摩根资产管理资深环球市场策略师朱超平认为，年初至今，全球风险资产表现强劲，在企业盈利韧性与 科技创新的双重支撑下，全球公募基金市场的长线回报前景依然乐观。特别值得关注的是东亚市场的公 司治理改革浪潮，中国、韩国等市场的企业正通过提升治理水平、加大股份回购、增强信息透明度等举 措改善资本回报，推动企业策略与股东利益深度对齐。 （文章来源：新华财经） "中国A股长期回报前景良好，以美元计价，在未来10-15年预计年化回报率为7.7%。"摩根资产管理环 球多资产策略师盛楠表示，这一预期主要基于三大驱动因素：一是经济增长的长期韧性、盈利增长的韧 性与风险因素的逐步明朗化，为风险资产提供了上行空间；二是更有力的增强股东回报政策，包括鼓励 股份回购、强化现金分红等政策或有望支持A股长期回报；三是估值的潜在空间，随着公司治理的持续 优化以及国际投资者对中国资产配置的逐步加深，A股市场估值有望迎来重估。 针对资产配置的优化方向，盛楠表示，回顾资本市场三十年演变，将另类资产纳入投资组合已成为提升 收益的有效路径。这类资产不仅能增厚潜在回报、平抑组合波动，更能显著提升组合的夏普比率 （Sharpe Ratio），优化风险收益结构 ...

文 ： 华创证券研究所副所长 、首席宏观分析师 张瑜（执业证号：S0360518090001） 联系人： 陆银波（15210860866） 报告摘要 景气向上 1、WEI指数低位回升。 截至2025年11月16日，华创宏观中国周度经济活动指数为5.43%，环比2025 年11月9日的4.83%上行0.60%。2025年9月底以来，华创宏观周度经济活动指数总体回落。 2、地产销售：商品房住宅销售降幅收窄 。我们统计的67个城市，11月第三周，商品房成交面积同比 为-21%。11月前三周累计为-33%。10月同比为-26%。 景气向下 1、耐用品消费：乘用车零售维持负增长 。11月前16日，乘用车零售同比增速为-14%。10月全月同比 为+5.8%。9月全月同比为+6%。8月全月同比为+3%。 2、基建及行业开工数据回落：水泥发运率继续震荡。 11月第二周，水泥发运率为33.4%，持平上 周，去年同期为36.4%。 石油沥青装置开工率继续回落 ，截至11月19日当周，开工率为25%，较前 一周-4.2个点，较去年同期-7.7个点。 行业开工率普跌，多数行业低于去年同期。 一、 华创宏观WEI指数低位回升 截至 2 ...

Core Insights - The article compares the investment performance of social security funds, enterprise annuities, and life insurance funds over the past 15 years, highlighting that the life insurance industry has the highest investment yield and the lowest volatility, with the highest Sharpe ratio [1][6][34]. Investment Performance Comparison - In 2024, the scale of social security funds is approximately 3.3 trillion yuan, while enterprise annuities amount to 3.6 trillion yuan. In contrast, the scale of life insurance investment funds reaches 30 trillion yuan, significantly higher than both social security funds and enterprise annuities [27]. - The average investment yield for social security funds is 6.2%, for enterprise annuities is 4.7%, and for life insurance funds is 5.1% [34]. - The standard deviation of life insurance funds' yield is the lowest among the three, indicating lower risk [34]. - The Sharpe ratio for life insurance funds is the highest at 1.406, followed by social security funds at 0.619, and enterprise annuities at 0.598. The average yield of the Shanghai Composite Index is below the risk-free rate, resulting in a negative Sharpe ratio [34][35]. Investment Strategies and Asset Allocation - The investment strategies of social security funds, enterprise annuities, and life insurance funds differ significantly due to their underlying asset allocations. Social security funds have increased their equity asset allocation from 23.7% in 2008 to 53.6% in 2024 [7][17]. - Enterprise annuities maintain a high allocation to equity assets, consistently above 80% over the past decade, reaching 86.8% by 2024 [25]. - Life insurance funds have approximately 20.3% of their assets in equity and long-term equity investments [19]. Regulatory Environment - The regulatory frameworks for social security funds and enterprise annuities differ from that of insurance funds, which must consider risks such as policyholder withdrawals and liquidity [37]. - The 2025 regulations allow insurance companies more flexibility in equity asset allocation based on their solvency ratios, with limits set at 40% or 50% depending on their solvency status [15][17].

