附表 1 中国各类资产的长期收益指数

附表 1.1 中国主要资产长期收益指数

本表不包含长期信用债。

附表 1.1 中国主要资产长期收益指数，本表不包含长期信用债。
日期	小盘股	A股整体	大盘股	长期国债	短期国债	黄金	通货膨胀	人均GDP
2004-12-31	1.00	1.00	1.00	1.00	1.00	1.00	1.00	1.00
2005-12-31	0.85	0.91	0.95	1.14	1.02	1.13	1.02	1.15
2006-12-31	1.50	1.95	2.13	1.18	1.04	1.35	1.03	1.34
2007-12-31	4.55	5.31	5.62	1.12	1.06	1.65	1.08	1.64
2008-12-31	1.86	1.93	1.93	1.33	1.11	1.61	1.15	1.93
2009-12-31	4.47	4.01	3.84	1.29	1.12	2.07	1.14	2.10
2010-12-31	5.26	3.89	3.39	1.31	1.13	2.56	1.18	2.47
2011-12-31	3.53	2.83	2.58	1.40	1.17	2.71	1.24	2.91
2012-12-31	3.51	3.00	2.83	1.44	1.20	2.83	1.27	3.19
2013-12-31	4.65	3.21	2.68	1.39	1.23	2.00	1.30	3.49
2014-12-31	6.28	4.77	4.17	1.55	1.28	2.04	1.33	3.77
2015-12-31	11.10	6.38	4.48	1.69	1.32	1.89	1.35	4.02
2016-12-31	8.91	5.53	4.06	1.72	1.35	2.23	1.38	4.33
2017-12-31	7.41	5.74	5.05	1.67	1.39	2.31	1.40	4.79
2018-12-31	4.72	4.08	3.85	1.82	1.43	2.41	1.43	5.27
2019-12-31	5.99	5.45	5.36	1.90	1.47	2.89	1.47	5.64
2020-12-31	7.22	6.91	6.97	1.94	1.50	3.30	1.51	5.79
2021-12-31	8.78	7.45	6.72	2.06	1.54	3.17	1.52	6.56
2022-12-31	6.95	6.04	5.39	2.12	1.57	3.48	1.55	6.90
2023-12-31	6.59	5.71	4.90	2.22	1.60	4.06	1.55	7.24
2024-12-31	6.77	6.28	5.79	2.43	1.64	5.21	1.56	7.55
2025-12-31	8.74	7.98	7.00	2.45	1.66	8.26	1.56	7.87

数据来源：陈鹏、有知有行。

附表 1.2 中国债券类资产长期收益指数

附表 1.2 中国债券类资产长期收益指数
日期	长期信用债	长期国债	短期国债	通货膨胀
2006-12-31	1.00	1.00	1.00	1.00
2007-12-31	0.96	0.95	1.02	1.05
2008-12-31	1.13	1.13	1.06	1.11
2009-12-31	1.11	1.10	1.08	1.10
2010-12-31	1.15	1.11	1.09	1.14
2011-12-31	1.20	1.19	1.12	1.20
2012-12-31	1.26	1.22	1.15	1.23
2013-12-31	1.25	1.18	1.18	1.26
2014-12-31	1.43	1.32	1.23	1.29
2015-12-31	1.63	1.43	1.27	1.31
2016-12-31	1.64	1.46	1.29	1.33
2017-12-31	1.61	1.42	1.33	1.35
2018-12-31	1.80	1.54	1.38	1.38
2019-12-31	1.91	1.61	1.41	1.42
2020-12-31	1.99	1.65	1.44	1.46
2021-12-31	2.13	1.75	1.48	1.47
2022-12-31	2.19	1.80	1.51	1.50
2023-12-31	2.36	1.88	1.54	1.50
2024-12-31	2.61	2.06	1.57	1.51
2025-12-31	2.61	2.08	1.59	1.51

