1月13日，中金财富发文称，许多人的投资记忆里，都有"赚过"的瞬间：收益率冲上高点，觉得自己悟 道了，但转天被打回原形。那些看似诱人的剧烈波动，让盈利只是从你的账户路过了一下。很多人都忽 略了，在"赚过"和"赚到"之间，其实横着一笔"波动率税"——高波动对长期复合增长的蚕食。 投资者应如何应对波动？中金提出以下五点建议：(1)多元化配置，这是最根本、有效的方法；(2)明确 自己能承受多大的净值波动，再配资产；(3)搭建"反脆弱"系统，牢记用闲钱投资；(4)忘记单纯的收益 率排名，而去多关注风险调整后收益、学会看夏普比率；(5)接受"慢就是快"的投资哲学，保持在场， 才有机会让时间真正成为你的朋友。 在投资中，在单利回报(算数均值)相等的条件下，资产的波动率越高，复利回报(几何平均)就越低，而 且呈现一种加速下降的趋势。更重要的是，高波动性可能还会带给你恐惧与贪婪，导致"高买低卖"的追 涨杀跌，进一步加剧实际损失。 股票频道更多独家策划、专家专栏，免费查阅>> 责任编辑：钟离 ...

Market Overview - The significant drop in precious metals was driven by the Federal Reserve's internal disagreements on interest rate cuts for 2026 and the CME's increase in futures margin requirements[3] - Gold prices fell by 4.79% during the week, while the 10-year U.S. Treasury yield rose to 4.19%, an increase of 5 basis points[3][15] Capital Flows - Domestic capital inflow into the Chinese stock market was $4.99 million, while foreign capital outflow amounted to $0.65 million in the past week[3] - Global funds saw inflows into money market funds, with U.S. equity markets receiving $11.6 million in inflows[20] Valuation Metrics - The A-share equity risk premium (ERP) slightly decreased but remains at a historically neutral level, with the Shanghai Composite Index's valuation at the 87.8 percentile over the past decade[3][19] - The risk-adjusted return percentile for the Shanghai Composite Index increased from 92% to 94%[3] Risk Sentiment - The VIX index for U.S. stocks showed a slight decrease, indicating a marginally improved risk sentiment, while the Chinese options market displayed increasing divergence in capital positioning[3][19] - The S&P 500 closed at 6858, below the 20-day moving average, with an implied volatility trend on the rise[3] Economic Data - The U.S. unemployment claims significantly dropped, indicating a potential cooling in the economy, while inflation expectations for the U.S. are trending downward[3][19] - The probability of maintaining the current interest rate range of 3.5%-3.75% increased to 83.40% as of January 3, 2026, up from 82.30% the previous week[3]

证 券 研 究 报 告 沪深300隐含波动率低位回升 全球资产配置每周聚焦 (20251219-20251226) 证券分析师：金倩婧 A0230513070004 冯晓宇 A0230521080005 林遵东 A0230524100005 王胜 A0230511060001 2025.12.28 www.swsresearch.com 证券研究报告 2 ◼ 全球资本市场回顾：本周 (20251219-20251226) 美国市场核心矛盾聚焦政策分歧与经济结构性失衡，特朗普明确要求下任美联储主席推动大幅降息，同时白银逼仓背景下，贵金 属领涨全球资产，美股整体震荡收涨。1）固收方面，10Y美债收益率录得4.14%，本周下降2BPs，美元指数下跌0.69%，当前点位为98.0；2）权益方面，本周韩国、日本、新兴市 场股市上涨较多，A股指数全线收涨，创业板指、中证1000和科创50涨幅靠前，阿根廷、法国、英国股市有所下跌；3）商品方面，本周黄金上涨4.24%，并且白银逼仓背景下，贵 金属领涨全球资产，原油本周上涨0.55%。 ◼ 全球资金流向跟踪：截止到2025/12/24，过去一周来看，内外资均流入中国股市；海外 ...

