基于中国资本市场数据的Faber战术资产配置及择时效果检验

Faber's Tactical Asset Allocation and Timing Effect Test Based on Chinese Capital Market Data

Faber战术资产配置是根据简单均线思想进行择时,并在大类资产间进行均衡配置的模型,在降低投资组合风险方面具有积极的作用。采用我国资本市场2010—2017年的股票、债券、期货等大类资产的周数据,在构造适用于我国资本市场的Faber战术资产配置策略的基础上,利用T-M模型和H-M模型详细检验了策略的择时效果,结果发现:无论是单独对股市进行分析,还是对大类资产进行组合构建,Faber战术资产配置模型均可以显著扩大投资收益并降低投资风险,T-M模型和H-M模型的检验结果也表明该模型的择时效果极其显著,充分验证了择时加资产配置对于提高投资组合的收益风险比具有关键的作用。

Faber's tactical asset allocation is a model based on simple moving average and a balanced configuration model among major assets. It plays an active role in reducing portfolio risk. Using the weekly data of major assets such as stocks, bonds, and futures in China's capital market from 2010 to 2017, based on the strategic construction of Faber's tactical asset allocation that is applicable to China's capital market,the T-M model and H-M model are used to examine the timing effect. The results show that:whether it is a separate analysis of the stock market,or a combination of major asset construction,Faber's tactical asset allocation model can significantly increase investment income and reduce investment risk;the test results of T-M and H-M models also show that the timing effect of this model is extremely significant. This conclusion fully verifies that timing and asset allocation plays a key role in improving the return- to-risk ratio of the portfolio.