资产选择的新周期——后QE时代的全球大类资产配置

ningjing

目录
导言和经济展望——不一样的新资产周期·························7
后 QE 时代的资产选择·········································22
新兴市场的股票和债券市场····································48
日本——如绚烂玫瑰般带刺····································61
新兴市场——请准备好救生圈··································69
大宗商品后超级周期时代的α分化······························76
黄金将何去何从？············································88
美元主宰外汇市场，套息交易将终结····························98
中国改革蓝图下的配置·······································112
图表
图表1：  全球主要资产过去几年的流向 ................................................................................................................. 8
图表2：  历史上（94-10）资产间的相关性 ............................................................................................................ 9
图表3：  私营部门自2000 年起杠杆率变化量 .....................................................................................................10      
图表4：  自2000 年以来的私营部门杠杆率 .........................................................................................................10
图表5：  杠杆周期决定经济周期 ...........................................................................................................................11
图表6：  欧元区已经见底？ ...................................................................................................................................12
图表7：  零售销售和消费者信心指数反弹 ...........................................................................................................12
图表8：  中国正面临滞胀期和衰退期的长期化 ...................................................................................................13
图表9：  全球经济2013、2014 年展望 .................................................................................................................14
图表10：市场的焦点也在转移 ...............................................................................................................................15
图表11：传统的美林周期已经不再适用？ ...........................................................................................................16
图表12：修正后的一般性周期资产配置图 ...........................................................................................................17
图表13：市场总是在误读，然后修正？ ...............................................................................................................25      
图表14：FED经济展望 ............................................................................................................................................26
图表15：近三次FOMC 会议纪要的关键之处 .......................................................................................................27      
图表16：房价已经不存在高估 ...............................................................................................................................29
图表17：房地产回暖但未过热 ...............................................................................................................................29
图表18：房价已经稳固回升 ...................................................................................................................................30
图表19：房地产漩涡增长模型 ...............................................................................................................................30      
图表20：美国经济长期前景乐观、短期存在疑虑 ...............................................................................................31
图表21：制造业已经强势回升 ...............................................................................................................................33
图表22：制造业和经济增长的拟合 .......................................................................................................................33
图表23：零售销售和增长拟合 ...............................................................................................................................33
图表24：零售销售和耐用品定单回升 ...................................................................................................................33
图表25：非农就业数据如果稳定在。。 ...............................................................................................................34      
图表26：劳动参与率长期下降 ...............................................................................................................................34
图表27：拟合失业率和实际失业率缺口收窄 .......................................................................................................35      
图表28：失业率演变的三种路径 ...........................................................................................................................35
图表29：美联储政策转向四部曲 ...........................................................................................................................36
图表30：过去30年6 次紧缩周期的大背景 .........................................................................................................37
图表31：83-84 完美的资产周期 .............................................................................................................................38
图表32：87-89 双重效应下的毁灭性打击 .............................................................................................................38
图表33：94-95 债券市场的梦魇 .............................................................................................................................39
图表34：99-02 大泡沫时代下偏离的非利率主导周期 .........................................................................................40
图表35：04-06 利率谜题下的资产选择强周期 .....................................................................................................41
图表36：94梦魇再现？ ..........................................................................................................................................42
图表37：即使梦魇，股票市场也从未悲观过 .......................................................................................................42
图表38：市场预期决定资产选择，94年亦是如此 ..............................................................................................43
图表39：是谁偏离了原有的轨道？ .......................................................................................................................44
图表40：确实有些资产在这轮周期内被β 化了 ...................................................................................................45
图表41：那些脆弱的资产弹性往往较大 ...............................................................................................................46
图表42：同样和历史的正缺口也较大 ...................................................................................................................46
图表43：无风险利率已经分化 ...............................................................................................................................47
图表44：安全货币不再安全？ ...............................................................................................................................47
图表45：风险资产并非估值主导 ...........................................................................................................................48
图表46：美股驱动因素的轮动 ...............................................................................................................................51
图表47：美国是否估值过高？ ...............................................................................................................................52
图表48：盈利周期仅仅在次贷被打断了 ...............................................................................................................52
图表49：盈利的新周期仍未结束 ...........................................................................................................................53
图表50：美国是否估值过高？ ...............................................................................................................................54
图表51：这轮周期显然没有超出历史幅度 ...........................................................................................................54
图表52：溢价总是均值回归？ ...............................................................................................................................54
图表53：分红和价格背离的三阶段 .......................................................................................................................55
图表54：实际指数和实际分红现值缺口已弥补 ...................................................................................................55
图表55：标普各个板块的分红率 ...........................................................................................................................56
图表56：市值和净利润的权重缺口 .......................................................................................................................56
图表57：我们的战略性配置建议 ...........................................................................................................................56
图表58：全球股票市场和债券市场的资金流向 ...................................................................................................57
图表59：发达市场股票和债券的资金流向 ...........................................................................................................58
图表60：债券市场的超级牛市将终结 ...................................................................................................................59
图表61：各类债券机构投资者持有比例 ...............................................................................................................60
图表62：去β化后的α初期？     ...........................................................................................................................61
图表63：日本的货币扩张计划 ...............................................................................................................................63
图表64：收入增长计划看起来天方夜谭 ...............................................................................................................64
图表65：低收入低储蓄率源于人口老龄化 ...........................................................................................................64
图表66：日本的对外依存度很低 ...........................................................................................................................64
图表67：安倍经济学难以挽回产出缺口 ...............................................................................................................64
图表68：单一的扩张政策对日本并不奏效 ...........................................................................................................66