晨 会 纪 要 [2025]第 232 号 主 题：对近期重要经济金融新闻、行业事件、公司公告等进行点评 时 间：2025 年 12 月 18 日 8:50-9:30 研究所今日晨会要点如下: 一、金融工程 1、基于风险角度的大类资产配置策略（邢维洁） 从风险角度进行大类资产配置 以风险管理为基石的现代资产配置哲学，与传统以预期收益为核心的方法不同，风险配 置的起点是量化投资者的风险承受能力，并以此设定明确的风险预算。其核心操作并非简单 地分配资金，而是追求各类资产对投资组合的风险贡献符合预设目标，从而实现真正的风险 分散。这种方法的优势在于能显著改善下行保护，提供更平滑的投资体验，并构建一个对各 种经济环境都具有韧性的反脆弱系统，最终帮助投资者在长期内获得更优的风险调整后收益。 基于风险平价模型的配置策略 作为风险配置理念的典范，风险平价模型被置于研究的中心。该模型通过数学优化，使 不同波动特性的资产对组合总风险产生相等的贡献，从而避免了传统股债组合中风险被股票 资产主导的弊端。回测结果显示，风险平价模型在观测期内实现了 6.1% 的年化收益率，并 将最大回撤控制在 3.4%，夏普比率达到 3.62，展现了 ...

Core Insights - Guangdong Rundar Private Equity Fund Management Co., Ltd. has established a unique investment research framework combining top-down and bottom-up approaches, aiming to optimize risk-adjusted returns for investors [1][2] Investment Strategy - The company employs a dual selection method for stock picking, leveraging both subjective and quantitative analysis to enhance investment decision-making [1][2] - The investment team consists of experienced professionals from leading fund companies, contributing to a robust investment framework [1] Research Framework - The top-down research framework focuses on macro policies, industry trends, and micro fundamentals to identify investment opportunities [2] - Quantitative analysis is utilized to assess price-volume relationships, cash flow inertia, momentum strength, and market correlation, aiding in the valuation of investment portfolios [2] Quantitative Strategies - Rundar Fund has developed a "neural network model" for quantitative trading strategies, including timing strategies, index enhancement strategies, and subjective stock selection strategies [2][3] - The company has diversified its quantitative strategies to cover a broader range of market indices and self-developed indices [3] Risk Management - The firm emphasizes risk control through scientific methods to optimize risk-adjusted returns, particularly in quantitative timing strategies [3][4] - Subjective investment risk management involves adjusting asset allocation and utilizing derivatives for hedging purposes [4] Market Outlook - The A-share market is expected to experience a gradual upward shift in its volatility center, driven by economic transformation and capital market reforms [4][5] - The company identifies structural opportunities in sectors supported by the "14th Five-Year Plan," particularly in technology innovation, high-end manufacturing, and green low-carbon initiatives [5] Investment Focus - Specific investment opportunities include artificial intelligence, quantum technology, integrated circuits, new energy, military industry, energy storage, and new transportation equipment [5] - The company believes that the valuation of technology stocks should consider future growth potential rather than solely relying on current price-to-earnings ratios [5]

