商品指数的相对估值及配置策略研究——以马尔科夫区制转换模型为框架

On Relative Valuation and Allocation Strategy of Commodity Index——Based on Markov Regime Switching Model

商品指数的相对估值对于投资者进行大类资产配置具有重要的理论和实践价值,但目前涉及这方面的研究很少.该文采用商品-债券价格比(F/B)指标对商品指数的相对价值进行评估,并利用马尔科夫区制转换模型判断商品指数的高估和低估区间,构造投资策略并检验策略的投资绩效及择时效果.研究结果表明:相对于基准而言,F/B策略可以显著提高投资绩效并降低投资风险,且T-M和H-M模型均检验出了F/B策略很强的择时效果;采用商品-股票价格比(F/S)指标的稳健性检验得到了相似的结果;如果对商品和债券适当增加杠杆,那么F/B策略的投资绩效能够进一步提升,夏普比率超过1.研究结论从理论和实践2个层面验证了商品指数估值配置策略的有效性,对我国投资组合理论研究进行了有益补充.

The relative valuation of commodity indices has important theoretical and practical value for investors in the allocation of large-scale assets,but there are few studies involved in this aspect.In this paper,the commodity-bond price ratio(F/B)indicator has been used to evaluate the relative value of commodity indices,and the Markov regime switching model been used to judge the overestimation and underestimation of commodity indices,construct investment strategies and test their performances and timing effects.The results show that the F/B strategy can significantly improve investment performance and reduce investment risk relative to the benchmark,and both the T-M and H-M models test the strong timing effect of the F/B strategy;Similar results have been obtained by using the robustness test of the commodity-to-stock ratio(F/S)indicator;if leverage is appropriately added to commodities and bonds,the investment performance of the F/B strategy can be further improved,with the Sharpe ratio exceeding.The conclusions of the study verify the effectiveness of the commodity index valuation allocation strategy from both theoretical and practical levels,and complement the research on China's portfolio theory.