跨资产估值：市场长期回报将如何演变？2026年版

Serena W TangStrategistSerena.Tang@morganstanley.com+1 212 761-3380Morgan Stanley & Co. International plc+ What Will Markets Return Overthe Long Run? 2026 Edition Erika J Singh-CundyStrategistErika.Singh-Cundy@morganstanley.com+44 20 7425-0960Morgan Stanley India Company Private Limited+ We refresh our cross-asset return and risk premium framework,and explore how to navigate asset allocation when valuationsare stretched and diversifiers seem lacking. Soham SenStrategistSoham.Sen1@morganstanley.com+91 22 6995-2014Morgan Stanley & Co. LLC Long-run expected returns – lower for equities, still elevated for fixed income:Relatively high nominal yields support fixed income returns, but rich valuations andlower inflation expectations dampen equities' expected returns. Risk premiums havegenerally become even more compressed compared to last year, but it's the mostextreme for EM stocks and HY corporates. Yimin HuangStrategistYimin.Huang@morganstanley.com+44 20 7677-2870 Cross-asset relative value – knowing which is rich:Risk asset valuations are rich,but macro tailwinds and changing market structure should keep them supported in2026. On a relative basis, high-quality fixed income screens cheap versus equities,while Agency MBS and European credit offer attractive FX-hedged long-runexpected returns. Recent Research: Cross-Asset Strategy: Global In the Flow –November Recap (2 Dec 2025)Cross-Asset Brief: How Worried Should We BeAbout AI Valuations? Key Debates in Under 5Minutes – November 2025 (30 Nov 2025)Podcast | Thoughts on the Market: 2026 GlobalOutlook: A Strong Year for Risk Assets (18 Nov2025)2026 Global Strategy Outlook: The Year of RiskReboot (16 Nov 2025) 60/40 equity/bond portfolio – not broken, but may require some fixes:With voland correlations normalising, the 60/40 equity-bond strategy still 'works', even ifreturns over the next decade will be an unexciting 6%. But AI-driven productivitygains could keep stock-bond correlation elevated, meaning that the ideal portfoliomix can have a higher equity exposure beyond the traditional 60/40 split. Portfolio allocation – higher allocation to equities and USTs:We expect long-runportfolio returns to be lower and the efficient frontier flatter than in prior years,meaning that increasing risk will not boost returns as much as before. Optimalallocations have shifted towards global equities (especially outside the US) and USTreasuries, while high-quality credit allocations have decreased due to richvaluations and lower expected returns. Morgan Stanley does and seeks to do business withcompanies covered in Morgan Stanley Research. As a result,investors should be aware that the firm may have a conflict ofinterest that could affect the objectivity of Morgan StanleyResearch. Investors should consider Morgan StanleyResearch as only a single factor in making their investmentdecision. For analyst certification and other important disclosures,refer to the Disclosure Section, located at the end of thisreport. += Analysts employed by non-U.S. affiliates are not registeredwith FINRA, may not be associated persons of the memberand may not be subject to FINRA restrictions oncommunications with a subject company, public appearancesand trading securities held by a research analyst account. Six Charts You Can't Miss Executive Summary: Balancing Act This is a regular revisit of our long-term capital market return assumptions. For moredetails on our methodology, see Cross-Asset Valuations: What Will Markets Return? 2025Edition, November 4, 2024. Nominal expected returns for equities are below average, but fixedincome returns are still elevated Elevated valuations and falling inflation expectations mean that long-run expectedreturns for equities are low versus history:Over the next decade, MSCI ACWI isprojected to deliver an annualised return of 6.9%, while the S&P 500 is expected toreturn 6.8%. However, higher nominal yields support above-average fixed income returns– UST 10Y should generate about 4.8% per year over the same horizon, albeit ~30bplower than last year's figure. Declining expected returns mean that portfolio returns overthe long run will be lower than in prior years; a traditional 60/40 equity/bond USDportfolio can see 6% growth per annum over the next decade. Lower nominal long-run expected returns have resulted in unusually compressed riskpremiums:The US equity risk premium (ERP) sits around 2%, and for MSCI EM riskpremium has even turned negative, hovering around -0.8%. Credit markets have also seenrisk premiums fall, but are less extreme versus history when compared with equities; USIG and HY credit risk premiums are near three-year tights. Or maybe this is just another way of saying that valuations look stretched,particularly in the US and EM:We noted a year ago howrelativeexpected returns of theUS versus other regions were at extremes, and they remain that way. For example, ERP inthe US is ~200bp lower than in Europe. For MSCI EM, the difference i