Global Capital Market Overview - The U.S. added 119,000 non-farm jobs in September, significantly exceeding the expected 51,000, but the unemployment rate rose to 4.4%, increasing market volatility regarding the Federal Reserve's interest rate cuts [1][5] - The U.S. dollar index increased by 0.87%, reaching a current level of 100.2, indicating the end of a weak dollar phase [1][5] - Global risk assets mostly declined, with equity markets experiencing significant drops, particularly in A-shares, Northbound 50, and Hang Seng Technology indices [1][5] Fund Flows - As of November 19, 2025, both domestic and foreign capital flowed into the Chinese stock market, with foreign capital inflows of $318 million and domestic inflows of $3.677 billion [2][10] - Overseas active funds saw an outflow of $301 million, while passive funds experienced an inflow of $619 million [2][10] - The U.S. equity market saw substantial inflows, particularly in technology and healthcare sectors, with a total of $11.8 billion entering the equity market [2][10] Valuation Metrics - As of November 21, 2025, the Shanghai Composite Index's valuation is at the 81.9 percentile over the past decade, second only to the S&P 500 and France's CAC40, but remains significantly lower than U.S. stocks in absolute terms [3][10] - The risk-adjusted return percentile for the S&P 500 decreased from 47% to 39%, while the Nasdaq's dropped from 46% to 35% [3][10] Market Sentiment Indicators - The S&P 500 closed at 6602.99, below the 20-day moving average, with an increase in implied volatility [4][10] - The put-call ratio for the S&P 500 decreased to 1.03 from 1.14, indicating a marginally more optimistic sentiment among investors [4][10] - In the A-share market, there was a significant increase in the open interest for call options on the CSI 300 index, reflecting high optimism for future market performance [4][10] Economic Data - The U.S. non-farm payrolls and unemployment rate data suggest a robust labor market, which may influence the Federal Reserve's interest rate decisions [5][10] - The probability of a 25 basis point rate cut in December rose to 71% from 44.4% the previous week, indicating increasing market expectations for monetary easing [5][10] - China's economic indicators show a weakening investment trend, but CPI and PPI are showing signs of marginal recovery, confirming further recovery signals [5][10]

Market Overview - The US added 119,000 non-farm jobs in September, significantly exceeding the expected 51,000, while the unemployment rate rose to 4.4%[3] - The US dollar index increased by 0.87% to 100.2, indicating the end of a weak dollar environment[3] - Global risk assets mostly declined, with significant drops in equity markets, particularly in A-shares and the Hang Seng Tech Index[3] Fund Flows - In the week ending November 19, 2025, foreign capital inflows into the Chinese stock market totaled $318 million, while domestic capital inflows reached $3.677 billion[3] - The US equity market saw a substantial inflow of $11.8 billion, while fixed income funds in the US attracted $10.99 billion[15] Valuation Metrics - As of November 21, 2025, the Shanghai Composite Index's valuation percentile was at 81.9%, second only to the S&P 500 and France's CAC40, but still significantly lower than US equities[3] - The risk-adjusted return percentile for the S&P 500 decreased from 47% to 39%, while the Nasdaq's dropped from 46% to 35%[3] Risk Sentiment - The S&P 500 closed at 6,602.99, below the 20-day moving average, with an implied volatility trend on the rise[3] - The put-call ratio for the S&P 500 decreased to 1.03 from 1.14, indicating a marginal increase in market optimism[3] Economic Data - The probability of a 25 basis point rate cut by the Federal Reserve in December rose to 71% from 44.4% the previous week, with an 80% chance of rates falling to 3.5%-3.75% by January 2026[3]

Core Viewpoint - The article highlights the strong performance of micro-cap stocks, particularly in the context of the Shanghai Composite Index's fluctuations around the 4000-point mark, indicating a growing market interest in this segment [2]. Group 1: Performance Comparison - Since 2010, the micro-cap stock index has outperformed major indices like the Shanghai 50, CSI 300, CSI 500, CSI 1000, and National 2000 in most years, except for 2017 and 2020 [2]. - The absolute performance data shows that in 2015, the micro-cap index surged by 229%, while the CSI 300 only increased by 6% [3]. - In 2023, the micro-cap index recorded a 50% increase, significantly outperforming other indices [3]. Group 2: Excess Returns Analysis - The excess returns of the micro-cap index are attributed to PB (Price-to-Book) recovery and the switching between high and low valuations [8]. - The report indicates that the contribution of trading frequency to excess returns is limited, while the profitability of micro-cap stocks does not significantly influence their overall returns [8]. - The strategy behind micro-cap stocks is characterized by a "reverse selection" feature, where stocks that have risen significantly are removed from the index, allowing for a systematic "buy low, sell high" approach [6]. Group 3: Trading Strategy Insights - The micro-cap index employs a mechanism that automatically executes a rebalancing strategy, enhancing its ability to capture structural reversal opportunities during market volatility [6]. - The trading environment for micro-cap stocks is influenced by both short-term trading and momentum strategies, which can amplify volatility during periods of liquidity tightening or systemic risk [8].

