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非常抱歉不知道为什么不能下载，楼主已经把大家的钱退给大家了，我刚刚修改了一下。部分同志已经发到你们邮箱了，其他的我就暂时不发了。修改后还是不能下载，所以我取消收费，另外刚刚看到大门口好像有兄弟在昨天把我的那个文件发出来了，我把地址贴一下，大家可以参考。给大家带来不便，刚刚得到消息，公司取从上周5取消了网络上传功能，没办法了，以后只好晚上在家发帖了。http://tel.pinggu.org/bbs/b90i381898.html
Highlights of this Issue
The Investment Clock
ML’s Investment Clock is an intuitive way of relating asset rotation and sector
strategy to the economic cycle. In this report we back-test the theory using
more than thirty years of data. We find that, while every cycle has unique
aspects, there are clear similarities that can help investors to make money.
Methodology and Results
The Investment Clock model splits the economic cycle into four phases
depending on the direction of growth relative to trend and the direction of
inflation (Table 1). We use OECD “output gap” estimates and CPI inflation
data to identify the historic phases in the U.S. since 1973. Then we calculate
the average asset and sector returns for each phase, testing our results for
statistical significance. We confirm that Bonds, Stocks, Commodities and
Cash outperform in turn as the cycle progresses. We also find a very useful
read-across to equity sector strategy and to the shape of the yield curve. See
the diagram on the next page for a summary of the main results.
Economic Cycle Analysis is Key
We are not testing a real-time, quantitative trading rule. Rather, we are
showing that a correct macro view ought to pay off in a particular way. It is
striking how consistent the results are given that we pay no explicit attention
to valuation, a factor often held to be of utmost importance. Economic cycle
analysis, including an assessment of the aims and effectiveness of policymakers,
will form the core of our tactical asset allocation work.
Based on this methodology, we still favour global “Overheat” plays:
commodities, industrial stocks, Asian currencies, Japan and the emerging
markets. We would underweight Government bonds, financials, consumer
discretionary stocks and the U.S. dollar. See pages 17-20 for details.
[此贴子已经被作者于2008-11-10 8:52:31编辑过]
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