策略专题研究 研究团队：邓宇林、包承超、肖遥志 报告日期：2026年03月01日 证券研究报告 * 请务必阅读最后一页免责声明 摘要 证券研究报告 * 请务必阅读最后一页免责声明 1 ➢ 1、从历史经验看，历次中东区域冲突发生后，各类资产表现特征为：（1）美股往往进入震荡状态；（2）黄金 或趋势上行；（3）白银或震荡上行；（4）铜或先震荡再上行；（5）原油或先上行后回落。 ➢ 2、中东区域冲突后，VIX往往容易快速冲高；VIX回落后，权益资产表现或更好。 ➢ 3、历史经验看，中东区域冲突未必带来多资产相关性的快速提升。权益、黄金、银、铜、油等资产长期呈现明 显正相关；美元指数、债券与以上资产负相关；整体而言，长期看，A股市场的较好表现需要多资产相关性处于 下降的过程或者处于中低位水平。 ➢ 风险提示：全球地缘政治出现重大变化，导致全球市场风险偏好急剧变化。市场流动性超预期变化。历史数据 不代表未来。 中东区域冲突对市场的影响 01 历次中东区域冲突后的市场表现 02 资产间相关性对A股的影响 目 03 风险提示 录 C O N T E N T S 证券研究报告 2 * 请务必阅读最后一页免责声明 历次中东区域 ...

资产间相关性对A股的影响 策略专题研究 研究团队：邓宇林、包承超、肖遥志 报告日期：2026年02月27日 证券研究报告 * 请务必阅读最后一页免责声明 1 ➢ 1、美股对A股的影响：从相关性角度看，周度视角下，A股美股的相关性提升有利于A美共振上行；长期视角 下，A股需要一个A股美股长期低相关的环境。 ➢ 2、多权益资产相关性：长期看，欧美权益市场内部的相关性较高，亚洲市场内部的相关性较高。长期看，各国 权益间的低相关性对A股较为有利。 ➢ 3、多资产相关性：权益、黄金、银、铜、油等资产长期呈现明显正相关；美元指数、债券与以上资产负相关； 整体而言，长期看，A股市场的较好表现需要多资产相关性处于下降的过程或者处于中低位水平。 ➢ 风险提示：全球地缘政治出现重大变化，导致全球市场风险偏好急剧变化。市场流动性超预期变化。历史数据 不代表未来。 01 资产间相关性对A股的影响 02 风险提示 目 录 C O N T E N T S 证券研究报告 * 请务必阅读最后一页免责声明 摘要 图表：当前市场重新进入中波动阶段 资料来源：wind，国联民生证券研究所 证券研究报告 * 请务必阅读最后一页免责声明 证券研究报告 ...

Summary of Key Points from the Conference Call Industry or Company Involved - The discussion revolves around asset correlation and its impact on investment strategies, particularly focusing on the bond and equity markets. Core Insights and Arguments 1. **Asset Correlation and Portfolio Returns** - Asset correlation significantly contributes to portfolio returns, especially under daily rebalancing, where negative correlation reduces volatility and enhances geometric mean returns. However, strong trends in assets may weaken the negative contribution, necessitating trend-based optimization in allocation [1][2][4]. 2. **Risk Parity Strategy** - The risk parity strategy should account for risk premiums arising from asset correlations to optimize weight allocation, improving the Calmar ratio and Sharpe ratio. The importance of correlation in pricing should not be underestimated for better allocation outcomes [1][5]. 3. **Diversification Benefits** - Increasing asset diversity can effectively lower maximum drawdowns. In stock-bond combinations, a low equity position shows a symmetrical effect, similar to financial products using a low proportion of convertible bonds and stocks to achieve long-term net value growth while controlling drawdowns [1][7][8]. 4. **Modeling Bond Yields with Correlation** - Asset correlation serves as a crucial feature in modeling single asset returns. Incorporating stock-bond correlation significantly enhances predictive accuracy, outperforming models that rely solely on bond characteristics [1][9]. 5. **Sampling Frequency for Correlation Calculation** - The calculation of asset correlation should consider sampling periods and frequencies, with weekly data being optimal for balancing noise and information. Tail dependency risks should also be monitored using Copula methods [1][10]. 6. **Statistical Significance of Stock-Bond Correlation** - The statistical significance of the negative correlation between stocks and bonds requires careful assessment, especially in the context of self-correlation factors that may distort results [1][11]. 7. **Tail Dependency Risk in Strategies** - Tail dependency risk, particularly in stock price movements, should be observed and characterized using Copula methods, as sudden changes in liquidity can lead to significant shifts in asset correlations [1][12]. 8. **Impact of Macroeconomic Factors** - The relationship between stocks and bonds is influenced not only by absolute inflation levels but also by the uncertainty of inflation and economic growth. Liquidity indicators effectively capture market liquidity stress and stock volatility changes [1][29][30]. 9. **Future Outlook for 2026** - The correlation between stocks and bonds in 2026 is expected to be influenced by macroeconomic policies and liquidity changes, with a recommendation for diversified investment strategies to manage potential volatility [1][34]. Other Important but Possibly Overlooked Content 1. **Market Indicators** - The development of high-frequency market indicators, such as interbank liquidity and volatility measures, provides insights into asset correlations and market conditions [1][31][32]. 2. **Historical Correlation Trends** - Historical data shows a notable negative correlation between stocks and bonds since 2018, with varying influences from inflation, liquidity, and institutional behaviors across different economic cycles [1][15]. 3. **Convertible Bonds and Stock Correlation** - Convertible bonds exhibit a strong positive correlation with underlying stocks, particularly when their valuation is at moderate levels, influenced by market conditions and investor behavior [1][17][20]. 4. **Gold's Relationship with A-Shares** - Gold has shown weak correlation with A-shares and A-class assets, which is significant for risk parity strategies as it aids in effective risk diversification [1][21]. 5. **REITs and A-Shares Correlation** - REITs have recently shown a negative correlation with A-shares, primarily due to the current investor structure focusing on fixed income rather than growth expectations [1][24]. This summary encapsulates the essential insights and findings from the conference call, highlighting the importance of asset correlation in investment strategies and the need for adaptive approaches in response to market dynamics.