[core view]
Research and practice of CAPM asset pricing model: CAPM model mainly studies the relationship between the expected rate of return of assets and risk compensation, and how the equilibrium price is formed. At present, the rise of risk-free return under global inflation promotes the rise of expected return on assets and continues to reduce the valuation of equity assets. Global equity assets are more similar to the end of the bull market (the expected return on assets is up and the risk compensation is down).
CAPM perspective of NASDAQ and Dow Jones Industrial Index: from 2022q1 to now, the insufficient risk compensation of NASDAQ technology stocks in Dow Jones industrial index has led to asset selling. Since the beginning of May, the prices of gasoline and diesel in the United States have increased by 9.1% and 8.7% respectively. It is expected that the CPI of the United States will continue to rise in May. According to CME’s febwatch tool, it is expected that interest rates will need to be increased four times (50bp each time) in 2022, and it is expected to rise to the benchmark interest rate of 3% by the beginning of next year. US stocks will also be significantly depressed by the valuation brought by the marginal expansion of risk-free return.
CAPM perspective of gem index and CSI 500 index: since January 2022, A-Shares have also seen asset selling caused by the deviation between market risk premium and expected return on assets. At present, the expected rate of return of gem index has risen to Q3 level in 2018, while the risk premium level is at Q2 level in 2018. The expected yield of CSI 500 rose to the level of October 2018, while the risk premium was at the level of July 2018.
According to CAPM, the three main allocation directions of A-Shares are traditional energy, large infrastructure and bank real estate: the economic recovery cycle starting from Q2 in 2020 has begun to decline month on month. Therefore, the risk compensation provided by the improvement of market benchmark yield is insufficient. Under the CAPM model, there are three ways for assets to achieve excess returns through self-improvement: higher dividend yield, higher financial growth and lower return β。 Traditional energy, large infrastructure and bank real estate all have high growth and improved policy support to cope with the increase of expected return on assets and provide high asset allocation cost performance.
With the promotion of resumption of work and production, the policy continues to exert force on traditional energy, large infrastructure and bank real estate. In the second half of the year, it is suggested to continue to focus on the allocation of thermal coal, coking coal and coke in traditional energy, traditional infrastructure (engineering design, road and bridge construction) and new infrastructure (Eastern digital Western computing, industrial Internet, etc.) in infrastructure, real estate of central enterprises and joint-stock banks.
[risk tips]
Market liquidity risk
Global geopolitical risks
