十年研究心法之二：大类资产研究，并不复杂

Report Information - Report Title: "Research on Major Asset Classes Isn't Complicated: The Second Lesson from a Decade of Research" [1] - Report Date: August 29, 2025 [1] - Analyst: Liu Yu [5] Report Industry Investment Rating - Not mentioned in the report. Core Viewpoints - Different major asset classes have unique risk - return characteristics, and these characteristics change over time. Therefore, investors should regularly re - evaluate these features, select high - quality assets, and aim for beta returns by avoiding frequent timing and trading [2][13] - The pricing of stocks, bonds, and gold can be unified within a framework of liquidity, risk preference, and institutional behavior. Understanding these factors helps in analyzing asset price trends and making investment decisions [3] Summary by Directory 1. What is a Good Asset? - Asset characteristics can be evaluated using the risk - return ratio, which combines return and volatility. Assets with high returns and low volatility are considered good assets [11][12] - Historically, gold has shown an upward trend, and the domestic bond market has been in a long - term bull market since 2018, both providing good holding experiences. The domestic stock market is range - bound, making timing crucial for investors [12] - In 2025 from January to July, due to factors such as US tariff policies and the entry of market - stabilizing funds, the risk - return ratios of various assets changed significantly. Gold's ratio increased, domestic equities improved, and pure - bond indices deteriorated [2][12] 2. The Unified Framework for Major Asset Classes - Asset price movements have three phases: rising, falling, and sideways. The key to research and investment is to find the inflection points between these phases. The pricing of stocks, bonds, and gold can be unified under the framework of liquidity, risk preference, and institutional behavior [3][16] - Liquidity refers to the ease of obtaining funds in the market. Loose monetary policies usually lead to more funds flowing into the capital market, driving up asset prices [3][17] - Risk preference reflects investors' expectations and confidence in the future. It is influenced by economic fundamentals and policy expectations, and has a significant impact on asset pricing [18][19] - Institutional behavior affects the market in two ways: strengthening short - term trends and having a structural impact on specific sectors [4][20] 3. Equities: Risk Preference is Key - Stock market pricing can be simply measured by the price - earnings ratio, and risk preference is a crucial factor. High risk preference leads to more optimistic pricing, while low risk preference can cause prices to fall [21] - The balance of margin trading can be used to measure market risk preference. An increase in the balance indicates rising risk preference, and vice versa [21] - The driving factors for risk preference in the stock market include corporate earnings and policy expectations. Different driving factors require different investment strategies [26][31] 4. Bonds: Monetary Policy is the Lifeline - The main ways to obtain returns in the bond market are through coupon payments, leverage, and duration. Monetary policy and the money market are vital for the bond market [33][35] - The net lending scale of the banking system can be used to judge the stability of the money market. Policy changes and institutional behavior can also have a significant impact on the bond market [35][40] 5. Gold: De - dollarization is the Main Line - Gold is globally priced. Its price is affected by global liquidity, risk preference, and institutional behavior, especially the gold - buying behavior of central banks [46] - Historically, gold was negatively correlated with the real US dollar interest rate. However, since 2020, the relationship has become positive, indicating a change in the pricing logic due to the de - dollarization process [46][50] - As the de - dollarization trend continues, central banks' increased gold purchases support the price of gold, and gold is expected to benefit from this trend [50][52]