我国A股市场行业轮动规律研究
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摘要
自股权分置改革以来,中国证券市场取得了长足的进步和发展,截至目前我国已建立起上海主板,深圳主板、中小企业板、创业板等多层次的资本市场体系,沪深上市公司家数已达到2000多家,涉及国民经济的各个行业。随着中国证券市场的发展,投资者不断成熟,投资理念和策略也更加的丰富多样贴近市场。
行业配置是获取超额收益的重要来源。随着我国机构投资者规模不断扩大,上市公司数量也在快速的增加,个股的选择对于机构投资者的业绩贡献有所降低,行业配置就显得尤为重要。行业基金,就是以行业为导向,投资范围局限于某个行业或者某几个特性相近的行业,以期从行业的高速增长中获得超额收益,可以避免过于集中投资单个公司而承担较高的风险。我国最早发行的行业基金是华宝兴业基金管理公司的康宝消费品行业基金,成立于2003年7月。随着我国上市公司数量的增长和行业种类的日益丰富,行业基金作为一种细分基金种类,在我国将有很大的发展空间。尤其当前我国正处于经济转型初期,各种新兴产业正在兴起,从目前来看,行业主题基金正如火如荼的发展,尤其是大消费和新兴产业主题基金。2008年4月23日成立的东吴行业轮动股票型基金是我国第一只行业轮动概念基金,此外,还有华安行业轮动基金、上投摩根行业轮动基金、大成行业轮动基金、博时行业轮动基金等。
行业轮动,顾名思义,就是在市场行情发展的过程中,投资热点从一个行业转为另一个行业。研究行业轮动的规律,对于指导投资实践来说具有非常重要的作用,它不仅可以帮助普通投资者在市场上直接购买行业股票,获得超越市场的超额收益,而且还可以指导投资者在不同的时期购买不同行业的基金；而对于机构投资者普遍采用“自上而下”先选行业再选个股的投资策略来说,掌握行业轮动的规律,就可以有一个占据优势的投资布局,有了-个好的开端,看准了方向,才能获得超越市场的投资收益。一个有效的证券市场,不应该是“齐涨齐跌”的市场,研究行业轮动规律,还可以更好的指导我们检验市场的有效性。
2004年11月10日,美林证券发表了著名的研究报告《The Investment Clock》,研究在经济的不同阶段相对应的投资策略。其主要原理是根据经济增长趋势和通货膨胀趋势,将经济周期划分为四个阶段：复苏、过热、滞涨、衰退,在不同的阶段采取不同的投资策略,配置不同的资产和行业,美林投资时钟所体现的就是实体经济与投资策略之间的基本关联。美林投资时钟中四个阶段的含义：
1、衰退阶段：GDP增长乏力,过剩产能以及不断下降的商品价格促使通货膨胀走低。企业盈利微薄,实际收益下降。央行试图促使经济返回到可持续增长路径上而降低利率,收益率曲线下行而且陡峭,这时债券是最好的资产选择。
2、复苏阶段：宽松的政策发挥效力,经济加速增长到长期增长趋势附近。然而,通货膨胀继续回落,因为剩余的生产能力尚没有消耗完,周期性生产增长强劲。利润急剧恢复,但是央行还是保持宽松的货币政策,收益率曲线保持在低位,这时股票就是最好的资产选择。
3、过热阶段：生产增长减缓,生产能力接近极限,通货膨胀上升。央行提高利率,促使经济返回到可持续增长路径上,但是GDP增长率还是保持在趋势上方。债券表现糟糕,收益率曲线上行。股票投资收益依赖于强劲的利润增长和价值重新估值两者的权衡,常常伴随着卖出债券,这时商品就成为最佳的资产选择。
4、滞胀阶段：GDP增长降低到长期增长趋势以下但是通货膨胀继续上升,部分原因是能源品价格冲击。生产不景气,厂商为了保护利润水平而提高产品价格,造成工资价格螺旋上升。只有失业率的大幅上升才能打破这一恶性循环。直到通货膨胀达到顶尖后央行才能有所作为,这就限制了债券市场的回暖步伐。企业的盈利恶化,股票表现非常糟糕,这时现金就是最好的选择。
应用美林投资时钟理论,有利于我们进行股票市场行业配置：
1、周期性：当经济增长加快,股票和大宗商品表现较好,周期性行业表现就会超过大市。当经济增长放缓,债券、现金及防御性投资组合就会表现较好。
2、久期：当通货膨胀率下降时,折现率就会下降,金融资产表现较好。投资者可购买久期长的成长型股票。当通货膨胀上升时,实体资产,如：大宗商品就会表现较好。估值波动小而且久期短的价值型股票表现就会超越大市。
