策略深度报告：海外低利率时期的资产配置规律

Core Viewpoints - The report analyzes the asset allocation patterns during periods of low interest rates overseas, emphasizing that these patterns may not directly apply to China's current economic context [3] - It highlights that low interest rate environments are typically triggered by special catalysts, leading to damaged balance sheets that require prolonged recovery periods [4] - The report identifies three phases of interest rate movements: rapid decline, prolonged low platform, and moderate recovery [4] - Asset performance varies across these phases, with bonds outperforming during the decline, equities and commodities during the low platform, and equities and precious metals during the recovery [4][5][6] Economic and Interest Rate Patterns - In low interest rate environments, nominal GDP growth tends to decline by 1.5-6 percentage points compared to the previous 10-15 years, and CPI levels drop below 2% [4] - Interest rates typically follow a three-stage trajectory: rapid decline (1-9 years), prolonged low platform (7-23 years), and moderate recovery [4] - Traditional monetary policies often fail, leading to the adoption of unconventional measures such as quantitative easing and negative interest rates [4][29] Asset Performance in Different Phases Interest Rate Decline Phase - Bonds are the only asset class that outperforms inflation, with an average annualized return of 10.67% [4] - Equities, real estate, and commodities underperform, with equities showing an average annualized return of -9.42% [4][86] Low Interest Rate Platform Phase - Equities and precious metals lead with average annualized returns of 6.57% and 5.60%, respectively [92] - Real estate and commodities also outperform inflation, with returns of 2.21% and 2.91%, respectively [92] - Cash and foreign exchange underperform, with returns close to 0% [92] Interest Rate Recovery Phase - Precious metals and foreign exchange lead with average annualized returns of 18.83% and 4.65%, respectively [97] - Bonds underperform significantly, with an average annualized return of -4.18% [97] Equity Market Characteristics in Low Interest Rate Environments - Equity valuations remain stable during low interest rate periods, with median P/E and P/B ratios averaging 19.49x and 1.78x, respectively [110] - High-growth sectors such as technology, consumer discretionary, and healthcare outperform, with average annualized returns of 11.84%, 10.47%, and 9.05%, respectively [115][116] - Small-cap stocks tend to outperform large-cap stocks, with MSCI small-cap indices showing an average annualized return of 6.49% [132][133] Sector and Regional Performance - In Japan, sectors with strong overseas exposure (e.g., trade, automotive, machinery) and domestic necessity sectors (e.g., healthcare, consumer staples) perform well during low interest rate periods [126][130] - In the US and Europe, technology and consumer discretionary sectors lead, while financials and real estate lag [115][116] Conclusion - The report concludes that asset allocation strategies should adapt to the specific phase of the interest rate cycle, with bonds favored during declines, equities and commodities during low platforms, and precious metals during recoveries [4][92][97] - It also emphasizes the importance of sector and regional selection, particularly in low interest rate environments where growth sectors and small-cap stocks tend to outperform [115][132]