华创证券张瑜：全球视野下的夏普比复盘与A股的“新常态”

Group 1 - The core finding indicates that by 2025, the Chinese stock market is projected to have the highest Sharpe ratio of 1.72 among major global markets, characterized by significantly reduced annual volatility, making it an attractive investment option [1][2][7] - The average Sharpe ratios over the past two decades for China and the US were 0.20 and 0.85 respectively, but in 2025, China's ratio surpasses the US for the first time since 2020, with the US at 0.72 [1][2][7] - Emerging markets like China and Vietnam exhibit higher volatility in their Sharpe ratios compared to developed markets, with China's ratio volatility being the highest at 1.60 [6][7] Group 2 - In 2025, the performance of global asset classes shows a clear "strong stocks, weak bonds" trend, with equity assets becoming the primary source of excess returns, while bond markets face significant challenges [2][3] - The Chinese stock market's Sharpe ratio of 1.72 is supported by an annualized return of nearly 20% and a volatility of only 11.6%, indicating a robust recovery following macro policy adjustments [2][3] - The bond market in China faces difficulties, with a Sharpe ratio of -1.93, primarily due to negative annualized returns, contrasting with the US and India, which maintain positive Sharpe ratios [3] Group 3 - Historical analysis shows that the Sharpe ratio for the Chinese market in 2025 is the highest since 2014, achieved under low volatility conditions, indicating a shift towards a "high efficiency, low volatility" investment environment [7] - The relationship between Sharpe ratios and the proportion of equity assets in residents' financial portfolios is significant, with higher Sharpe ratios correlating with increased equity allocation [10] - In OECD countries, a 0.1 unit increase in the Sharpe ratio corresponds to a 1.56 percentage point increase in the equity allocation of residents' financial assets, suggesting potential for increased stock market participation in China if the Sharpe ratio continues to rise [10]