数据来源：陈鹏、有知有行。

附表 2 中国各类资产的年收益率

颜色越深代表波动越大，红色为正收益，绿色为负收益。

附表 2 中国各类资产的年收益率
年份	小盘股	A股整体	大盘股	长期信用债	长期国债	短期国债	黄金	通货膨胀
2005	-14.99%	-9.43%	-5.25%	/	14.23%	2.46%	13.10%	1.80%
2006	76.73%	115.38%	125.23%	/	3.10%	1.80%	19.31%	1.51%
2007	203.10%	172.40%	163.28%	-4.46%	-5.26%	1.99%	22.40%	4.80%
2008	-59.19%	-63.77%	-65.61%	17.91%	19.64%	4.39%	-2.25%	5.90%
2009	140.44%	108.10%	98.58%	-1.64%	-3.31%	1.15%	28.25%	-0.71%
2010	17.64%	-2.99%	-11.58%	4.06%	1.64%	0.95%	23.44%	3.29%
2011	-32.78%	-27.32%	-24.05%	4.07%	7.06%	3.35%	5.96%	5.39%
2012	-0.77%	6.24%	9.80%	5.08%	2.67%	2.65%	4.60%	2.60%
2013	32.50%	7.10%	-5.33%	-1.24%	-3.54%	2.53%	-29.31%	2.60%
2014	35.26%	48.41%	55.85%	14.85%	11.43%	3.93%	1.75%	2.00%
2015	76.59%	33.78%	7.22%	13.96%	9.03%	3.00%	-7.37%	1.40%
2016	-19.69%	-13.31%	-9.26%	0.70%	1.86%	2.08%	18.42%	2.00%
2017	-16.89%	3.68%	24.25%	-1.77%	-2.94%	2.76%	3.45%	1.59%
2018	-36.28%	-28.79%	-23.64%	11.62%	8.67%	3.57%	4.25%	2.10%
2019	26.98%	33.41%	39.19%	5.98%	4.40%	2.75%	19.75%	2.90%
2020	20.45%	26.87%	29.89%	4.40%	2.52%	2.00%	14.44%	2.49%
2021	21.61%	7.70%	-3.52%	6.76%	5.76%	2.46%	-4.14%	0.90%
2022	-20.77%	-18.93%	-19.84%	3.24%	3.00%	1.94%	9.80%	2.01%
2023	-5.28%	-5.34%	-9.14%	7.74%	4.80%	2.09%	16.83%	0.20%
2024	2.79%	9.98%	18.24%	10.22%	9.38%	2.00%	28.19%	0.20%
2025	29.02%	27.03%	20.98%	0.30%	0.89%	1.23%	58.57%	0.00%

数据来源：陈鹏、有知有行。

附表 3 中国股票资产与债券资产年收益率拆分

附表 3.1 中国股票资产年收益率拆分

颜色越深代表波动越大，红色为正收益，绿色为负收益。

附表 3.1 中国股票资产年收益率拆分
年份	A股整体			大盘股			小盘股
年份	总收益	资本利得	分红+再投资	总收益	资本利得	分红+再投资	总收益	资本利得	分红+再投资
2004	/	/	/	/	/	/	/	/	/
2005	-9.43%	-10.99%	1.75%	-5.25%	-7.65%	2.60%	-14.99%	-15.73%	0.88%
2006	115.38%	112.17%	1.52%	125.23%	121.02%	1.90%	76.73%	76.22%	0.29%
2007	172.40%	170.88%	0.56%	163.28%	161.55%	0.66%	203.10%	202.57%	0.17%
2008	-63.77%	-64.06%	0.82%	-65.61%	-65.95%	1.01%	-59.19%	-59.26%	0.15%
2009	108.10%	106.46%	0.79%	98.58%	96.71%	0.95%	140.44%	139.85%	0.25%
2010	-2.99%	-3.77%	0.81%	-11.58%	-12.51%	1.07%	17.64%	17.40%	0.20%
2011	-27.32%	-28.01%	0.96%	-24.05%	-25.01%	1.29%	-32.78%	-32.96%	0.26%
2012	6.24%	4.58%	1.58%	9.80%	7.55%	2.09%	-0.77%	-1.43%	0.67%
2013	7.10%	5.21%	1.79%	-5.33%	-7.65%	2.51%	32.50%	31.59%	0.69%
2014	48.41%	45.82%	1.77%	55.85%	51.66%	2.76%	35.26%	34.46%	0.60%
2015	33.78%	32.56%	0.92%	7.22%	5.58%	1.55%	76.59%	76.10%	0.28%
2016	-13.31%	-14.41%	1.28%	-9.26%	-11.28%	2.28%	-19.69%	-20.01%	0.40%
2017	3.68%	2.34%	1.31%	24.25%	21.78%	2.03%	-16.89%	-17.35%	0.56%
2018	-28.79%	-29.94%	1.64%	-23.64%	-25.31%	2.24%	-36.28%	-36.87%	0.93%
2019	33.41%	31.11%	1.76%	39.19%	36.07%	2.29%	26.98%	25.67%	1.05%
2020	26.87%	24.92%	1.56%	29.89%	27.21%	2.11%	20.45%	19.39%	0.89%
2021	7.70%	6.19%	1.42%	-3.52%	-5.20%	1.77%	21.61%	20.52%	0.90%
2022	-18.93%	-20.32%	1.75%	-19.84%	-21.63%	2.29%	-20.77%	-21.58%	1.03%
2023	-5.34%	-7.04%	1.82%	-9.14%	-11.38%	2.53%	-5.28%	-6.28%	1.06%
2024	9.98%	7.43%	2.37%	18.24%	14.68%	3.10%	2.79%	1.20%	1.58%
2025	27.03%	24.60%	1.96%	20.98%	17.66%	2.82%	29.02%	27.49%	1.20%