Group 1 - Morgan Asset Management's report projects a 6.4% annual return for a 60/40 stock-bond portfolio over the next 10 to 15 years, indicating continued attractiveness despite strong market performance [1] - The report highlights that U.S. large-cap stocks are expected to yield a return of 6.7%, remaining stable compared to the previous year [1] - The firm believes that the adoption of AI will enhance corporate profits in the short term and contribute to productivity improvements in the long run [1] Group 2 - The inclusion of alternative assets in investment portfolios is expected to improve potential returns and reduce volatility, with a "60/40+" portfolio potentially achieving a 6.9% return and a 25% higher Sharpe ratio compared to traditional allocations [2] - Global stock returns are projected at 7%, with non-U.S. markets offering more attractive cyclical opportunities, benefiting from currency appreciation [2] - Asian stocks (excluding Japan) are expected to yield a return of 7.9%, while Japanese stocks, supported by ongoing corporate governance reforms, are projected to return 8.8% [2] Group 3 - U.S. core real estate is forecasted to have an 8.2% return, benefiting from attractive entry points and rising yields [2] - Core real estate in the Asia-Pacific region is expected to yield an 8.4% return, aided by a weakening U.S. dollar [2]

Core Viewpoint - The article discusses the performance of private equity products in the A-share market over the past three years, highlighting the scarcity of products that have maintained impressive returns and drawdown performance amidst market volatility caused by geopolitical conflicts, the pandemic, and trade wars [2]. Summary by Categories Overall Performance of Private Equity Products - In 2023, the average return for 662 private equity products with over 10 billion in assets was 30.15%, with an average Sharpe ratio of 2.53. Over the past three years, 430 of these products achieved an average return of 79.96% and a Sharpe ratio of 1.12 [3]. Performance by Company Size - 100 billion and above: 662 products, 30.15% return, 2.53 Sharpe; 430 products, 79.96% return, 1.12 Sharpe - 50-100 billion: 372 products, 25.59% return, 2.15 Sharpe; 242 products, 53.73% return, 0.88 Sharpe - 20-50 billion: 630 products, 29.42% return, 2.29 Sharpe; 388 products, 75.14% return, 1.33 Sharpe - 10-20 billion: 573 products, 30.50% return, 2.25 Sharpe; 328 products, 74.08% return, 1.07 Sharpe - 5-10 billion: 745 products, 31.57% return, 1.91 Sharpe; 449 products, 82.89% return, 0.91 Sharpe - 0-5 billion: 2057 products, 28.59% return, 1.82 Sharpe; 1169 products, 72.52% return, 0.84 Sharpe - Total: 5039 products, 29.34% return, 2.06 Sharpe; 3006 products, 74.13% return, 0.98 Sharpe [3]. Top Performing Private Equity Products - The top three subjective long products over the past three years are from Junzhijian Investment, Kaishi Private Equity, and Dongfang Gangwan, with average returns of 99.85% and a Sharpe ratio of approximately 1.04 [4]. - The leading product is "Junzhijian Junyue" managed by Zhang Yong, with significant returns and a high Sharpe ratio [5][6]. - The top three quantitative long products are from Ming Shi Fund, Maoyuan Quantitative, and Abama Investment, with an average return of 85.34% and a Sharpe ratio of approximately 1.02 [7]. - The leading product is "Ming Shi Spring 28" managed by Yang Kun, achieving high returns and a notable Sharpe ratio [8][9]. - The top three market-neutral products are from Ping Fang He Investment, Mengxi Investment, and Ming Huan Investment, with an average return of 85.34% and a Sharpe ratio of approximately 1.02 [10]. - The leading product is "Ping Fang He Cai Ying Ping Heng 1" managed by Lü Jieyong and Fang Zhuangxi, with impressive returns and a high Sharpe ratio [12]. - The top three multi-asset strategy products are from Borun Yintai Investment, Ming Huan Investment, and Honghu Private Equity, with an average return of 64.79% and a Sharpe ratio of approximately 1.09 [13].

