Merrill Lynch clock "acclimatized"
In the seven trading days at the beginning of 20 18, the Shanghai composite index gained "seven consecutive years", with a cumulative increase of 3.47% and recovered 3400 points; Wenhua Commodity Index rose1.48%; The main five-year treasury bond futures contract 1803 fell by 0.42%. Judging from the situation since the beginning of the year, the order of return on various assets is stock market, commodities, cash and bond market.
Looking forward to the whole year of 20 18, does the well-known "Merrill Lynch clock" still have reference value in asset allocation? Previously, "Merrill Lynch Clock" had been "acclimatized" in China. For example, 20 16, the insiders joked that "Merrill Lynch clock has become an electric fan".
According to the macro Li Chao team of Huatai Securities, the idea of asset allocation in large categories after 20 1 1 year was traced back, and it was found that the correct rate was only 28% according to the idea of "Merrill Lynch Clock". Since 20 1 1, China needs to weigh and resolve risks such as real estate bubble, local debt, shadow banking and financial interbank. Monetary policy and financial supervision policy need to consider more and more factors other than economy and inflation, which leads to the weakening of the explanatory power of Merrill Lynch clock with only two input variables: economy and inflation.
Increase interest rate variable
The aforementioned brokers pointed out that in the large-scale asset allocation, whether it is stocks, bonds, bulk commodities or real estate price changes, they all revolve around an important core variable, namely interest rate. The decision-making factors of interest rate and monetary policy in China are more complicated than those in other countries. The central bank does not have a clear "interest rate pricing equation" like the Federal Reserve, but a multi-objective decision-making system. Therefore, the input variable of "Merrill Lynch Clock" must be added with "interest rate", and in many cases "interest rate" will become the main variable, thus affecting the trend of all major assets. Based on this model, we trace the changes of major asset allocation in China since 20 1 1, and find that the allocation accuracy has increased to 72%, which is much higher than the 28% directly using Merrill Lynch clock model.
Taking the interest rate as the axis, the original "Merrill Lynch clock" is added to the variable of interest rate, which is divided into four dimensions: strong upward stage, upward stage, downward stage and strong downward stage. The "Merrill Lynch clock" will change in different interest rate situations. Among them, the biggest change is the strong upward stage of interest rates. At this time, no matter what the economy and inflation are, there will be a "three kills" of "stock creditors" because liquidity is often greatly reduced at this stage.
Considering the current situation, the market generally expects that the domestic policy interest rate of 20 18 will continue to rise, but the prudent monetary policy will not change, and the interest rate will be in the upward stage, not the strong upward stage. As for inflation, the probability is in the middle level. If interest rates go up, inflation goes up moderately, and the economy goes down, the improved version of "Merrill Lynch Clock" points to cash as king. If the economy can stabilize and rebound, commodities will be the best allocation, followed by stocks. ?
Need to be combined with policy adjustment
But 20 18 has a new variable, that is, regulatory factors. Considering the slow growth of deposits in small and medium-sized banks and their high dependence on interbank certificates of deposit, the pressure on the debt side will still restrict the development of banks. At the same time, the new asset management regulations show that financial deleveraging has extended to the asset side, and asset management institutions have either actively or passively reduced their statements.
At the 20 18 investment strategy report meeting of Haitong Securities, Kyle, vice president of Shanghai Liuhe Investment, said that taking macro leverage as an example, attention should be paid to the details, that is, what leverage ratio should be controlled. If the focus is on financial deleveraging, it will reduce liquidity and pose a pressure on all markets; If enterprises deleverage and government platforms deleverage, it is good to reduce financing demand from the source.
Kyle believes that the order of 20 18 assets is stocks, bonds and commodities. There are certain variables in the ranking of commodities and bonds, and the core is supervision. If the supervision is strict, bonds will not perform as well as commodities. At the same time, pay attention to the strength of environmental protection policies. If the intensity is further increased, commodities may still be a bull market, especially some new varieties and small varieties with improved supply and demand.