美林经典研究报告：The Investment Clock.pdfVIP

GLOBAL 10 November 2004 The Investment Clock Special Report #1: Making Money from Macro Contributors Highlights of this Issue Trevor Greetham The Investment Clock Director of Global Asset Allocation, ML’s Investment Clock is an intuitive way of relating asset rotation and sector Institutional Client Group strategy to the economic cycle. In this report we back-test the theory using (44) 20 7996 1535 more than thirty years of data. We find that, while every cycle has unique aspects, there are clear similarities that can help investors to make money. Michael Hartnett Methodology and Results Deputy Director of the RIC, Global Private Client Group The Investment Clock model splits the economic cycle into four phases (1) 212 449 5827 depending on the direction of growth relative to trend and the direction of inflation (Table 1). We use OECD “output gap” estimates and CPI inflation data to identify the historic phases in the U.S. since 1973. Then we calculate the average asset and sector returns for each phase, testing our results for statistical significance. We confirm that Bonds, Stocks, Commodities and Cash outperform in turn as the cycle progresses. We also find a very useful read-across to equity sector