Core Viewpoint - The article emphasizes the importance of the Sharpe ratio as a key metric for evaluating investment performance in the current A-share market, highlighting that higher Sharpe ratios indicate better risk-adjusted returns and investment efficiency [2]. Group 1: Performance of Private Equity Funds - In 2023, the average Sharpe ratio for 662 private equity funds with over 10 billion yuan in assets reached 2.5349, significantly outperforming smaller funds [3]. - The average return for these funds was 30.15%, with a total asset scale of approximately 12.24 billion yuan [3]. Group 2: Top Performing Funds - The top three subjective long funds with the highest Sharpe ratios were from Jihua Asset, Yuanxin Investment, and Duration Investment, with average returns of 26.88% and a Sharpe ratio of about 1.26 [4]. - The leading product was "Jihua Composite Strategy No. 1" managed by Wang Yiping, achieving a remarkable performance over ten years [5]. Group 3: Quantitative Long Funds - The average return for 286 quantitative long funds was 44.65%, with an average Sharpe ratio of approximately 3.54, indicating strong performance [7]. - The top three quantitative long funds were from Jihua Asset, Longqi Technology, and Kuande Private Equity [7]. Group 4: Market Neutral Funds - The average return for 53 market-neutral funds was 7.32%, with an average Sharpe ratio of about 1.86 [11]. - The leading product was "Mingxun Neutral No. 1 A Class" managed by Mingxun Investment, which has shown consistent upward performance since its inception [12]. Group 5: Multi-Asset Strategy Funds - The average return for 74 multi-asset strategy funds was 23.17%, with an average Sharpe ratio of approximately 2.43 [14]. - The top products in this category were managed by Mingxun Investment and Qianyan Private Equity [14]. Group 6: Quantitative CTA Strategies - The average return for 25 quantitative CTA products was 7.01%, with an average Sharpe ratio of about 1.08 [18]. - The leading product was "Heiyi CTA-T21 C Class" managed by Heiyi Asset, showcasing strong performance in the quantitative investment space [19].

Core Insights - The article draws a parallel between shopping for products during the Double Eleven sales and selecting investment funds, emphasizing the importance of a strategic approach in both scenarios Part 01: Fund Selection Guide - Step 1: Define the investment goal, similar to having a shopping objective, which helps in selecting suitable funds based on investment planning, risk tolerance, and time horizon [3] - Step 2: Evaluate historical performance and fund manager credibility, as past performance can indicate the manager's capability, even though it does not guarantee future results [3] - Step 3: Assess the cost-benefit ratio using the Sharpe ratio, which measures excess return per unit of risk, with a ratio above 1 indicating good performance and above 2 indicating excellent performance [3] - Step 4: Review the fund's holdings, focusing on industry distribution and top holdings to ensure alignment with investment intentions and avoid redundancy in the portfolio [4] Part 02: Rational Fund Management - Avoid impulsive purchases driven by market trends, akin to emotional shopping, to prevent poor investment decisions [6] - Refrain from frequent redemptions, as high transaction costs can disrupt long-term strategies and lead to a cycle of chasing market trends [7] Part 03: Optimizing the Investment Portfolio - Regular maintenance of the investment portfolio is essential, similar to periodically cleaning a shopping cart [9] - Implement a "core-satellite" strategy, allocating 60%-80% to core assets for stability and 20%-40% to satellite assets for higher returns [10][11] - Conduct periodic reviews of the fund portfolio to rebalance and maintain the intended asset allocation, ensuring alignment with market conditions [13]

