国泰海通｜固收：如何择时股债对冲效率

Core Viewpoint - The relationship between stocks and bonds has shifted from a significant "seesaw" to a "desensitized" state since 2025, influenced by risk asset repricing and valuation adjustments, with a notable weakening of correlation in the second half of 2025 [1][3]. Group 1: Stock-Bond Relationship Dynamics - The formation of the "seesaw" in the first half of 2025 was driven by rapid interest rate declines, expensive bond prices, and a recovery in equity driven by technology, leading to a reallocation of funds between stocks and bonds [1]. - In the second half of 2025, the weakening of the linkage between stocks and bonds is seen as a natural outcome of low interest rates, with the bond market returning to a range-bound oscillation [1]. - The change in stock-bond correlation significantly impacts the hedging efficiency of stock-bond portfolios, with a strong consistency observed between changes in correlation and trends in dividend yields [1][2]. Group 2: Risk Premium and Market Sensitivity - Dividend yield serves as an observable proxy for risk premium, which systematically influences the strength of stock-bond linkage by determining the sensitivity of "discount rate revaluation" [2]. - Higher risk premiums indicate stronger market sensitivity to uncertainty and macro shocks, leading to more pronounced revaluation across assets, while lower risk premiums result in milder price adjustments and weaker stock-bond correlation [2]. Group 3: Future Outlook and Portfolio Strategy - The current weak correlation between stocks and bonds is likely to persist, with no foundational basis for a trend towards stronger linkage in the next six months [3]. - The ongoing equity bull market and marginal decline in risk premium indicators suggest insufficient synchronous revaluation power between stocks and bonds [3]. - For fixed income and multi-asset portfolios, the weak correlation implies lower efficiency of bonds in hedging equities, necessitating a conscious reduction in reliance on stock-bond hedging and a focus on duration structure, curve positioning, and diversification for stability [3].