The strategy construction of major asset allocation based on macroeconomic cycle

Abstract

Nowadays, in the investment market, the investment method with major asset allocation as the core has become the mainstream of various industries. This paper studies the data of various macroeconomic indicators, screens these indicators and observes their changing trends, so as to divide the economic cycle, and uses time series analysis and calculation of the relevant characteristics of risk and return, so as to maximize the benefits of asset allocation. According to the Merrill Lynch "investment clock" theory, select four economic indicators, observe the general change trend of these four indicators in one, and divide them into five different stages of economic status. The APIMA time series model was used to calculate the changing trend of macroeconomic environment. Through mathematical statistics, economics and other relevant principles to calculate the risk and return characteristics of the five stages, presented by the correlation coefficient heat map.This paper analyzes the impact of monetary policy on the return of major assets at different stages of the economic cycle, which is conducive to improving the investment ability of various asset management companies, promoting the effectiveness of asset allocation, improving the annual return rate of asset allocation portfolio, and thus increasing economic benefits.