芦哲：如何看待股债收益相关性？

Core Viewpoint - The correlation between stock and bond returns is a crucial factor in constructing multi-asset portfolios, with a specific focus on the "82 portfolio" consisting of 80% investment in the China Bond - National Debt Total Wealth Index and 20% in the CSI A500 Total Return Index [1][3]. Group 1: Importance of Studying Stock-Bond Return Correlation - The correlation between stock and bond returns is essential for multi-asset portfolio construction, influencing expected returns and risk management [3]. - A Monte Carlo simulation of 100,000 paths over 120 months indicates that if the stock-bond return correlation increases from -0.6 to 0, the portfolio's volatility will rise from 3.15% to 4.35% [4][7]. - The Value at Risk (VaR) at a 95% confidence level will decrease from 2.72% to 2.02%, while the maximum drawdown over 12 months will increase from -4.80% to -5.72% [4][7]. Group 2: Periodicity of Stock-Bond Return Correlation - The stock-bond return correlation in China has shown significant periodic characteristics since 2010, with an overall upward trend from Q2 2022 to the present [12][13]. - The correlation has fluctuated, showing an upward trend from Q1 2010 to Q2 2017, a downward trend from Q3 2017 to Q1 2022, and a renewed upward trend since Q2 2022 [12][13]. Group 3: Macroeconomic Factors Influencing Correlation - Economic growth and inflation are the two core factors affecting stock and bond returns, with growth having an inverse effect and inflation having a direct effect on both [18][19]. - The relationship can be expressed through a formula that incorporates growth and inflation factors, indicating that the stock and bond returns are influenced by these macroeconomic variables [19][20]. Group 4: Practical Applications and Future Predictions - The expected stock-bond return correlation for the period from September to November 2025 is projected to range between -0.216 and -0.229, indicating a continued upward trend [5][26]. - For managing maximum drawdown and volatility, a stock allocation of only 3% to 5% may be advisable, with a critical threshold for stock allocation between 18% and 21% [27][8].