Research On China's Large Category Assets Allocation Based On The Investment Clock

With the continuous development of China's financial market,asset classes for investors to choose are also gradually enriched.How to make correct investment decisions in different market cycles is a great test for investors in financial markets.The author hopes to provide some reference suggestions on the above issues through this study.Before this paper,some scholars have studied the relativity of large class assets or the rationality of Merrill Lynch clock theory in the domestic market separately,but up to now,no scholars have introduced The Investment Clock to explain the dynamic relativity of large class assets over time,and have carried out empirical analysis with econometric methods.Therefore,this paper will take this as a way of thinking to study,in order to verify the rotational portfolio of China's large asset allocation under the guidance of The Investment Clock.This paper chooses four main types of market assets for research.These four types of assets are stocks,bonds,commodities and cash.The Shanghai-Shenzhen 300 Index,China Debt New Comprehensive Wealth Index,South China Commodity Index and Shibor are selected as the representatives of these four types of assets.The historical data from February 2009 to January 2019 are used to analyze these four types of assets.Firstly,we take the return rate of the above indicators as the basis of empirical analysis data,and carry out correlation research including stationarity test,cointegration test and Granger causality test,and get the correlation relationship among various types of assets.Secondly,in order to clarify whether the relationship between assets fluctuates with time,we adopt DCC-MVGARCH model to study the dynamic correlation of four types of assets,and analyze their economic significance according to the results.Then we introduce The Investment Clock to divide the economic cycle according to the leading index and lagging index,and use CPI and industrial added value VA as the comparison of economic cycle dividing.After confirming the cycle,we make an empirical analysis based on the historical data of four kinds of assets in the domestic market,study the relationship between each asset and the economic cycle,and analyze the rotation allocation of assets,compare the final net value,annual rate of return,Sharp ratio and other indicators of the rotation allocation and single asset,and finally determine the application of The Investment Clock in China.