Core Insights - The article discusses the evolution of asset pricing theories and the need for a new approach to asset allocation that goes beyond traditional models, emphasizing the importance of risk-adjusted returns and dynamic risk management [2][10][25] Group 1: Traditional Asset Pricing Theories - Traditional asset pricing theories, such as the Capital Asset Pricing Model (CAPM), are based on strict assumptions like market efficiency and rational investors, which fail to explain market anomalies like momentum and value effects [2][4] - The limitations of these traditional theories were highlighted during financial crises, revealing their inadequacies in tail risk management [2][4] Group 2: New Asset Allocation Approach - The new approach focuses on systematically and proactively enhancing the risk-adjusted returns of investment portfolios rather than merely seeking absolute returns [2][4] - This shift represents a comprehensive innovation in philosophy and methodology, aiming for long-term and stable risk-return profiles within clearly defined risk budgets [2][4] Group 3: Dynamic Correlation and Risk Management - The article emphasizes that asset correlations are dynamic and can change with market conditions, making fixed historical correlation-based frameworks risky during crises [7][10] - Understanding the underlying logic of correlation changes is crucial, as traditional low-correlation "free lunch" strategies may diminish in effectiveness during market turmoil [10][12] Group 4: Investment Framework and Strategies - The investment framework proposed by the company is a three-dimensional model that incorporates technological advancements, new productivity measures, and narrative-driven investing [13][20] - The investment process is modularized into pre-investment, during-investment, and post-investment phases, each with specific goals and quantifiable standards to ensure systematic and disciplined operations [14][15] Group 5: Multi-Asset Investment Strategy - The newly launched multi-asset fund aims to provide a robust alternative to traditional fixed-income products by incorporating low-correlation assets like A-shares, U.S. stocks, gold, and bonds [16][18] - Statistical analysis shows that the probability of all four asset classes declining simultaneously is only 1.61%, indicating the effectiveness of low-correlation diversification [16] Group 6: Future of Asset Pricing - The future of asset pricing is seen as a transition from historical data reliance to a focus on understanding technological trends, industry changes, and collective human behavior [25] - The article concludes that continuous questioning and reflection on traditional beliefs are essential for adapting to new paradigms in asset pricing and investment strategies [25]

Group 1: Monetary Policy and Market Performance - The Federal Reserve lowered interest rates by 25 basis points, marking its first cut in nine months, which aligns with market expectations[4] - The Hang Seng Tech Index led global gains, rising by 5.1% during the week[4] - The 10-year U.S. Treasury yield increased by 8 basis points to 4.14%, while the U.S. dollar index remained stable at 97.7[4] Group 2: Capital Flows and Investment Trends - Domestic and foreign capital significantly flowed into the Chinese stock market, with domestic inflows of $31.03 billion and foreign inflows of $25.70 billion in the past week[19] - Overseas active funds saw a net outflow of $1.30 billion, while passive funds experienced an inflow of $27.00 billion[19] - In the U.S. equity market, there was a notable inflow of $591 billion, with $103.2 billion flowing into fixed income funds[16] Group 3: Valuation Metrics and Risk Assessment - The equity risk premium (ERP) for all A-shares increased from 46% to 47%[4] - The price-to-earnings (PE) ratio for the Shanghai Composite Index is at the 40th percentile historically, indicating potential for valuation recovery[16] - The risk-adjusted return percentile for the Shanghai Composite increased from 79% to 82%, while the S&P 500's decreased from 58% to 52%[4]