3、利率敏感：银行和可选消费行业属于利率敏感型,在一个周期中最早有反应。在央行放松银根,经济增长开始复苏时的衰退和复苏阶段,它们的表现最好。
本文应用的研究方法有聚类分析和相关性分析。聚类分析又称群分析,它是研究(样品或指标)分类问题的一种多元统计方法,所谓类,通俗地说,就是指相似元素的集合。聚类分析是在预先不知道想要划分类的情况下,根据信息相似度原则进行信息聚集的一种方法。聚类的目的是使得属于同一类别的个体之间的差异尽可能的小,而不同类别上的个体之间的差别尽可能地大。因此,聚类的意义就在于将观察到的内容组织成类分层结构,把类似的事物组织在一起。通过聚类,人们能够识别密集和稀疏的区域,因而发现全局的分布模式,意义数据属性之间的有趣关系。在统计学中,一般将描述和分析两个或两个以上变量之间相关的性质及其相关程度的过程,称之为相关分析。相关分析的目的主要是力求通过具体的数量描述,呈现研究变量之间的相互关系的密切程度及其变化规律,探求相互关系的研究模式,以利于统计预测和推断,为做出正确决策提供参考依据。
对于行业轮动规律的研究,目前在我国还比较少,基本处于起步的阶段,对行业轮动的认识,也基本上停留在一个感性、形象认识的阶段,缺乏理论基础。本文旨在探索研究行业板块轮动的规律,并对其进行解释。为了达到这个目的,本文首先将样本区间内申万A股指数分成了8个比较大的上涨下跌趋势,对每个阶段趋势内各个行业的累积收益趋势图进行描述分析,获得了一些对行业板块轮动的形象和感性认识。然后本文选取行业指数日收益平均相关系数、区间涨跌幅作为变量,对每个阶段趋势内的行业进行聚类分析,将23个申万一级行业分为4个大类,并对各个阶段内的聚类情况进行比较分析,从而得出一些在不同市场背景下行业分类的规律。本文从两个方面来研究行业轮动规律,首先对每个阶段趋势内23个申万一级行业指数的不同区间涨跌幅进行分析研究,以期找到行业板块轮动的一些规律;本文还从每个上涨下跌趋势当中各个行业指数之间的相关关系分析了行业轮动的规律。文章最后应用美林投资时钟理论,将经济周期划分为不同的阶段,对我国A股市场行业轮动规律进行了解释。研究结论发现：
1、行业轮动现象在A股市场确实存在,而且轮动效果和市场趋势有关,在上涨趋势下轮动效果要比下跌趋势下明显；
2、行业聚类将23个申万一级行业分为四大类,强周期类和消费类行业的行业轮动效果比较明显,而中周期和轻工业类行业的轮动不明显,只在某些特殊的时刻具体的市场背景下才会显现,整体上来看在大部分的时期内取得市场的收益率；
3、从区间涨跌幅的角度来分析,强周期类行业和消费类行业的轮动效果比较明显；
4、日累积收益率平均相关系数比较大的行业,主要集中在中游和下游,其轮动效果不是很明显；而平均相关系数越小的行业,越能走出独立行请,这些这些行业以周期类行业为多,此类行业的轮动现象也最明显；不同市场背景下平均相关系数变动比较大的行业轮动现象也较明显；
5、美林投资时钟理论在大体上能够解释我国A股市场不同市场背景下的行业轮动现象,但是这种解释是粗线条的。虽然大类行业的轮动规律基本符合美林投资时钟理论的内在逻辑,但是只有金融、大宗商品、能源、消费类行业的轮动比较明显,而其他一些中游行业的轮动效果就不是很明显。
Since the reform of non-tradable shares, China's securities market has made considerable progress and development.As of now China has established the main board in Shanghai and Shenzhen, small and medium enterprises board, the GEM board in Shenzhe.Listed companies in Shanghai and Shenzhen has reached more than 2000, the various sectors of the national economy. With the development of China's securities market, investors are becoming more mature, investment philosophy and strategy are more and rich.
