资产配置的选择与优化策略研究--基于“美林投资时钟”的视角

Research on the Selection and Optimization Strategy of Asset Allocation--From the Perspective of Merrill Lynch Investment Clock

本文基于美林证券公司提出的大类资产配置理论,即“美林投资时钟”,从预测经济衰退入手,结合收益率曲线期限利差和风险溢价,研究资产配置的选择与优化策略:研究发现,美国10年期国债收益率与3月期国债收益率的利差组合和KCFSI指数对美国经济衰退有较好的预测效果,能够捕捉经济周期走向。在此基础上,参考美林投资时钟模式,本文利用期限利差和KCFSI组合构建金融投资时钟,对传统经济周期进行重新划分,同时以协整回归检验大类资产收益与新周期的关系,并以此构建新的资产配置策略,在新的周期划分基础上进行历史回测,得到的结果优于以往传统的投资策略。

Based on the theory of general asset allocation proposed by Merrill Lynch,namely 4 Merrill Lynch Investment Clock,this paper studies the selection and optimization strategy of asset allocation,starting with the prediction of economic recession and in combination with the term spread of yield curve anrl risk premium.It is found that the spread combination of the yields of 10-year treasury bonds and 3-month treasury bonds,and the KCFSI index have a good prediction effect on the U.S.economic recession and can capture the trend of the economic cycle.Based on this and referring to Merrill Lynch's investment clock model,this paper constructs a financial investment clock by using the term spread and KCFSI to redefine the four stages of traditional economic cycle-recovery,overheating,stagflation and recession.At the same time,by using co-integration regression to test the relationship between the return of general assets and the new economic cycle,this paper constructs a new asset allocation strategy and carries out historical back tests on the basis of the new economic cycle division,and the result shows that the new strategy is better than the traditional investment strategy.