible capital. It aims for a higher Sharpe ratio by setting a target slightly above the full allocation portfolio volatility [5]. - Additionally, a risk budgeting strategy based on Sharpe squared is introduced, focusing on efficient risk allocation to assets with historically higher Sharpe ratios. While it achieves similar absolute returns to risk parity, it offers lower volatility and the highest Sharpe ratio among strategies, though it is dependent on the continuation of historical patterns [5].