东北证券_20181024_东北证券大类资产配置“全解析”专题研究之二：“少即是多”朴素美林时钟模型.pdf

/“”“”CPIGDP “”1 2016-12-17 2Copula 2017-02-02“”2018-09-28 S0550518090001 020 2036 1264 S0550117100006 S0550118080015 S0550118090018 021 2036 3215 2018-10-24 2/22 1.5 1.1.5 1.2.5 1.3.6 2.6 2.1.6 2.2.7 2.3.8 3.9 3.1.9 3.2.10 3.2.1.10 3.2.2.12 3.2.2.1.12 3.2.2.2.13 3.2.2.3.15 3.2.2.4.16 3.2.3.17 4.17 4.1.1.17 4.2.2.17 4.3.3.18 4.4.3.18 5.19 6.20 7.20 3/22 1.5 2.5 3.6 4GDP.7 5CPI.8 6CPI12.8 7CPI24.8 8.9 9.11 10.12 11.12 12.13 13.13 142017.14 15.15 16.15 17.16 18.16 19.18 20.20 4/22 1GDP.7 2.9 3.10 4.11 5.11 6.12 7.13 8.14 9.14 10.15 11.15 12.16 13.16 14.17 152.18 163.18 17.19 5/22 1.1.1.200411BOA2004CDO20082“”1.2.4 1 2 3 4 CPICPICPI 1 2 6/22 1.3.“”“”3 2.CPIGDPGDPCPIGDP 2.1.CPI 4GDP 1GDP0GDP 2GDP0GDP19912009 7/22 CPI3%4GDP Wind 1GDP GDP 2008-12-2.75 2009-03-3.29 -0.54-1 2009-06-3.92 -0.64-1 2009-09-3.05 0.87 1 Wind 2.2.CPICPI 8/22 5CPI Wind 122412GDP 6CPI12 7CPI24 Wind Wind 2.3.3CPI43CPI44CPI4343CPIGDP 9/22 415 3.3.1.OECDOutput GapGDP 8 WindBloomberg 2 500 S&P 500 FTSE US Broad Investment-Grade Bond Index S&P GSCI Total Return US 3M Treasury Yield 10/22 3 4/30/1981 8/31/2018 1.16%0.66%0.29%0.02%0.65%0.71%0.30%0.05%1.19%0.37%0.84%-0.04%0.19%0.64%0.49%0.05%0.78%0.60%0.47%0.02%windBloomberg 1 2 3 4 3.2.3.2.1.0711 11/22 9 Wind 4 5 3/31/2006 7/31/2018 1.03%0.63%-0.56%0.30%4.17%0.17%0.53%0.24%3.07%0.05%-0.64%0.24%-0.61%0.30%1.17%0.27%1.38%0.33%0.22%0.27%wind 1 2-0.56%30.27%1 12/22 2 3 3.2.2.xx 3.2.2.1.10 11 Wind Wind 6 1 10 2008-09 2009-06 38%47%11%13%-13%-15%2%3%2 13 2011-12 2012-12-6%-6%5%5%5%5%4%4%3 3 2013-04 2013-06-9%-31%1%4%-9%-30%1%3%4 1 2014-01 2014-01-1%-14%1%11%-4%-41%0%6%5 1 2014-03 2014-03-3%-27%0%1%-1%-11%0%5%6 1 2014-05 2014-05 1%13%1%16%0%-3%0%4%7 3 2014-10 2014-12 22%125%3%14%0%0%1%4%8 8 2015-04 2015-11 0%0%6%9%-16%-22%2%3%9 1 2016-09 2016-09-2%-19%1%7%3%37%0%2%10 5 2017-10 2018-02-5%-12%0%1%6%16%2%4%Wind 13/22 7 40%3.53 15.28%-4.33%3.51%100%NULL 2.92%NULL 2.92%40%0.33 2.84%-8.60%-4.02%100%NULL 2.00%NULL 2.00%Wind 0914154-6 0908GDP0916.40928.2708PMIM1M209 14783GDP7.57.1112115 154517%12%40 3.2.2.2.12 13 Wind Wind 14/22 8 1 7 2006-03 2006-09 43%84%1%2%3%5%1%2%2 6 2009-07 2009-12 18%40%0%0%23%50%1%1%3 2 2013-01 2013-02 8%57%1%6%-2%-9%1%4%4 3 2014-07 2014-09 20%106%2%6%-10%-36%1%4%5 3 2015-01 2015-03 26%156%1%4%-3%-13%1%5%6 6 2017-03 2017-08 1%2%0%1%5%10%2%4%Wind 9 100%NULL 19.33%NULL 19.33%100%NULL 1.25%NULL 1.25%50%2.07 10.33%-5.00%2.67%100%NULL 1.17%NULL 1.17%Wind 171717 142017 Wind 15/22 3.2.2.3.15 16 Wind Wind 10 1 9 2007-01 