张瑜：全球视野下的夏普比复盘与A股的“新常态”

Core Viewpoint - The article highlights that by 2025, the Chinese stock market is expected to lead major global markets with a Sharpe ratio of 1.72, characterized by low volatility and high efficiency, making it an attractive investment option [2][4]. Group 1: Global Market Analysis - In 2025, the performance of major asset classes globally shows a significant "strong stocks, weak bonds" trend, with equity assets becoming the core source of excess returns, while bond assets are generally underperforming [4][8]. - The Chinese stock market's Sharpe ratio of 1.72 indicates a robust risk-return profile, achieving nearly 20% annual returns with a volatility of only 11.6%, reflecting a stable recovery post-macro policy adjustments [8][12]. - The bond market in China faces significant challenges, with a Sharpe ratio plummeting to -1.93 and an annual return of -4.3%, indicating a shift of funds from traditional safe-haven bonds to more efficient equity investments [8][12]. Group 2: Historical Sharpe Ratio Trends - Over the past two decades, emerging markets like China and Vietnam exhibit higher volatility in Sharpe ratios compared to developed markets, with China's Sharpe ratio volatility recorded at 1.60, the highest among the analyzed economies [5][11]. - The Sharpe ratio for China in 2025 is the highest since 2014, achieved under a low volatility environment, contrasting with previous recoveries that relied on high volatility and index surges [11][12]. - If the "high efficiency, low volatility" characteristic of the Chinese stock market in 2025 becomes a trend, it could significantly reshape residents' confidence in equity assets, promoting a shift from short-term trading to long-term investment strategies [12]. Group 3: International Experience on Equity Allocation - Analysis of OECD countries shows a strong correlation between Sharpe ratios and the proportion of equity in residents' financial assets, with a 0.1 unit increase in Sharpe ratio leading to a 1.56 percentage point increase in equity allocation [6][15]. - The average Sharpe ratio for the Chinese stock market over the past decade is 0.17, with only 6.4% of urban residents' financial assets allocated to stocks, suggesting potential for increased equity allocation if the Sharpe ratio improves [15].