Industry configuration is an important source of income for excess. With the expanding of institutional investors, listed companies in the rapid increase in number, a unit of the stocks for institutional investors performance contribution has been reduced, the industry is particularly important to the configuration. Industry fund, which is oriented to industry, which investment is limited to a certain industry or a few features similar to the industry,with a view from the industry surplus with the rapid growth in income, to avoid concentration of individual companies shoulder higher investment risks. The first issue of Fortune SG Fund Management Co. Ltd of consumer goods industries Kang Bo fund, established in July,2003. The number of listed companies and trade growth in the increasingly rich variety of industries fund type Fund as a breakdown in China will have a lot of room for development. The number of listed companies and trade growth in the increasingly rich variety of industries fund type Fund as a breakdown in China will have a lot of room for development. In particular in the country's economic restructuring and the beginning of the newly emerging industries, at present, the industry theme of the Fund is vigorous development, particularly the consumption and emerging industries thematic funds.
Sector Rotation, by definition, is in the market in the course of development, investment from a trade point to another industry. Researching industry round of the law and practice of direct investment had a very important role not only can it help ordinary investors buy industry directly in the market share, beyond the excess income market, but also guide investors in different periods purchase different sectors of the Fund; As for institutional investors generally used "top" first elections to select a unit of the industry investment strategy and the movement of trade law, can have a dominant for investment, there is a good start in the direction to be beyond the investment market. An effective securities market, should not be "the same change" in the market price, the industry movement laws, but also better guidance in testing the effectiveness market.
ML's Investment Clock splits the economic cycle into four separate phases, depending on the direction of growth the diagram tend to outperform while those in the opposite corner tend to underperform. The classic boom-bust cycle starts at the bottom left and moves around clockwise with Bonds, Stocks, Commodities and Cash outperforming in turn. Life is not always so simple. Sometimes the clock moves backwards or skips a phase. We will be making judgments on the future stage of the global economic cycle in our asset allocation research.
The Investment Clock framework helps investors to recognize the important turning points in the economy and identifies investments to take best advantage of a change. We split the economic cycle into four phases—Reflation, Recovery, Overheat and Stagflation.
In Reflation, GDP growth is sluggish. Excess capacity and falling commodity prices drive inflation lower. Profits are weak and real yields drop. Yield curves shift downwards and steepen as central banks cut short rates in an attempt to get the economy back onto its sustainable growth path. Bonds are the best asset class.
In Recovery, policy ease takes effect and GDP growth accelerates to an above trend rate. However, inflation continues to fall because spare capacity has not yet been used up and cyclical productivity growth is strong. Profits recover sharply but central banks keep policy loose and bond yields stay low. This is the sweet spot of the cycle for equity investors. Stocks are the best asset class.
In Overheat, productivity growth slows, capacity constraints come to the fore and inflation rises. Central banks hike rates to bring the economy back down to its sustainable growth path, but GDP growth remains stubbornly above trend. Bonds do badly as yield curves shift upwards and flatten. Stock returns depend on a trade-off between strong profits growth and the valuation de-rating that often accompanies a sell-off in bonds. Commodities are the best asset class.
In Stagflation, GDP growth slows below trend but inflation keeps rising, often due in part to oil shocks. Productivity slumps and a wage-price spiral develop as companies raise prices to protect their margins. Only a sharp rise in unemployment can break the vicious circle. Central banks are reluctant to ease until inflation peaks, limiting the scope for bonds to rally. Cash is the best asset class.
The Clock helps with Equity Sector Strategy
A second advantage is that it helps us think about sector strategy:
Cyclicality:When growth is accelerating (North), Stocks and Commodities do well. Cyclical sectors like Tech or Steel out-perform. When growth is slowing (South), Bonds, Cash and defensives outperform.
Duration:When inflation is falling (West), discount rates drop and financial assets do well. Investors pay up for long duration Growth stocks. When inflation is rising (East), real assets like Commodities and Cash do best. Pricing power is plentiful and short-duration Value stocks outperform.
