Research On Business Cycle And Asset Allocation

Asset allocation refers to the process of determining the category of assets and their investment proportion in the portfolio.Its goal is to maximize the return after risk adjustment.Reasonable asset allocation can help investors realize wealth appreciation,so how to allocate assets has always been the mainstream topic of investment research.With the improvement of China’s capital market,the relationship between large categories of assets and macro-economy is becoming closer and closer.There is a significant positive correlation between asset prices and economic variables.The economic cycle is caused by the cyclical changes of macroeconomic variables,so the theoretical attention on the economic cycle and asset allocation is also increasing day by day.Among them,the investment clock theory is the focus of the research of investment institutions,and the academic circle also has a series of research results.The investment clock theory connects the economic cycle with asset rotation,divides the economic cycle from the two dimensions of economic growth and inflation,counts the asset performance of each cycle,and obtains the asset rotation allocation strategy,which is a practical asset allocation method.Based on the investment clock theory,this paper tests the application effect of investment clock in China,modifies the investment clock according to the actual situation of our country,and finally gives the perspective of transnational asset allocation of investment clock to make up for the research gap of investment clock.Firstly,this paper divides China’s economic cycle from July 2005 to September 2021 with reference to the principle of investment clock,and selects appropriate indicators to represent four configurable categories of assets:stocks,bonds,commodities and cash.Then,the effectiveness of investment clock is tested through exogenous test and ANOVA one-way ANOVA.The results show that the application effect of investment clock principle in China is poor;Secondly,this paper modifies the investment clock model according to the actual situation of our country,and selects appropriate indicators to re divide the economic cycle of our country.The empirical results show that the modified investment clock is effective,.Then the VAR model is used to study the relationship between the economic cycle based on investment clock and large categories of assets,and finally the corresponding asset rotation allocation strategy is formed;Finally,considering the background of the gradual opening of China’s capital market and the continuous accumulation of residents’ wealth in recent years,this paper expands the application of investment clock from the perspective of transnational asset allocation:through the two-dimensional periodic coordinate system of the United States and Europe,the world economic cycle is divided based on the cycles of the United States and Europe,which is divided into "classic cycle" and "relatively strong and weak period",and then multiple alternative assets are selected,Through empirical analysis,the assets that meet the conditions of asset allocation are selected,and their income performance in each cycle is counted.Finally,the asset rotation allocation strategy under the American and European cycle is formed,and the corresponding investment suggestions are given according to the performance of the strategy.