摘要
借鉴美林投资时钟的经济周期划分方法,采用HP滤波降噪后的先行指数和滞后指数对2007年1月至2017年12月的我国经济周期进行划分,采用协整模型和统计检验等方法考察了股票、商品、债券及现金四大类资产在各经济周期下的表现后发现:美林投资时钟在我国资本市场具有较强的适用性,复苏期持有商品资产、过热期持有股票资产、滞涨期持有现金资产、衰退期持有债券资产的策略是最合适的配置策略,该策略在样本区间获得了23.84%的年化收益率及4.5669的夏普比率;如果采用风险平价方法对商品和债券加杠杆,最佳策略应是复苏期持有商品资产、过热期持有股票资产、滞胀期持有商品资产、衰退期持有债券资产,该策略在样本区间获得了45.63%的年化收益率及6.0988的夏普比率,总体来看,加杠杆后的策略提高了策略的风险收益比。
By referring to Merrill Lynch＇s business cycle division method of investment clock, this paper divides China＇s economic cycle from January 2007 to December 2017 by using HP flter＇s leading index and lagging index, using co-integration model and statistical test the performance of the four major categories of stocks, commodities, bonds and cash under various business cycles, the results showed that： The Merrill Lynch investment clock has strong applicability in the capital market of our country, holds the commodity assets in the recovery period, and holds Equity stocks in the overheated period, cash assets held in a stagfation period, and bonds held in recession, is the most appropriate allocation strategies; the strategy has obtained an annualized yield of 23.84% and a Sharpe ratio of 4.5669 in the sample interval. If RAP Method to leverage on commodities and bonds, the best strategy should be to hold commodity assets in the recovery period, stock assets in the hot period, commodity assets in the hold-off period, and bond assets in the recession period; this strategy gained 45.63% annual return rate and Sharpe ratio of 6.0988. On the whole, the post-leveraged strategy has raised the risk-to-return ratio of the strategy.
出处
《上海经济》
CSSCI
2018年第1期105-117,共13页
Shanghai Economy
基金
国家社科基金项目"我国资本空间流动对区域经济发展的影响机制研究"(项目编号:14BJL086)
湖南省教育厅科学研究项目"金融服务功能视角下区域金融深化与经济发展的空间耦合关系研究"(项目编号:14B031)
关键词
投资时钟
资产配置
资产轮动
Investment clock
Asset allocation
Asset rotation