Interest Rate-Sensitive's:Banks and Consumer Discretionary stocks are interest-rate sensitive early cycle performers, doing best in Reflation and Recovery when central banks are easing and growth are starting to recover.
Asset Plays:Some sectors are linked to the performance of an underlying asset. Insurance stocks and Investment Banks are often bond or equity price-sensitive, doing well in the Reflation or Recovery phases. Mining stocks are metal price-sensitive, doing well during an Overheat. Oil & Gas is sensitive to the oil price, outperforming in bouts of Stagflation.
This applied research by cluster analysis and related analysis. Cluster analysis group, also known as analysis, it is to study (samples or indicators) Category A pluralistic statistical methods, such as the saying goes, popular, that is similar to those elements of the Assembly. Cluster analysis is not known in advance to the Division, based on information gathered information similar to the time. Together with the aim is to make a category of individuals belonging to the differences between the small as possible, and the different categories, the difference between the individual as much as possible. Related analysis of the main purpose is to seek to describe the specific number of research in the close relationship between the variables and their change and seek mutual relations, in order to facilitate statistical projections and assumptions, and to make a correct decision on the basis for reference.
Movement of the Law of the industry, the relatively small, are in the initial stage of the round of trade, also remained stuck in a sense of image, the stage, the lack of theoretical basis. This article is to explore and study the laws governing trade round plate, and to explain. In order to achieve this objective, the article in the sample interval Shin 10,000 A index is divided into eight relatively large increase in the decrease in each stage of the trends in various industries and a description of the accumulated earnings trend analysis, a number plate movement of the industry's image and perceptions. This article, and then selects industry index relevant factors, an average income decline in prices as a variable sections, each stage of the industry trend analysis carried out together in a bid to 23 Shenyin first levels in four major industries, and the stages of the cluster a comparative analysis of various markets in order to arrive at a background of the category of the law. This article from two aspects to study law industry movement to trends in each phase 23 Shenyin first level different sections of the price level industry index fell for the study, with a view to finding a trade plate movement of some laws; this decline in prices from each of the relationship between the business sector Index Analysis of the round of trade laws. The article applied the investment clock theory, the economic cycle is divided into different stages of the market share my movement for the law. The article applied the investment clock theory, the economic cycle is divided into different stages of the market share my a movement for the law. Conclusion of the study found.
Industry movement in the A stock market did exist, and moving round results and market trends related to the rising trend of moving round effects than the apparent decline;
Industry cluster shin industry into four categories of cycle and consumer industry's movement more obvious results of the cycle of movement and light industries is not clear, in particular the specific time in the context of the market will become clear, and in most of the whole period of time to market rate of return;
Sections from price decline in the perspective of cycle industries and the consumer industries moving more obvious results;
Cumulative rate of return on average more relevant factor in the industry, mainly in the middle and lower reaches of the movement is not very clear results; and the smaller the industry average related factors, the more independent and able to walk out, these industries to cycle industries, such industries are the most obvious movement; the average market related factors background changes in the industry more movement is more apparent;
A stock different market share market movement against the background of the industry is generally applied the investment clock theory, but this is the thick lines, it is not sufficient.
