全国社会保障基金的风格资产配置研究——基于经济周期视角

发布时间：2018-03-12 08:25

本文选题：社会保障基金　切入点：投资时钟理论　出处：《南京审计大学学报》2017年03期 　论文类型：期刊论文

【摘要】：根据美林证券的投资时钟理论,结合我国宏观经济的月度指标,将我国宏观经济状态划分为四个阶段,同时将全国社会保障基金的投资细分为10个类别的风格资产,基于经济周期视角对这10类风格资产的收益率状况进行分析,结果表明:在复苏阶段,股票资产的收益率最高,并且不同风格股票在收益率方面的差异不大,表现出齐涨的态势;在过热阶段,不同风格股票在收益率方面表现出较大的差异,小盘股的收益率表现最好,尤其是小盘成长股的收益率最高;在滞胀阶段,最安全的资产应该是现金资产,倘若考虑到通货膨胀率的因素,其实际收益率甚至为负;在衰退阶段,债券类资产的表现最好。同时,基于不同策略的资产配置方案的累计收益率比较结果表明:不同经济周期下的资产配置方案可以显著提高资产组合收益率。
[Abstract]:According to the investment clock theory of Merrill Lynch, combined with the monthly index of China's macro economy, the macroeconomic state of our country is divided into four stages, and the investment of the national social security fund is subdivided into 10 types of style assets. Based on the business cycle perspective, this paper analyzes the return status of these 10 types of assets. The results show that: in the recovery stage, the return rate of stock assets is the highest, and there is little difference between different styles of stocks in terms of return rate. In the overheating stage, stocks of different styles show great differences in yield, small-cap stocks have the best yield, especially small-cap growing stocks have the highest yield; in stagflation stage, The safest assets should be cash assets, whose real yields are even negative when inflation is taken into account; bond assets perform best during the recession. The results show that the asset allocation schemes with different economic cycles can significantly improve the return rate of asset portfolio.
【作者单位】：苏州大学东吴商学院;
【分类号】：F832.51

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