2007-09 179%293%-2%-3%8%11%2%3%2 6 2010-01 2010-06-25%-43%4%9%-12%-22%1%2%3 3 2011-04 2011-06-6%-23%1%4%-3%-13%1%3%4 1 2013-03 2013-03-5%-48%0%5%-5%-44%0%3%5 3 2013-10 2013-12-2%-7%-2%-9%-3%-12%1%5%6 2 2017-01 2017-02 2%16%0%-2%7%47%1%3%7 1 2017-09 2017-09 1%14%0%6%-8%-61%0%4%Wind 11 43%6.39 60.67%-9.50%20.57%07 33%0.16 1.50%-9.50%-5.83%57%1.25 2.50%-2.00%0.57%29%1.21 7.50%-6.20%-2.28%100%NULL 1.20%NULL 1.20%Wind 16/22 3.2.2.4.17 18 Wind Wind 12 1 3 2006-10 2006-12 31%198%0%1%1%3%0%2%2 11 2007-10 2008-08-56%-59%3%3%-1%-1%3%3%3 9 2010-07 2011-03 31%43%-1%-1%24%34%2%2%4 5 2011-07 2011-11-16%-35%3%7%-13%-29%2%4%5 3 2013-07 2013-09 15%75%-1%-4%5%23%1%4%6 1 2014-02 2014-02 1%9%2%22%-2%-17%0%5%7 1 2014-04 2014-04-1%-8%1%11%-1%-8%0%4%8 1 2014-06 2014-06 2%31%1%10%1%11%0%5%9 9 2015-12 2016-08-9%-12%5%7%31%43%2%3%10 3 2016-10 2016-12 1%3%-2%-7%18%96%1%3%11 5 2018-03 2018-07-13%-29%4%11%-2%-4%2%4%Wind 13 55%0.71 13.50%-19.00%-1.27%73%2.04 2.71%-1.33%1.61%55%3.51 13.33%-3.80%5.55%100%NULL 1.86%NULL 1.86%Wind 06GDP13.712.2CPI06 17/22 102010 137PMI 3.2.3.14 3/31/2006 7/31/2018 1.91%0.52%-0.12%0.29%3.26%0.31%0.21%0.23%3.28%0.04%-0.20%0.26%-1.10%0.32%0.74%0.26%1.38%0.33%0.22%0.27%wind 4.4.1.1 4.2.2 60%10%15%18/22 152 15%60%10%15%60%15%15%10%15%10%60%15%10%15%15%60%4.3.3“”0 163 33%33%0%33%33%33%33%0%33%0%33%33%0%33%33%33%4.4.3 19 Wind 19/22 17 3/31/2006 8/31/2018 1 2 3 4 287.42%48.59%17.22%63.04%249.64%189.85%226.64%109.91%11.52%3.24%1.29%4.01%10.60%8.95%10.00%6.15%19.88%3.24%4.38%4.20%8.52%7.66%10.37%6.09%63.59%0.94%27.89%5.54%12.91%12.08%17.68%16.85%Yearly Sharpe 0.31 3.43 0.16 0.76 0.66 0.63 0.59 0.36 Yearly Sortino 1.03 inf 0.39 5.36 2.70 3.58 3.79 0.83 Calmar Ratio 0.17 inf 0.03 1.06 0.49 0.70 0.71 0.22 -69.42%0.00%-49.66%-3.77%-21.81%-12.76%-14.08%-27.75%-31.97%-34.41%-1.33%-6.57%-5.01%-5.03%-6.08%Wind 1GPDCPI 2SortinoCalmar10%0SortinoCalmar 5.GDP9CPIGDP6.76.5CPI2.32.5CPI“”20/22 20 Wind 6.PMIM1M2PPIBL 7.CPIGDP “”21/22 2016 AIG2018 “”R3ABAAABS “”615%65%15%6-5%5%65%15%615%6 6 6 22/22 http:/400-600-0686 6666 130119 28D 100033 729 200127 1224D 518000 021-20361100 13621693507 021-20361106 18601722659 021-20361121 13564972909 021-20361258 18221628116 021-20361267 13956071185 chen_ 021-20361258 13120758587 L 021-20361121 18516562656 021-20361112 18801903156 010-58034553 18515018255 010-58034557 18501954588 010-58034555 13701194494 010-58034563 18501944669 010-58034565 18601018177 010-58034561 18600646766 0755-33975865 18938029743 liu_ 0755-33975865 15989508876 0755-33975865 13662669201 0755-33975865 18682251183