行业配置是获取超额收益的重要来源。随着我国机构投资者规模不断扩大,上市公司数量也在快速的增加,个股的选择对于机构投资者的业绩贡献有所降低,行业配置就显得尤为重要。行业基金,就是以行业为导向,投资范围局限于某个行业或者某几个特性相近的行业,以期从行业的高速增长中获得超额收益,可以避免过于集中投资单个公司而承担较高的风险。我国最早发行的行业基金是华宝兴业基金管理公司的康宝消费品行业基金,成立于2003年7月。随着我国上市公司数量的增长和行业种类的日益丰富,行业基金作为一种细分基金种类,在我国将有很大的发展空间。尤其当前我国正处于经济转型初期,各种新兴产业正在兴起,从目前来看,行业主题基金正如火如荼的发展,尤其是大消费和新兴产业主题基金。2008年4月23日成立的东吴行业轮动股票型基金是我国第一只行业轮动概念基金,此外,还有华安行业轮动基金、上投摩根行业轮动基金、大成行业轮动基金、博时行业轮动基金等。
行业轮动,顾名思义,就是在市场行情发展的过程中,投资热点从一个行业转为另一个行业。研究行业轮动的规律,对于指导投资实践来说具有非常重要的作用,它不仅可以帮助普通投资者在市场上直接购买行业股票,获得超越市场的超额收益,而且还可以指导投资者在不同的时期购买不同行业的基金；而对于机构投资者普遍采用“自上而下”先选行业再选个股的投资策略来说,掌握行业轮动的规律,就可以有一个占据优势的投资布局,有了-个好的开端,看准了方向,才能获得超越市场的投资收益。一个有效的证券市场,不应该是“齐涨齐跌”的市场,研究行业轮动规律,还可以更好的指导我们检验市场的有效性。
2004年11月10日,美林证券发表了著名的研究报告《The Investment Clock》,研究在经济的不同阶段相对应的投资策略。其主要原理是根据经济增长趋势和通货膨胀趋势,将经济周期划分为四个阶段：复苏、过热、滞涨、衰退,在不同的阶段采取不同的投资策略,配置不同的资产和行业,美林投资时钟所体现的就是实体经济与投资策略之间的基本关联。美林投资时钟中四个阶段的含义：
1、衰退阶段：GDP增长乏力,过剩产能以及不断下降的商品价格促使通货膨胀走低。企业盈利微薄,实际收益下降。央行试图促使经济返回到可持续增长路径上而降低利率,收益率曲线下行而且陡峭,这时债券是最好的资产选择。
2、复苏阶段：宽松的政策发挥效力,经济加速增长到长期增长趋势附近。然而,通货膨胀继续回落,因为剩余的生产能力尚没有消耗完,周期性生产增长强劲。利润急剧恢复,但是央行还是保持宽松的货币政策,收益率曲线保持在低位,这时股票就是最好的资产选择。
3、过热阶段：生产增长减缓,生产能力接近极限,通货膨胀上升。央行提高利率,促使经济返回到可持续增长路径上,但是GDP增长率还是保持在趋势上方。债券表现糟糕,收益率曲线上行。股票投资收益依赖于强劲的利润增长和价值重新估值两者的权衡,常常伴随着卖出债券,这时商品就成为最佳的资产选择。
4、滞胀阶段：GDP增长降低到长期增长趋势以下但是通货膨胀继续上升,部分原因是能源品价格冲击。生产不景气,厂商为了保护利润水平而提高产品价格,造成工资价格螺旋上升。只有失业率的大幅上升才能打破这一恶性循环。直到通货膨胀达到顶尖后央行才能有所作为,这就限制了债券市场的回暖步伐。企业的盈利恶化,股票表现非常糟糕,这时现金就是最好的选择。
应用美林投资时钟理论,有利于我们进行股票市场行业配置：
1、周期性：当经济增长加快,股票和大宗商品表现较好,周期性行业表现就会超过大市。当经济增长放缓,债券、现金及防御性投资组合就会表现较好。
2、久期：当通货膨胀率下降时,折现率就会下降,金融资产表现较好。投资者可购买久期长的成长型股票。当通货膨胀上升时,实体资产,如：大宗商品就会表现较好。估值波动小而且久期短的价值型股票表现就会超越大市。
3、利率敏感：银行和可选消费行业属于利率敏感型,在一个周期中最早有反应。在央行放松银根,经济增长开始复苏时的衰退和复苏阶段,它们的表现最好。
本文应用的研究方法有聚类分析和相关性分析。聚类分析又称群分析,它是研究(样品或指标)分类问题的一种多元统计方法,所谓类,通俗地说,就是指相似元素的集合。聚类分析是在预先不知道想要划分类的情况下,根据信息相似度原则进行信息聚集的一种方法。聚类的目的是使得属于同一类别的个体之间的差异尽可能的小,而不同类别上的个体之间的差别尽可能地大。因此,聚类的意义就在于将观察到的内容组织成类分层结构,把类似的事物组织在一起。通过聚类,人们能够识别密集和稀疏的区域,因而发现全局的分布模式,意义数据属性之间的有趣关系。在统计学中,一般将描述和分析两个或两个以上变量之间相关的性质及其相关程度的过程,称之为相关分析。相关分析的目的主要是力求通过具体的数量描述,呈现研究变量之间的相互关系的密切程度及其变化规律,探求相互关系的研究模式,以利于统计预测和推断,为做出正确决策提供参考依据。
对于行业轮动规律的研究,目前在我国还比较少,基本处于起步的阶段,对行业轮动的认识,也基本上停留在一个感性、形象认识的阶段,缺乏理论基础。本文旨在探索研究行业板块轮动的规律,并对其进行解释。为了达到这个目的,本文首先将样本区间内申万A股指数分成了8个比较大的上涨下跌趋势,对每个阶段趋势内各个行业的累积收益趋势图进行描述分析,获得了一些对行业板块轮动的形象和感性认识。然后本文选取行业指数日收益平均相关系数、区间涨跌幅作为变量,对每个阶段趋势内的行业进行聚类分析,将23个申万一级行业分为4个大类,并对各个阶段内的聚类情况进行比较分析,从而得出一些在不同市场背景下行业分类的规律。本文从两个方面来研究行业轮动规律,首先对每个阶段趋势内23个申万一级行业指数的不同区间涨跌幅进行分析研究,以期找到行业板块轮动的一些规律;本文还从每个上涨下跌趋势当中各个行业指数之间的相关关系分析了行业轮动的规律。文章最后应用美林投资时钟理论,将经济周期划分为不同的阶段,对我国A股市场行业轮动规律进行了解释。研究结论发现：
1、行业轮动现象在A股市场确实存在,而且轮动效果和市场趋势有关,在上涨趋势下轮动效果要比下跌趋势下明显；
2、行业聚类将23个申万一级行业分为四大类,强周期类和消费类行业的行业轮动效果比较明显,而中周期和轻工业类行业的轮动不明显,只在某些特殊的时刻具体的市场背景下才会显现,整体上来看在大部分的时期内取得市场的收益率；
3、从区间涨跌幅的角度来分析,强周期类行业和消费类行业的轮动效果比较明显；
4、日累积收益率平均相关系数比较大的行业,主要集中在中游和下游,其轮动效果不是很明显；而平均相关系数越小的行业,越能走出独立行请,这些这些行业以周期类行业为多,此类行业的轮动现象也最明显；不同市场背景下平均相关系数变动比较大的行业轮动现象也较明显；
