- The report introduces a macro timing-driven stock-bond 20/80 rebalancing strategy and a stock-bond risk parity strategy, both enhanced by industry ETF rotation. The stock-bond 20/80 rebalancing strategy achieved a YTD return of 8.28%, while the stock-bond risk parity strategy achieved a YTD return of 3.40%[4][30][39] - The macro timing model predicts the Q4 macro environment as "Inflation". Based on this, the stock-bond 20/80 rebalancing strategy and risk parity strategy are constructed to optimize asset allocation under inflationary conditions[24][30][31] - The industry ETF rotation strategy is built using multi-factor models, including historical fundamentals, expected fundamentals, sentiment, technical indicators, and macroeconomic factors. The strategy recommends focusing on ETFs such as the Guolian Semiconductor ETF, Guotai Securities ETF, Guotai Communication Equipment ETF, GF New Energy Vehicle Battery ETF, and Huaxia Animation Game ETF[25][27][28] - The report evaluates the performance of quantitative fixed-income+ strategies, including PB profitability, high dividend yield, small-cap value, and small-cap growth factors. Under a non-timing 20/80 rebalancing strategy, small-cap value achieved a YTD return of 11.72%, while small-cap growth achieved a YTD return of 11.56%. When combined with macro timing, small-cap value achieved a YTD return of 12.32%, and small-cap growth achieved a YTD return of 13.17%[4][39][42] - The inverse cycle configuration strategy combines PB profitability and small-cap value or small-cap growth factors under a 20/80 quarterly rebalancing framework. Both combinations achieved a YTD return of 5.74%[39][42] - The report provides detailed backtesting results for various strategies, including annualized volatility, maximum drawdown, and Sharpe ratios. For example, the macro timing-driven stock-bond 20/80 rebalancing strategy has an annualized volatility of 3.53%, a maximum drawdown of 1.78%, and a Sharpe ratio of 1.72[30][39][42] - The quantitative fixed-income+ strategies are tested under different configurations, including non-timing 10/90 and 20/80 monthly rebalancing, macro timing 20/80 monthly rebalancing, and inverse cycle 20/80 quarterly rebalancing. The report provides net value curves and drawdown charts for these strategies[39][40][42]

Group 1 - The report indicates that the stock side employs a small-cap value portfolio combined with a non-timing stock-bond monthly rebalancing strategy of 10/90 and 20/80, with cumulative returns of 4.97% and 9.28% respectively by 2025 [1][4] - As of July 25, 2025, the total market size of fixed income + funds reached 1,775.714 billion, with 1,173 products, and 136 of them reached historical net value highs last week [2][9] - The performance of various fund types showed divergence, with median returns for mixed bond type funds being -0.15% for level one, 0.09% for level two, and 0.19% for biased bond mixed funds [2][14] Group 2 - The macro environment forecast for Q3 2025 suggests an inflationary trend, with the CSI 300 index rising by 4.85% since July, while the China Government Bond Index fell by 0.43% [3] - Recommended industry ETFs for July 2025 include those focused on securities companies, semiconductors, non-ferrous metals, and major consumer sectors, with a weekly return of 4.72% and a cumulative return of 6.97% for the month [3][4] - The absolute return strategy performance showed that the macro-timing driven stock-bond 20/80 rebalancing strategy yielded a return of 0.20% last week, while the stock-bond risk parity strategy had a return of -0.20% [4][16] Group 3 - The small-cap value style within the stock-bond 20/80 combination performed notably well, achieving a year-to-date return of 9.28%, while other strategies like PB earnings and high dividend stocks yielded 4.01% and 2.65% respectively [4][16] - The report highlights that 136 fixed income + products reached historical net value highs, with a breakdown of 30 level one mixed bond funds, 41 level two mixed bond funds, and 35 biased bond mixed funds [18][20] - The report also provides insights into the performance of conservative, balanced, and aggressive funds, with median returns of -0.09%, 0.09%, and 0.29% respectively [14][18]