中国经济周期波动与机构投资者资产配置策略研究.pdfVIP

摘 要 资产配置理论进入中国始于 2001 年，中国股市的持续下跌给证券市场的机构 投资者带来巨额亏损；2005 年中国股票市场进入全流通时代，经济的上升带来的资 本红利使股票市场得到全面的上涨；但 2008 年的国际金融危机又给诸多机构投资 者带来惨重损失和深刻教训；2009 年又进行了修复性上涨。如此的巨幅震荡，如何 进行合理有效的资产配置以达到利润最大化和有效规避风险成为众多专业机构投资 者的诉求。 本文主要通过对中国经济周期波动规律的研究，发现资产价格与经济周期波动 的关系，发掘不同经济周期合适的证券资产配置标的，为机构投资者的资产配置找 到一些思路，希望能对机构投资者通过结构性的证券资产标的调整，有效避免风险， 增加未来投资收益有所帮助。 文中运用 GDP 年度和月度工业增加值指标，对中国经济按时间周期进行分类， 通过投资时钟理论的运用，分析 1998-2009 年中国证券市场经济周期波动与资产配 置的关系，发现中国证券市场的大类资产配置的轮动方式，再对其中的细分资产- 股票配置进行具体分析。从中发现，经济周期与资产价格即使在一小段时间波动有 出入，但其总体波动方向是一致的，也发现撇开经济周期的股票资产配置不能获得 正收益。指出可以根据经济周期波动来确定机构投资者证券资产配置策略并获得市 场超额收益。 关键词：经济周期，资产配置，资产配置策略 1 ABSTRACT Asset allocation theories come to China since 2001. At that time, China stock market is falling down and brings huge loss to institutional investors. Then, China stock market comes into free circulate market in 2005 and the stocks is keep rising. Unfortunately, financial crisis in 2008 makes stock market falling down throughout the world. Of course, China stock market can’t be except. It’s a wonder that world stock market comes back in 2009! How to make fortune and avoid loss in so huge shock stock market in China? It’s really a question to many institutional investors. In this paper, I am trying to discover the relationship between asset price and economic cycle through the investment of China economic cycle, to find out suitable asset allocation strategy for institutional investors in China security market. This paper use GDP and monthly GDP Index to separate China economic cycle first. Then use Merlin Investment Clock theory to find relationship between asset allocation and economic cycle and find out the big category asset allocation strategy. After that, this paper analyzes the stock asset allocation s