5、美林投资时钟理论在大体上能够解释我国A股市场不同市场背景下的行业轮动现象,但是这种解释是粗线条的。虽然大类行业的轮动规律基本符合美林投资时钟理论的内在逻辑,但是只有金融、大宗商品、能源、消费类行业的轮动比较明显,而其他一些中游行业的轮动效果就不是很明显。
Since the reform of non-tradable shares, China's securities market has made considerable progress and development.As of now China has established the main board in Shanghai and Shenzhen, small and medium enterprises board, the GEM board in Shenzhe.Listed companies in Shanghai and Shenzhen has reached more than 2000, the various sectors of the national economy. With the development of China's securities market, investors are becoming more mature, investment philosophy and strategy are more and rich.
Industry configuration is an important source of income for excess. With the expanding of institutional investors, listed companies in the rapid increase in number, a unit of the stocks for institutional investors performance contribution has been reduced, the industry is particularly important to the configuration. Industry fund, which is oriented to industry, which investment is limited to a certain industry or a few features similar to the industry,with a view from the industry surplus with the rapid growth in income, to avoid concentration of individual companies shoulder higher investment risks. The first issue of Fortune SG Fund Management Co. Ltd of consumer goods industries Kang Bo fund, established in July,2003. The number of listed companies and trade growth in the increasingly rich variety of industries fund type Fund as a breakdown in China will have a lot of room for development. The number of listed companies and trade growth in the increasingly rich variety of industries fund type Fund as a breakdown in China will have a lot of room for development. In particular in the country's economic restructuring and the beginning of the newly emerging industries, at present, the industry theme of the Fund is vigorous development, particularly the consumption and emerging industries thematic funds.
Sector Rotation, by definition, is in the market in the course of development, investment from a trade point to another industry. Researching industry round of the law and practice of direct investment had a very important role not only can it help ordinary investors buy industry directly in the market share, beyond the excess income market, but also guide investors in different periods purchase different sectors of the Fund; As for institutional investors generally used "top" first elections to select a unit of the industry investment strategy and the movement of trade law, can have a dominant for investment, there is a good start in the direction to be beyond the investment market. An effective securities market, should not be "the same change" in the market price, the industry movement laws, but also better guidance in testing the effectiveness market.
