The Research On Asset Allocation Based On China's Economic Stage

In 2004,merrill lynch investment clock theory came out,and after the subprime mortgage crisis in 2008,the theory of asset allocation began to attract the attention of Chinese institutional investors.It is important for Chinese investors that whether Merrill lynch investment clock is effective in Chinese capital market,what is the relationship between the macro economic and assets profit,how to carry out the dynamic asset allocation and get excess returns.Therefore,the research on asset allocation based on China's business stage has practical implications.Merrill Lynch's investment clock is an investment approach that links assets to economic cycles.Based on investment clock theory,divide the stage of economic from 2004 to September 2016 in China.In each stage of economic,calculate profit of stocks,bonds,commodities,cash,and test them through the Pearson test,granger test and single factor analysis of variance test,found that there is relationship between the macroeconomic indicators and asset returns,consistent with merrill lynch investment clock logic.But there are some diffenences:in the recovery and overheating stage,stock returns surpass other asset returns,in the recession and stagnation stage,the bond is the best.According to this problem,a concrete analysis on the alternative economic monetary cycle,as well as the relationship between commodity prices and nominal GDP growth,monetary policy,and improve investment clock.After statistical analysis,the new model significantly improved the asset gains.According to the new model,our country stays in recession turn to recovery,central bank carry out a steady and tightening monetary policy,so the best investment assets is cash.