注：中国大盘股 2005 年的分红 + 再投资根据沪深300指数成分股在2005年的现金分红数据估算得到，详见估算数据部分。数据来源：陈鹏、有知有行。

附表 3.2 中国债券资产年收益率拆分

颜色越深代表波动越大，红色为正收益，绿色为负收益。

附表 3.2 中国债券资产年收益率拆分
年份	中国长期信用债			中国长期国债			中国短期国债
年份	总收益	资本利得	票息收益	总收益	资本利得	票息收益	总收益	资本利得	票息收益
2005	/	/	/	14.23%	8.94%	4.86%	2.46%	-0.23%	2.70%
2006	/	/	/	3.10%	0.08%	3.01%	1.80%	-0.08%	1.88%
2007	-4.46%	-8.83%	4.79%	-5.26%	-8.71%	3.79%	1.99%	-0.83%	2.84%
2008	17.91%	12.49%	4.83%	19.64%	15.20%	3.85%	4.39%	0.85%	3.51%
2009	-1.64%	-6.30%	4.97%	-3.31%	-6.69%	3.63%	1.15%	-1.44%	2.63%
2010	4.06%	-0.70%	4.80%	1.64%	-1.88%	3.59%	0.95%	-1.37%	2.35%
2011	4.07%	-0.88%	4.99%	7.06%	3.28%	3.66%	3.35%	0.42%	2.93%
2012	5.08%	0.11%	4.97%	2.67%	-0.85%	3.55%	2.65%	-0.18%	2.84%
2013	-1.24%	-6.39%	5.50%	-3.54%	-7.07%	3.80%	2.53%	-0.37%	2.91%
2014	14.85%	8.98%	5.38%	11.43%	7.29%	3.86%	3.93%	0.56%	3.36%
2015	13.96%	8.11%	5.41%	9.03%	5.20%	3.65%	3.00%	-0.15%	3.15%
2016	0.70%	-4.48%	5.43%	1.86%	-1.54%	3.45%	2.08%	-0.80%	2.91%
2017	-1.77%	-6.67%	5.26%	-2.94%	-6.26%	3.55%	2.76%	-0.39%	3.17%
2018	11.62%	6.68%	4.63%	8.67%	5.05%	3.45%	3.57%	0.35%	3.21%
2019	5.98%	1.08%	4.85%	4.40%	1.02%	3.34%	2.75%	-0.24%	3.00%
2020	4.40%	-0.37%	4.80%	2.52%	-0.70%	3.24%	2.00%	-0.99%	3.02%
2021	6.76%	2.23%	4.43%	5.76%	2.55%	3.13%	2.46%	-0.33%	2.80%
2022	3.24%	-0.74%	4.01%	3.00%	0.02%	2.98%	1.94%	-0.61%	2.57%
2023	7.74%	3.87%	3.72%	4.80%	1.89%	2.85%	2.09%	-0.37%	2.47%
2024	10.22%	6.94%	3.06%	9.38%	6.63%	2.58%	2.00%	-0.31%	2.32%
2025	0.30%	-2.31%	2.67%	0.89%	-1.36%	2.28%	1.23%	-0.83%	2.08%