ML's Investment Clock splits the economic cycle into four separate phases, depending on the direction of growth the diagram tend to outperform while those in the opposite corner tend to underperform. The classic boom-bust cycle starts at the bottom left and moves around clockwise with Bonds, Stocks, Commodities and Cash outperforming in turn. Life is not always so simple. Sometimes the clock moves backwards or skips a phase. We will be making judgments on the future stage of the global economic cycle in our asset allocation research.
The Investment Clock framework helps investors to recognize the important turning points in the economy and identifies investments to take best advantage of a change. We split the economic cycle into four phases—Reflation, Recovery, Overheat and Stagflation.
In Reflation, GDP growth is sluggish. Excess capacity and falling commodity prices drive inflation lower. Profits are weak and real yields drop. Yield curves shift downwards and steepen as central banks cut short rates in an attempt to get the economy back onto its sustainable growth path. Bonds are the best asset class.
In Recovery, policy ease takes effect and GDP growth accelerates to an above trend rate. However, inflation continues to fall because spare capacity has not yet been used up and cyclical productivity growth is strong. Profits recover sharply but central banks keep policy loose and bond yields stay low. This is the sweet spot of the cycle for equity investors. Stocks are the best asset class.
In Overheat, productivity growth slows, capacity constraints come to the fore and inflation rises. Central banks hike rates to bring the economy back down to its sustainable growth path, but GDP growth remains stubbornly above trend. Bonds do badly as yield curves shift upwards and flatten. Stock returns depend on a trade-off between strong profits growth and the valuation de-rating that often accompanies a sell-off in bonds. Commodities are the best asset class.
In Stagflation, GDP growth slows below trend but inflation keeps rising, often due in part to oil shocks. Productivity slumps and a wage-price spiral develop as companies raise prices to protect their margins. Only a sharp rise in unemployment can break the vicious circle. Central banks are reluctant to ease until inflation peaks, limiting the scope for bonds to rally. Cash is the best asset class.
The Clock helps with Equity Sector Strategy
A second advantage is that it helps us think about sector strategy:
Cyclicality:When growth is accelerating (North), Stocks and Commodities do well. Cyclical sectors like Tech or Steel out-perform. When growth is slowing (South), Bonds, Cash and defensives outperform.
Duration:When inflation is falling (West), discount rates drop and financial assets do well. Investors pay up for long duration Growth stocks. When inflation is rising (East), real assets like Commodities and Cash do best. Pricing power is plentiful and short-duration Value stocks outperform.
Interest Rate-Sensitive's:Banks and Consumer Discretionary stocks are interest-rate sensitive early cycle performers, doing best in Reflation and Recovery when central banks are easing and growth are starting to recover.
Asset Plays:Some sectors are linked to the performance of an underlying asset. Insurance stocks and Investment Banks are often bond or equity price-sensitive, doing well in the Reflation or Recovery phases. Mining stocks are metal price-sensitive, doing well during an Overheat. Oil & Gas is sensitive to the oil price, outperforming in bouts of Stagflation.
This applied research by cluster analysis and related analysis. Cluster analysis group, also known as analysis, it is to study (samples or indicators) Category A pluralistic statistical methods, such as the saying goes, popular, that is similar to those elements of the Assembly. Cluster analysis is not known in advance to the Division, based on information gathered information similar to the time. Together with the aim is to make a category of individuals belonging to the differences between the small as possible, and the different categories, the difference between the individual as much as possible. Related analysis of the main purpose is to seek to describe the specific number of research in the close relationship between the variables and their change and seek mutual relations, in order to facilitate statistical projections and assumptions, and to make a correct decision on the basis for reference.
