基于投资时钟原理的中国大类资产配置研究与实证  

Study and Empirical Research on Chinese Broad Heading Asset Allocation based on Investment Clock Theory

作　　者：郜哲 

机构地区：[1]北京大学光华管理学院,北京100871 [2]中关村科技园区海淀园博士后工作站北大方正集团分站,北京100871

出　　处：《河北经贸大学学报》2015年第3期49-54,共6页Journal of Hebei University of Economics and Business

摘　　要：经典的美林证券投资时钟原理可以将实体经济增长与大类资产配置联系起来,利用经济增长和通货膨胀预期指标对经济周期进行划分,并在经济周期各个阶段提高该阶段内收益较高的资产配比,能极大提升整体资产组合的长期收益率。运用该理论对我国的大类资产配置进行实证研究,分析我国宏观经济指标与成熟经济体的不同,指出投资时钟原理在我国实践应用中采取国家统计局的领先和滞后指数来划分经济周期更符合我国经济的特点。根据这一经济周期划分结果考察我国四类资产(现金、债券、商品、股票)在经济周期不同阶段的表现,得出我国经济同样具有周期轮动性,利用投资时钟原理和经过蒙特卡洛模拟优化后均值方差模型,可以优化资产配置,取得较高收益和较低最大回撤的结论。The classic Merrill Lynch Investment clock theory proposed an efficient way to link the real economic growth and asset allocation together. The theory uses the economic growth indicators and inflation expectations indicators to draw a global picture of economic cycle, can enhance the long-term rate of return of the overall portfolio due to they can improve the higher-yielding assets at the right stage of the economic cycle. In this paper, we applied an empirical research on the Chinese broad heading asset allocation, analyzed the differences between our selection of macroeconomic indicators and that of ripe economic entity, pointed out that leading and lagging index of the National Bureau which are more in line with Chinese economic characteristics and they are the best indictors to be applied to divide the economy cycle. According to manifestations at different stages, we investigated China＇s four categories of assets（cash, bonds, commodities, stocks） of the economic cycle, we revealed that the Business cycle phenomenon existed in Chinese economic growth. At last, we use the asset index data to do the empiric research, applied this theory and Monte Carlo simulated mean-variance model, the asset allocation can be optimized to obtain higher yields and lower maximum retracement.

关 键 词：投资时钟原理 大类资产配置 均值方差模型 蒙特卡洛模拟 经济周期 投资组合收益 资产轮动 资产收益率 

分 类 号：F832.51[经济管理—金融学] F224.9