A review of the Sharpe Ratios across major global markets over the past two decades reveals a striking finding: in 2025, the Chinese stock market leads major markets with a Sharpe Ratio of 1.72. This high 2025 ratio is underpinned by a significant contraction in annualized volatility, a characteristic of "low volatility and steady progress" that makes the Chinese market exceptionally attractive for allocation in a cross-market comparison. Comparing the Chinese and U.S. stock markets, the average Sharpe Ratios over the past twenty years were 0.20 and 0.85, respectively, indicating that the historical center of China's Sharpe Ratio has been significantly and persistently lower than that of the U.S. However, in 2025, the Sharpe Ratios for China and the U.S. were 1.72 and 0.72, respectively, marking the first time since 2020 that China's ratio has surpassed that of the U.S. Global stock market Sharpe Ratios over the past two decades have universally exhibited mean-reverting properties, yet the volatility of Sharpe Ratios in emerging markets like China and Vietnam is generally higher than in developed markets such as South Korea and Europe. International experience indicates a strong positive correlation between the proportion of equities in household financial assets and a market's long-term Sharpe Ratio; the higher a market's Sharpe Ratio, the greater the share of equities in household portfolios. If the "high efficiency, low volatility" characteristics displayed by the Chinese stock market in 2025 can become a sustained trend, this "new normal" will be of great significance in rebuilding household confidence in equity assets.

In 2025, the performance of major global asset classes exhibited a distinct "strong equities, weak bonds" characteristic, with significant divergence in investment efficiency among major economies. Our statistics on the 2025 Sharpe Ratios for stocks and bonds in major economies show that equity assets were the core source of annual excess returns, while bond assets generally performed poorly, even making rare negative contributions. In the equity markets, China, Vietnam, and Japan demonstrated exceptionally high "allocation value for money." The Chinese stock market ranked first with a Sharpe Ratio of 1.72, its core advantage lying in an extremely favorable risk-return profile, achieving nearly 20% annualized returns while maintaining a volatility of only 11.6%, signaling a robust recovery following the shift in macro policy. In contrast, while the Vietnamese and Japanese stock markets recorded higher returns, their volatilities were close to 20%, resulting in slightly lower Sharpe Ratios than China. The South Korean market, however, presented a case of "lack of perceived gain" despite extreme returns. The most extreme case is the South Korean market, which boasted a staggering return of 66.9%, the highest among major global markets. However, due to an extremely aggressive market style that amplified volatility to an astonishing 181.5%, its Sharpe Ratio was only 0.37. This strongly illustrates that "pulse-like growth" lacking the accompaniment of low volatility may struggle to translate into a genuine sense of "investment gain" for households. The bond market faced substantial challenges in 2025. Except for the United States and India, the bond Sharpe Ratios for China, Japan, South Korea, Vietnam, and Europe were all negative. The Sharpe Ratio for China's bond market fell as low as -1.93, primarily affected by a negative turn in annualized returns; the U.S. and India were the only major global markets to achieve positive Sharpe Ratios for both stocks and bonds, with the U.S. bond market achieving a risk-reward ratio of 0.46 under low volatility of 4.3%, demonstrating its resilience as a global safe-haven asset. Overall, in 2025, the Chinese stock market not only emerged from its slump but also led major global economies in risk-adjusted returns (Sharpe Ratio), a performance that can be summarized as "high efficiency, low volatility." While the stock market's Sharpe Ratio led the pack, the Sharpe Ratio for China's bond market dropped to -1.93, with an annualized return of -4.3%. This sharp divergence in stock-bond performance may indicate a significant flow of capital from traditional safe-haven bonds towards the more investment-efficient equity sector.

By tracing the trajectory of stock market Sharpe Ratios for China, the U.S., Japan, South Korea, Europe, Vietnam, and India since 2000, we observe two key findings: First, the volatility of Sharpe Ratios is generally higher in emerging markets than in developed markets. Both developed and emerging markets exhibit mean-reversion characteristics in their Sharpe Ratios. However, the volatility of these ratios is consistently greater in emerging markets. Our statistics on the volatility of Sharpe Ratios across economies over the past 20 years show that China and Vietnam have the highest Sharpe Ratio volatilities, at 1.60 and 1.57 respectively, while South Korea and Europe have the lowest, at 0.36 and 0.86. Second, China's 2025 Sharpe Ratio is the highest level seen since 2014. Historically, the annualized Sharpe Ratio of 1.72 for the Chinese market in 2025 is the highest value since 2014 (1.85). Notably, unlike the recoveries in 2007 or 2014, which relied on surging indices and high-volatility博弈, the 2025 ratio of 1.72 was achieved against a backdrop of annualized volatility of just 11.6%, showcasing the "high efficiency, low volatility" characteristic. As the China Securities Regulatory Commission, summarizing the achievements of capital market development during the "14th Five-Year Plan" period, emphasized the significant enhancement of the A-share market's resilience and risk resistance, it is anticipated that the stability of the A-share market will receive increasing attention. If the "high efficiency, low volatility" features displayed by the Chinese stock market in 2025 can become a trend, this "new normal" will hold great significance for reshaping household confidence in equity assets, meaning that a long-term sense of investment gain will guide the market away from short-term波段博弈 towards medium- to long-term allocation.

Observing the relationship between stock market Sharpe Ratios and equity allocation ratios (as a percentage of household financial assets) across various overseas economies reveals instructive patterns. Looking at OECD countries over the past decade, the U.S., with an average Sharpe Ratio of 0.70, has an average equity allocation within household financial assets of 37.07%, representing a typical case of high Sharpe Ratio and high equity allocation. Australia, with an average Sharpe Ratio of 0.19, has an average equity allocation of 18.94%, representing a typical case of low Sharpe Ratio and low equity allocation. A regression analysis using the Sharpe Ratio as the independent variable and the equity asset share as the dependent variable shows that a 0.1 unit change in the Sharpe Ratio leads to a 1.56 percentage point increase in the equity share. The Shanghai Composite Index's Sharpe Ratio over the past decade was 0.17. According to a 2019 People's Bank of China survey, the stock proportion in urban households' financial assets was 6.4%. This implies that if the Shanghai Composite Index's Sharpe Ratio continues to improve in the future, the household sector may potentially increase its allocation to stocks.