资产配置月报：全球权益资产市场延续复苏脚步，大盘A股表现更好

要点 上证综指标普500恒生指数富时100德国DAX日经225澳洲标普200伦敦金现布油连续豆一近月LME铜连续天然气连续11.30-12.041.06%1.67%-0.22%2.87%-0.28%0.40%0.50%2.82%1.57%-1.56%3.36%-10.45%12.07-12.11-2.83%-0.96%-1.23%-0.05%-1.39%-0.37%0.13%0.06%2.12%2.65%0.14%1.65%12.14-12.181.43%1.25%-0.03%-0.27%3.94%0.42%0.50%2.28%4.59%-6.33%2.92%4.28%12.21-12.250.05%-0.17%-0.42%-0.41%-0.32%-0.40%-0.16%-0.10%-2.04%6.87%-2.06%-6.06%12.28-12.312.25%1.43%3.20%-0.64%0.97%2.95%-1.17%0.99%0.82%2.38%-0.98%0.20%12月2.40%3.71%3.38%3.10%3.22%3.82%1.06%6.78%8.68%2.23%2.48%-13.19%美国10Y国债英国10Y国债美国2Y国债美国AAA企业债美国高收益BB企业债11.30-12.04134.7407-1412.07-12.11-7-19.2-5-3412.14-12.18510.3222-212.21-12.25-1-0.340-2-212.28-12.31-1-5.030-3-1412月9-9.51-31-28 资产简称资产代码近一月收益近三月收益近六月收益近一年收益6个月年化波动率12个月年化波动率上证50000016.SH4.94%12.63%23.74%18.85%21.66%22.00%沪深300000300.SH5.06%13.60%25.15%27.21%21.45%22.74%中证500000905.SH0.73%2.82%8.57%20.87%23.24%25.71%恒生指数HSI.HI3.38%16.08%11.48%-3.40%17.76%23.83%标普500SPX.GI3.71%11.69%21.15%16.26%16.79%34.76%黄金AU9999.SGE5.24%-3.22%-1.95%14.44%16.77%18.06%中证国债H11006.CSI1.06%1.14%-0.02%2.63%1.63%2.25%中证企业债H11008.CSI0.80%0.88%1.15%3.58%0.85%1.16% min푤∑(푅퐶푖/푏푖−푅퐶푗/푏푗)2푖,푗 s.t.{∑푤푖=1푖푤푖≥0{ 푅퐶1=푤1∙휕휎푝휕푤1⋮푅퐶푛=푤푛∙휕휎푝휕푤푛 原点资产