Group 1: Economic Trends - The Huachuang Macro WEI Index increased to 5.3% as of October 19, up 1.19 points from the previous week [2] - Port container throughput showed a slight rebound, with a 3.6% increase compared to the previous week, while the year-on-year growth rate decreased to 4.3% [2][27] - Oil prices rebounded significantly, with WTI crude oil closing at $61.5 per barrel, up 6.9%, and Brent crude at $65.9 per barrel, up 7.6% [2][44] Group 2: Consumer Behavior - Retail sales of passenger cars turned negative, with a cumulative year-on-year decrease of 5.7% as of October 18, compared to a 6% increase in September [3][16] - The growth rate of non-durable goods consumption declined, with express delivery volume showing a year-on-year decrease of 0.8% [3][16] - Real estate sales saw a significant drop, with residential sales in 67 cities down 23% year-on-year as of October 24, compared to a 1.2% decline in September [3][16] Group 3: Production and Industry - Cement dispatch rates fluctuated, with a rate of 38.4% as of October 17, slightly up from the previous week [19] - Industrial production showed a decline in coal throughput at Qinhuangdao Port, with a year-on-year increase of only 4.6% as of October 24, down from 19% in September [19][23] - The construction sector's apparent consumption of rebar was down 14% year-on-year as of October 24 [19] Group 4: Policy and Investment - New policy financial tools have been issued, totaling over 330 billion yuan, expected to drive total project investment of 4.8 trillion yuan [4][49] - The focus of the recent Central Committee meeting shifted from "supply-side reform" to "building a unified market," indicating a change in policy direction [4][23] - The Ministry of Industry and Information Technology emphasized the need for modernization in industry governance during the recent meeting [4][23] Group 5: Trade Dynamics - The number of ships from China to the U.S. saw a significant year-on-year decline of 28.6% as of October 25 [27][29] - The overall import value from the U.S. showed a slight rebound, while imports from China remained at a low level, with a year-on-year decrease of 24.8% [28][29] - Container shipping rates for exports from Shanghai increased by 7.1% in the week ending October 24 [27] Group 6: Price Movements - Prices for pork and eggs continued to decline, with pork prices down 1.7% and egg prices down 2% [45] - The overall commodity price index increased by 0.9%, while global commodity prices rose significantly, with the RJ/CRB index up 3.3% [43][44] - The price of industrial silicon futures decreased by 0.5%, while polysilicon futures dropped by 4.1% [44][45]

Group 1 - The article discusses the importance of considering both returns and risks when making investment decisions, highlighting that focusing solely on returns can be dangerous [4][6] - It introduces the Sharpe Ratio as a key metric that helps investors evaluate the "cost-effectiveness" of their investments by considering both returns and risks [8][9] - The Sharpe Ratio is defined as the ratio of excess return (returns above the risk-free rate) to the volatility of the investment, where the risk-free rate is typically represented by short-term government bond yields [13][15][19] Group 2 - An example is provided comparing two funds: Fund A with a 15% return and Fund B with a 20% return, emphasizing that Fund A may be a better choice due to its lower volatility risk [21][23] - The article notes that investors do not need to calculate the Sharpe Ratio themselves, as it is usually provided in the product descriptions of both public and private funds [24] - It outlines that a Sharpe Ratio below 0 indicates that the investment is underperforming compared to risk-free assets, suggesting that such investments should be avoided [25] Group 3 - The article warns against comparing Sharpe Ratios across different strategies, as they have inherently different risk-return characteristics [27] - It emphasizes the importance of using a longer time frame (3-5 years) for evaluating the reliability of the Sharpe Ratio, as shorter periods may not capture complete market cycles [29] - The article concludes that while the Sharpe Ratio is a valuable tool, it should not be the sole metric for investment decisions; other dimensions should also be considered [31][32]

Core Viewpoint - The article emphasizes the importance of balancing risk and return in investment strategies, advocating for the use of the Sharpe Ratio as a key metric for evaluating investment performance and making informed asset allocation decisions [6][7]. Group 1: Investment Performance - Various asset classes have performed well this year, with A-shares reaching a nearly 10-year high, and the Nasdaq and gold also hitting historical peaks [4]. - The author achieved a return exceeding 15% this year with a maximum drawdown of less than 8% by employing a diversified asset allocation strategy [4]. Group 2: Sharpe Ratio - The Sharpe Ratio, proposed by Nobel laureate William Sharpe, measures the risk-adjusted return of an investment, calculated as (expected return - risk-free rate) / volatility [7]. - A higher Sharpe Ratio indicates a better risk-return trade-off, allowing investors to assess the efficiency of their investments [7]. Group 3: Advantages of High Sharpe Ratio - Pursuing a high Sharpe Ratio eliminates the need for market timing, as investments with lower volatility tend to provide steadier returns [9][11]. - A high Sharpe Ratio enhances the trading experience by reducing psychological stress associated with market fluctuations [12][13]. - Time is a crucial factor in investment growth, and a stable return is necessary to benefit from compounding over time [14][15]. Group 4: Asset Allocation Strategy - The article suggests that effective asset allocation can significantly improve the Sharpe Ratio, with a reported Sharpe Ratio of 1.73 for a diversified portfolio compared to the CSI 300 index [16]. - Diversification across low-correlated assets can lower volatility, as demonstrated by the contrasting performance of A-shares, Nasdaq, and gold during market fluctuations [18][19][20]. - Optimizing asset weights within a portfolio can enhance the expected return while managing risk, as illustrated by a specific asset allocation strategy yielding over 15% returns with lower drawdowns [21].