Movement of the Law of the industry, the relatively small, are in the initial stage of the round of trade, also remained stuck in a sense of image, the stage, the lack of theoretical basis. This article is to explore and study the laws governing trade round plate, and to explain. In order to achieve this objective, the article in the sample interval Shin 10,000 A index is divided into eight relatively large increase in the decrease in each stage of the trends in various industries and a description of the accumulated earnings trend analysis, a number plate movement of the industry's image and perceptions. This article, and then selects industry index relevant factors, an average income decline in prices as a variable sections, each stage of the industry trend analysis carried out together in a bid to 23 Shenyin first levels in four major industries, and the stages of the cluster a comparative analysis of various markets in order to arrive at a background of the category of the law. This article from two aspects to study law industry movement to trends in each phase 23 Shenyin first level different sections of the price level industry index fell for the study, with a view to finding a trade plate movement of some laws; this decline in prices from each of the relationship between the business sector Index Analysis of the round of trade laws. The article applied the investment clock theory, the economic cycle is divided into different stages of the market share my movement for the law. The article applied the investment clock theory, the economic cycle is divided into different stages of the market share my a movement for the law. Conclusion of the study found.
Industry movement in the A stock market did exist, and moving round results and market trends related to the rising trend of moving round effects than the apparent decline;
Industry cluster shin industry into four categories of cycle and consumer industry's movement more obvious results of the cycle of movement and light industries is not clear, in particular the specific time in the context of the market will become clear, and in most of the whole period of time to market rate of return;
Sections from price decline in the perspective of cycle industries and the consumer industries moving more obvious results;
Cumulative rate of return on average more relevant factor in the industry, mainly in the middle and lower reaches of the movement is not very clear results; and the smaller the industry average related factors, the more independent and able to walk out, these industries to cycle industries, such industries are the most obvious movement; the average market related factors background changes in the industry more movement is more apparent;
A stock different market share market movement against the background of the industry is generally applied the investment clock theory, but this is the thick lines, it is not sufficient.
引文
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[1]林晓明、董艺婷、戴军、葛新元.国信投资时钟初探.[R].国信证券.2010年7月12日.
[2]伍军.国际对冲基金的行业轮动投资：理论与实践.[D].上海社会科学院博士学位论文.2010年3月.
[3]乔海曙、陈志强、陈力.我国A股市场行业板块轮动现象研究.中国金融学术网.
[4]陈梦根、曹凤岐.中国证券市场价格冲击传导效应分析.[J].管理世界.2005年第10期.
[5]陈鹏、郑翼村.中国股市“板块联动”现象分析.[J].时代金融.2006年10月.
[6]林晓明、董艺婷、戴军、葛新元.国信投资时钟之行业关联网络.[R].国信证券.2010年9月3日.
[7]林晓明、董艺婷、戴军、葛新元.国信投资时钟之行业轮动.[R].国信证券.2010年9月7日.
[8]张雷.行业轮动规律与优势行业的选择.[R].齐鲁证券.2010年11月17日.
[9]宋曦.行业相关性规律研究.[R].联合证券.2009年10月29日.
[10]焦健.核聚类方法与寻找A股行业轮动的核.[R].2010年10月.
[11]贺振华.中国的投资时钟——经济周期与行业轮动的实证分析.[R].申银万国.2009年6月5日.
[12]阚先成、高子剑.行业轮动以及周期研究.[R].东方证券.2009年3月30日.
[13]林晓明、董艺婷、戴军、葛新元.美林投资时钟A股市场探讨.[R].国信证券.2010年11月18日.
[14]程希明、蒋学雷、陈敏、吴富国.中国股市板块羊群效应的实证研究.[M].系统工程理论与实践.2004年12期.
[15]杜伟锦、何桃富.我国证券市场的板块联动效应及模糊聚类分析.[M].商业研究.2005年22期.
[16]何诚颖.中国股市“板块现象”分析.[M].经济研究.2001年12期.
[17]刘博、皮天雷.惯性策略和反转策略：来自中国沪深A股市场的新证据.[M].金融研究.2007年8期.
[18]彭艳、张维.我国股票市场的分板块投资策略及其应用.[M].数量经济技术与经济研究.2003年12期.
[19]秦宛顺、刘霖.中国股票市场协整现象与价格动态调整过程研究.[M].金融研究.2001年4期.
[20]叶咸尚.中国股市板块轮动特征、影响因素与趋势.[M].浙江金融.2007年8月.
[21]Paolo Sassetti, Massimiliano Tani. Dynamic Asset Allocation Using Systematic Sector Rotation. [M]. The Journal of Wealth Management,2006, Vol.8, Iss.4:4-9.
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