投资时钟原理及战术资产配置在投资组合管理中的应用——基于修正Black-Litterman模型

An Application of Investment Clock Principle and Tactical Asset Allocation in Portfolio Management: Based on the Adjusted Black-Litterman Model

Black-Litterman模型一定程度上改善了均值-方差模型对输入参数过于敏感的弊端,在现实中得到了广泛应用,但现有研究大部分聚焦于模型本身的应用及对主观观点的选择上,却很少有研究将视角放在市场基准组合的选择上。笔者利用投资时钟原理构造了BL模型的主观观点收益向量,并利用战术资产配置思想形成了模型的市场基准组合,通过修正后的BL模型考察了市场基准组合对投资组合绩效的关键影响。研究结果表明:相对于等权重组合、MV组合、最小化方差组合、最小化CVaR组合及风险平价组合作为市场基准,采用战术资产配置组合为基准的BL-Faber模型获得了显著超过其他组合的绩效,验证了市场基准组合对BL模型绩效的关键性作用;改变战术配置策略的均线参数及经济周期的划分方法,BL-Faber模型仍然能获得显著的超额绩效,说明投资时钟原理及战术资产配置思想能够有效地捕捉未来的市场信息,从而提升投资组合的有效性。

The Black-Litterman model has improved the disadvantages of the mean-variance model being too sensitive to input parameters to a certain extent.It has been widely used in reality,but most of the existing research focuses on the application of the model itself and the choice of subjective viewpoints,and few studies have focused on the choice of market benchmark.This paper constructs the subjective viewpoints of BL model by using the investment clock principle,and uses the tactical asset allocation idea to form the market benchmark of the model.Through the adjusted BL model,the key influence of market benchmark portfolio on portfolio performance is investigated.The results show that:compared with the equal-weight portfolio,MV portfolio,minimized variance portfolio,minimized CVaR portfolio and risk parity portfolio as the market benchmark,BL-Faber model used the tactical asset allocation portfolio as the market benchmark,obtained significantly better performance than other portfolios,verifying the critical role of market benchmark for BL model s performance;changing the averaging period of tactical allocation strategies and the division of economic cycles,the BL-Faber model can still achieve significantly excess performance,indicating that the investment clock principle and tactical asset allocation ideas can effectively capture future market information,thereby improving the effectiveness of the portfolio.