报告导读： 本文主要考察根据因子历史长短期收益、波动率等数据，采用 PLS 模型预期 因子收益在因子加权中的应用，包括单因子多策略、以及多因子单策略两个维度。 在 20 个单因子 top100 组合配置中，对波动率最大的 5 个因子组合采用 PLS 模型预期收益确定权重，相比于收益均值加权方式，年化收益提升约 4.0% （ 2018.01-2025.11 ，下同）；相较于等权方式，年化收益提升 6.6% 。 风格组合配置维度，我们构建了 6 个基础组合： 1 个红利优选、 1 个成长期优选、两个小市值组合、以及两个风格相对均衡的组合 --PB 盈利和 GARP 组 合。对波动较大组合采用 PLS 模型预期超额收益加权，相比于超额收益均值加权方式，年化收益提升 3.3% ；相较于等权方式，年化收益提升 3.9% 。 量化固收 + 策略中的应用，股票端： PLS 预期收益加权复合风格组合；债券端：中证短债指数；构建 10% 股票仓位的固收 + 量化策略， 2018 年以来年 化收益 5.6% ，年化波动率 2.6% ，信息比 2.17 ；权益比例为 20% 时，策略年化收益 8.4% ，年化波动率 5.1% ，信 ...

Group 1: Core Insights - The report highlights that the stock side employs a small-cap growth portfolio combined with a non-timing stock-bond monthly rebalancing strategy, projecting cumulative returns of 5.93% and 11.15% by 2025 [1][4] - As of August 15, 2025, the total market size of fixed income plus funds reached 1,784.66 billion, with 1,177 products, of which 412 achieved historical net value highs last week [2][9] - The report indicates a divergence in performance among various fund types, with median returns for mixed bond type funds being -0.07% for level one, 0.17% for level two, and 0.33% for mixed bond type funds [2][12] Group 2: Asset Allocation and ETF Rotation - The macro environment forecast for Q3 2025 suggests an inflationary trend, with the CSI 300 index, the total wealth index of government bonds, and AU9999 contracts yielding 3.11%, -0.32%, and 1.03% respectively since August [3][4] - Recommended industry ETFs for August 2025 include those focused on artificial intelligence, semiconductors, non-ferrous metals, banking, and major consumer sectors, with a weekly return of 4.01% and a cumulative return of 5.81% for the month [3][4] Group 3: Absolute Return Strategy Performance - The macro-timing driven stock-bond 20/80 rebalancing strategy yielded a return of 0.47% last week, while the stock-bond risk parity strategy returned -0.02% [4][9] - The small-cap growth style within the stock-bond 20/80 combination showed the most significant performance, with a year-to-date return of 11.15% [4][9] - The report notes that the cumulative return for the small-cap growth portfolio, when adjusted for timing strategies, reached 12.81% [4][9]