市场概况 过去一个月，国内各资产指数走势分化。股票方面表现不一，其中万得微盘股涨幅最大，上涨 5.83%，上证 50 上涨 1.00%，中证 2000 上涨 0.37%，沪深 300 上涨 0.19%，万得全 A 微跌 0.04%，中证 1000 和中证 500 分别下跌 0.86%和 1.03%。债券方面，各期限债券指数整体小幅上涨，其中 1 年以下信用债指数月涨幅最高，为 0.19%，7-10 年信用债 指数和 3-5 年信用债指数分别上涨 1.52%和 0.91%，7-10 年国债指数上涨 0.72%，3-5 年国债指数上涨 0.47%，1-3 年 国债指数上涨 0.27%。商品方面分化较大，贵金属上涨 5.26%，有色金属和黑色系分别上涨 2.72%和 2.90%，而农产 品和能化分别下跌 1.55%和 2.48%。 经济增长方面，景气度有所回升。从数量端看，9 月份工业增加值同比报 6.5%，和上个月相比上升 1.3%，有所增加。 而利润端表现不同，9 月份工业企业利润总额当月同比增长 21.6%，较上月上升 1.2%，累计同比增长 3.2%，较上月 上升 2.3%。进出口方面月度数据增速回升，9 ...

- Model Name: Global Asset Allocation Model; Model Construction Idea: The model applies machine learning to asset allocation, using factor investment to score and rank assets, and ultimately constructs a monthly frequency equal-weighted quantitative strategy for global asset allocation[34] - Model Construction Process: The model suggests weights for different assets based on their scores. For August, the suggested weights are: Treasury Index (67.01%), ICE Brent Oil (15.25%), German DAX (9.06%), and Hang Seng Index (8.68%). The weights for German DAX and Hang Seng Index were increased, while the weights for ICE Brent Oil and Treasury Index were decreased[34] - Model Evaluation: The model has shown superior performance compared to the benchmark, with a higher Sharpe ratio and lower maximum drawdown[34][35] - Model Test Results: Annualized return: 6.77%, Sharpe ratio: 1.02, maximum drawdown: -6.66%, excess annualized return: 0.68%, excess Sharpe ratio: 0.15, excess maximum drawdown: -10.95%[34][35] - Model Name: Stock-Bond Allocation Model; Model Construction Idea: The model uses a macro timing module and a risk budget model framework to output the weights for three different risk profiles (aggressive, stable, and conservative)[6][40] - Model Construction Process: For August, the stock weights for aggressive, stable, and conservative profiles are 50%, 14.39%, and 0%, respectively. The model signals for economic growth are at 100%, while liquidity signals are at 0%[6][40] - Model Evaluation: The model has shown good performance, with the aggressive and stable profiles outperforming the benchmark in various dimensions[40] - Model Test Results: Annualized return for aggressive: 20.00%, stable: 10.97%, conservative: 6.01%, benchmark: 8.73%. Sharpe ratio for aggressive: 1.29, stable: 1.18, conservative: 1.51, benchmark: 0.53[40][46] - Model Name: Dividend Timing Model; Model Construction Idea: The model uses economic growth and liquidity indicators to construct a timing strategy for the dividend index[7][48] - Model Construction Process: For August, the recommended position for the CSI Dividend Index is 0%. The model combines signals from economic growth and liquidity indicators, which mostly show bearish signals[7][48] - Model Evaluation: The model has shown stable performance, with a significant improvement in stability compared to the CSI Dividend Total Return Index[7][48] - Model Test Results: Annualized return: 16.62%, Sharpe ratio: 0.94, maximum drawdown: -21.22%, compared to the CSI Dividend Total Return Index with an annualized return of 11.34%, Sharpe ratio: 0.57, and maximum drawdown: -36.80%[7][48][51]