数据来源：陈鹏、有知有行。

附表 4 中国各类资产的实际收益指数

附表 4 中国各类资产的实际收益指数
日期	小盘股	A股整体	大盘股	长期信用债	长期国债	短期国债
2004-12-31	1.00	1.00	1.00	/	1.00	1.00
2005-12-31	0.84	0.89	0.93	/	1.12	1.01
2006-12-31	1.45	1.89	2.07	1.00	1.14	1.01
2007-12-31	4.21	4.91	5.19	0.91	1.03	0.98
2008-12-31	1.62	1.68	1.69	1.02	1.16	0.97
2009-12-31	3.92	3.52	3.37	1.01	1.13	0.99
2010-12-31	4.47	3.30	2.88	1.01	1.12	0.96
2011-12-31	2.85	2.28	2.08	1.00	1.13	0.95
2012-12-31	2.76	2.36	2.22	1.02	1.13	0.95
2013-12-31	3.56	2.46	2.05	0.99	1.07	0.95
2014-12-31	4.72	3.58	3.14	1.11	1.16	0.96
2015-12-31	8.22	4.73	3.32	1.25	1.25	0.98
2016-12-31	6.47	4.02	2.95	1.23	1.25	0.98
2017-12-31	5.29	4.10	3.61	1.19	1.19	0.99
2018-12-31	3.30	2.86	2.70	1.30	1.27	1.00
2019-12-31	4.08	3.71	3.65	1.34	1.29	1.00
2020-12-31	4.79	4.59	4.63	1.37	1.29	1.00
2021-12-31	5.78	4.90	4.42	1.45	1.35	1.01
2022-12-31	4.49	3.89	3.48	1.46	1.37	1.01
2023-12-31	4.24	3.68	3.15	1.57	1.43	1.03
2024-12-31	4.35	4.04	3.72	1.73	1.56	1.05
2025-12-31	5.61	5.13	4.50	1.74	1.57	1.06

数据来源：陈鹏、有知有行。

附表 5 中国各类资产的年度风险溢价

颜色越深代表波动越大，红色为正收益，绿色为负收益。

附表 5 中国各类资产的年度风险溢价，颜色越深代表波动越大，红色为正收益，绿色为负收益。
年份	实际无风险收益	期限溢价	违约风险溢价	股票风险溢价	小盘股溢价
2005	0.65%	11.49%	/	-17.06%	-10.27%
2006	0.29%	1.27%	/	118.46%	-21.53%
2007	-2.68%	-7.10%	0.84%	177.89%	15.12%
2008	-1.42%	14.60%	-1.44%	-71.25%	18.64%
2009	1.87%	-4.40%	1.72%	105.37%	21.08%
2010	-2.27%	0.69%	2.38%	-13.01%	33.05%
2011	-1.93%	3.59%	-2.80%	-29.06%	-11.50%
2012	0.05%	0.02%	2.35%	6.95%	-9.63%
2013	-0.07%	-5.93%	2.39%	-1.85%	39.96%
2014	1.90%	7.21%	3.07%	39.87%	-13.21%
2015	1.57%	5.86%	4.52%	-1.67%	64.70%
2016	0.08%	-0.22%	-1.14%	-10.91%	-11.49%
2017	1.15%	-5.54%	1.20%	28.01%	-33.11%
2018	1.44%	4.92%	2.71%	-29.73%	-16.56%
2019	-0.15%	1.60%	1.51%	33.32%	-8.77%
2020	-0.48%	0.50%	1.84%	26.70%	-7.27%
2021	1.55%	3.22%	0.94%	-8.78%	26.04%
2022	-0.06%	1.04%	0.24%	-22.17%	-1.17%
2023	1.89%	2.66%	2.81%	-13.30%	4.24%
2024	1.80%	7.24%	0.76%	8.10%	-13.06%
2025	1.23%	-0.34%	-0.58%	19.92%	6.64%

数据来源：陈鹏、有知有行。