图表69：凯恩斯主义政策下的资产表现 ...............................................................................................................66
图表70：日本央行能吸纳私营部门的国债? .........................................................................................................67
图表71：国债占GDP的比重 ..................................................................................................................................67
图表72：日元资产的脆弱性 ...................................................................................................................................67
图表73：极度β 化注定波动加剧 ...........................................................................................................................67
图表74：新兴市场竞争力已逝 ...............................................................................................................................70
图表75：增长困局是否会削弱信心？ ...................................................................................................................70
图表76：主要新兴国家的产出缺口 .......................................................................................................................72
图表77：主要新兴国家信用评级 ...........................................................................................................................73
图表78：私营部门对股票、债券的流入 ...............................................................................................................74
图表79：EM和DM企业债发行 .............................................................................................................................74
图表80：EM短期内被超卖的现象会常态化 .........................................................................................................75
图表81：新兴市场的债券显然表现糟糕 ...............................................................................................................75
图表82：企业债的流出更多来自非机构 ...............................................................................................................75
图表83：超级周期已经终结 ...................................................................................................................................79
图表84：其他资产诸如美股同样轮回特征 ...........................................................................................................79
图表85：1900-2011年主要商品的实际价格走势 .................................................................................................80
图表86：中国引领全球经济 ...................................................................................................................................80
图表87：铁矿石和精炼铜的进口 ...........................................................................................................................80
图表88：资本已经开始推出商品？ .......................................................................................................................82
图表89：商品已经展现高度分化 ...........................................................................................................................82
图表90：商品出口比重以及非能源出口比重 .......................................................................................................82
图表91：哪些国家过于依赖中国？ .......................................................................................................................83
图表92：新兴市场出口国已经分化 .......................................................................................................................83
图表93：融资贸易流程图 .......................................................................................................................................84
图表94：铜供需平衡的观点即将出现 ...................................................................................................................85
图表95：钢铁需求短期和中期展望 .......................................................................................................................86
图表96：钢铁库存和产量 .......................................................................................................................................86
图表97：这次不一样 ...............................................................................................................................................89
图表98：大部分国家通胀都低于目标 ...................................................................................................................90
图表99：通胀预期决定金价并不完全符合逻辑 ...................................................................................................91
图表100：金价对于美联储的反映如何解释？ .....................................................................................................92
图表101：黄金的供需格局已经改变 .....................................................................................................................93
图表102：SPDR ETF持仓大幅下降 .........................................................................................................................94
图表103：CFTC 净持仓略有滞后下降 ....................................................................................................................94
图表104：全球黄金需求分布 .................................................................................................................................95
图表105：实际利率抬升总是使金价受到冲击 .....................................................................................................96
图表106：配置黄金的意义 .....................................................................................................................................97
图表107：至少现在黄金并不能给资产组合更高的效率 .....................................................................................98
图表108：汇率相关度缘何分化？ .......................................................................................................................100
图表109：2013H2影响外汇市场的三大主题 ......................................................................................................101
图表110：欧元和收益率溢价关系在削弱 ...........................................................................................................102
图表111：今年以来欧元和风险资产有些脱钩 ...................................................................................................103
图表112：澳元似乎和大宗商品关系更大 ...........................................................................................................104
图表113：仅从经济增长考虑不能得出结论 .......................................................................................................104
图表114：澳大利亚经济、通胀构成的基本面 ...................................................................................................105
图表115：澳元走势往往能看出端倪 ...................................................................................................................105
图表116：克强指数显示经济仍未展现活力 .......................................................................................................106
图表117：澳元和中国工业、发电量高度相关 ...................................................................................................107
图表118：新西兰元会和澳元出现再分化？ .......................................................................................................107
图表119：利率政策在不同基本面下的表现 .......................................................................................................107
图表120：加元突破还是继续区间震荡？ ...........................................................................................................108
图表121：瑞郎美元化后的背离？ .......................................................................................................................108
图表122：热钱流向已经回归 ...............................................................................................................................109
图表123：人民币脱离强边 ...................................................................................................................................109
图表124：雷亚尔稍微修正后将长期走弱 ...........................................................................................................110
图表125：比索在新兴国家货币中前景较好 .......................................................................................................110
图表126：各大央行的利率展望以及下一次政策调整期 ...................................................................................111
图表127：主要汇率3个月和12 个月展望 .........................................................................................................111
图表128：我们下调中国经济展望 .......................................................................................................................113
图表129：改革计划路线图 ...................................................................................................................................115
图表130：未来改革进程下潜在的收益板块 .......................................................................................................118
图表131：释放改革意图往往短期利好 ...............................................................................................................119
图表132：受益板块的权重较低 ...........................................................................................................................120
图表133：负面影响的权重股利润比重过大 .......................................................................................................120
图表134：三中全会后的可能改革细节、谁将获利、谁会遭到冲击以及时间表............................................121
图表135：未来城镇化的版图 ...............................................................................................................................126
图表136：新型城镇化实现经济转型的主线 .......................................................................................................127
图表137：新型城镇化后投资和消费驱动板块下的变局 ...................................................................................129
图表138：中国的板块周期轮动 ...........................................................................................................................131
图表139：企业债和国债溢价将扩大 ...................................................................................................................132
图表140：不同评级企业债之间溢价扩大 ...........................................................................................................132
图表141：全球资产配置推荐 ...............................................................................................................................133

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